基于新闻模型下的宏观经济基本面与汇率波动之间的联动性探究
发布时间：2018-08-25 09:36
【摘要】：汇率问题作为每个国家货币政策最为关注的焦点之一,在当前国际环境不稳定的前提下,对影响汇率波动因素的研究非常必要。新闻模型将资产市场分析方法和理性预期假说两者有效地结合起来,通过研究经济基本面中未预料到的新闻对于汇率变动的影响,来分析宏观经济基本面新闻与汇率波动之间的联动性。作为一项新颖的汇率研究方法,新闻模型在理论和实践上还不够成熟。本文试图进一步丰富和发展新闻模型理论,并将新闻模型应用于人民币对于美元的汇率变动研究,使该模型能够更好地为我国政策服务。文章内容大致分为以下几个部分： 第一部分,简要介绍本文的研究背景,从国外和国内两方面进行文献综述,概括出国内外研究的重点和结论,最后介绍本文的研究目的、内容架构和可能的创新之处。 第二部分,首先分析了新闻模型的理论来源：资产市场分析方法和理性预期假说,在此基础上从广义和狭义两个方面对新闻模型进行界定,确定本文采用的新闻模型。 第三部分,关于新闻项的选取和预期值的确定。其中对于宏观经济基本面新闻主要从实体经济、货币政策、价格指标和综合新闻指标等四方面进行选取；新闻项预期值则选用上一期新闻项的实际值。 第四部分,新闻模型的建立和实证分析。本部分是全文的核心,在前面分析的基础上确定本文采用的新闻模型。通过对新闻项进行回归分析,得出汇率波动与基本面新闻之间联动性的实证分析结果。 第五部分,主要结论及其解释。对第四部分的实证分析结果进行总结概括,判断汇率与宏观经济基本面新闻之间是否存在联动性以及哪些因素的影响相对较大,并总结出我国汇率政策的重点。 第六部分,全文总结及发展建议。对文章写作过程中遇到的瓶颈及解决措施进行总结概括,就新闻模型未来的发展提出建议。
[Abstract]:Exchange rate is one of the focuses of monetary policy in every country. Under the premise of the instability of international environment, it is necessary to study the factors that affect the fluctuation of exchange rate. The news model effectively combines the asset market analysis method with the rational expectation hypothesis and studies the impact of unexpected news on the exchange rate changes in economic fundamentals. To analyze the macroeconomic fundamentals of news and exchange rate fluctuations between the linkage. As a novel exchange rate research method, news model is not mature in theory and practice. This paper attempts to further enrich and develop the news model theory, and applies the news model to the study of RMB exchange rate changes against the US dollar, so that the model can better serve the policy of our country. The content of this paper is divided into the following parts: the first part briefly introduces the research background of this paper, summarizes the domestic and foreign literature, summarizes the emphasis and conclusion of the research at home and abroad. Finally, this paper introduces the research purpose, content structure and possible innovations. The second part first analyzes the theoretical source of the news model: asset market analysis method and rational expectation hypothesis, then defines the news model from two aspects of broad sense and narrow sense, and determines the news model adopted in this paper. The third part, about the news item selection and the anticipated value determination. The macroeconomic fundamentals of news are mainly selected from real economy, monetary policy, price index and comprehensive news index, while the expected value of news item is selected from the actual value of the previous news item. The fourth part, the establishment of news model and empirical analysis. This part is the core of this paper, based on the previous analysis to determine the news model adopted in this paper. Through the regression analysis of news items, the empirical results of the linkage between exchange rate fluctuation and fundamental news are obtained. The fifth part, the main conclusion and its explanation. The results of empirical analysis in the fourth part are summarized to determine whether there is a linkage between exchange rate and macroeconomic fundamentals and which factors have a relatively large impact, and to sum up the key points of our exchange rate policy. The sixth part, the full text summary and the development proposal. This paper summarizes the bottlenecks encountered in the process of writing, and puts forward some suggestions for the future development of the news model.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.7
本文编号：2202479
[Abstract]:Exchange rate is one of the focuses of monetary policy in every country. Under the premise of the instability of international environment, it is necessary to study the factors that affect the fluctuation of exchange rate. The news model effectively combines the asset market analysis method with the rational expectation hypothesis and studies the impact of unexpected news on the exchange rate changes in economic fundamentals. To analyze the macroeconomic fundamentals of news and exchange rate fluctuations between the linkage. As a novel exchange rate research method, news model is not mature in theory and practice. This paper attempts to further enrich and develop the news model theory, and applies the news model to the study of RMB exchange rate changes against the US dollar, so that the model can better serve the policy of our country. The content of this paper is divided into the following parts: the first part briefly introduces the research background of this paper, summarizes the domestic and foreign literature, summarizes the emphasis and conclusion of the research at home and abroad. Finally, this paper introduces the research purpose, content structure and possible innovations. The second part first analyzes the theoretical source of the news model: asset market analysis method and rational expectation hypothesis, then defines the news model from two aspects of broad sense and narrow sense, and determines the news model adopted in this paper. The third part, about the news item selection and the anticipated value determination. The macroeconomic fundamentals of news are mainly selected from real economy, monetary policy, price index and comprehensive news index, while the expected value of news item is selected from the actual value of the previous news item. The fourth part, the establishment of news model and empirical analysis. This part is the core of this paper, based on the previous analysis to determine the news model adopted in this paper. Through the regression analysis of news items, the empirical results of the linkage between exchange rate fluctuation and fundamental news are obtained. The fifth part, the main conclusion and its explanation. The results of empirical analysis in the fourth part are summarized to determine whether there is a linkage between exchange rate and macroeconomic fundamentals and which factors have a relatively large impact, and to sum up the key points of our exchange rate policy. The sixth part, the full text summary and the development proposal. This paper summarizes the bottlenecks encountered in the process of writing, and puts forward some suggestions for the future development of the news model.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.7
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