中文摘要：

采用时变条件t-copula模型对我国人民币汇率制度改革前后美元、欧元和日元兑人民币汇率之间的相关性进行了研究.时变t-copula模型的难点在于如何设定时变相依参数的演化方程,现有文献设定的演化方程存在滞后阶数任意选择的问题,为了克服该缺点,文中建立了用于描述时变相依参数的新的演化方程.结果显示美元与欧元兑人民币汇率、美元与日元兑人民币汇率之间的相关性由汇改前的弱相关变为汇改后较大程度的负相关,而欧元与日元兑人民币汇率之间的相关性在汇改前后变化并不明显.这表明人民币汇率制度的改革使得美元与欧元兑人民币汇率、美元与日元兑人民币汇率之间扭曲的相关性得到了较大程度的矫正,然而人民币汇率制度改革对欧元与日元兑人民币汇率之间相关性的影响却较小.该结果可为一篮子货币各货币权重的确定和外汇组合风险的管理提供参考.

英文摘要：

A time-varying copula model is used to investigate the dependence between U.S. Dollar-RMB, Euro- RMB and Japanese yen-RMB exchange rates before and after the reform of the exchange rate regime in China. The difficulty of time-varying t-copula model is how to specify evolution equation of time-varying dependence parameter. The issue of evolution equation in existing literature is an arbitrary choice of the number of lagged periods. In order to solve the issue, we have established a new evolution equation used to describe time-varying paramters. The results show that the dependence between U.S. Dollar-RMB and Euro-RMB exchange rates have changed significantly before and after the reform of the exchange rate system, and their dependence gets enhanced after the reform, so does the dependence between U.S. Dollar-RMB and Japanese yen-RMB exchange rates. However, the change of the dependence between Euro-RMB and Japanese yen-RMB exchange rates is not apparent before and after the reform of the exchange rate system. The reform of RMB exchange rate regime have led to a correction of the distorted dependence between U.S. Dollar-RMB and Euro-RMB exchange rates, and between U.S. Dollar-RMB and Japanese yen-RMB exchange rates, while its impact on the dependence between Euro-RMB and Japanese yen-RMB exchange rates is small. The results can be for reference to determine the currency weight of a basket of currencies and manage the portfolio risk of foreign exchange assets.