基于马尔科夫状态转移GARCH模型的人民币汇率波动性研究

发布时间：2018-10-22 14:24

【摘要】：汇率一直以来都是国内外经济学家的研究热点，因为它不仅对内影响一个国家的经济，也对外影响着国际经济的发展，所以了解汇率的动态并对汇率变化进行相对有效的预测，对于一个国家的经济研究有着重要的意义。随着中国经济的高速发展以及对外开放程度的加大，人民币的地位在不断提升，在国际贸易投资活动中被外界越来越重视，特别是在近些年随着我国汇率制度改革的不断深入，我国开始实行以市场供求为基础的有管理的浮动汇率制度，与此同时外界也在不断的给予人民币升值的压力，这些原因都使得人民币汇率的波动行为越来越多的受到国内外的关注。因此，本文将人民币汇率作为研究对象，运用马尔科夫状态转移GARCH模型来研究其波动性规律。本文在对汇率进行理论回顾和基本描述性统计分析后,先是运用ARCH族模型对于1994年9月2日至2013年3月01日的美元兑人民币名义汇率的周收益率数据进行了实证分析，接着是采用马尔科夫状态转移GARCH模型对我们的样本数据进行实证分析，用各个模型来描述人民币汇率的动态行为特征，分析比较各个模型在拟合效果上的优劣，最终的实证分析结果告诉我们，马尔科夫状态转移GARCH模型能更好的拟合我国人民币汇率的波动性，也更具有实用性，说明马尔科夫状态转移GARCH模型比一般的ARCH族模型更适合我国的人民币汇率波动性的研究。
[Abstract]:Exchange rate has always been a hot research topic for economists at home and abroad, because it not only affects the economy of a country internally, but also affects the development of the international economy, so we understand the dynamics of the exchange rate and make a relatively effective prediction of the exchange rate changes. It is of great significance to study the economy of a country. With the rapid development of Chinese economy and the increasing degree of opening to the outside world, the status of RMB is constantly improving, and it has been paid more and more attention in the international trade and investment activities, especially in recent years, with the deepening of the reform of the exchange rate system in our country. China has begun to implement a managed floating exchange rate system based on market supply and demand. At the same time, the outside world is also constantly putting pressure on the appreciation of the RMB. These reasons make the fluctuation of RMB exchange rate more and more concerned at home and abroad. Therefore, this paper studies the volatility of RMB exchange rate by using Markov state transition GARCH model. After a theoretical review and a basic descriptive statistical analysis of the exchange rate, this paper makes an empirical analysis of the weekly rate of return data of the nominal exchange rate between the US dollar and the RMB from September 2, 1994 to March 01, 2013, using the ARCH family model. Then the Markov state transition GARCH model is used to analyze our sample data, and each model is used to describe the dynamic behavior of RMB exchange rate, and the advantages and disadvantages of each model in fitting effect are analyzed and compared. The final empirical analysis results show that Markov state transfer GARCH model can better fit the volatility of RMB exchange rate in China, and it is more practical. It shows that the Markov state transition GARCH model is more suitable for the study of RMB exchange rate volatility than the general ARCH family model.
【学位授予单位】：兰州商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F224

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