人民币外汇市场的弱式有效性研究——基于样本外预测的检验

发布时间：2018-12-17 17:06

【摘要】：本文建立LSTAR模型描述人民币对美元、欧元以及日元汇率收益率的非线性动态特征,在此基础上借助滚动分析进行样本外预测,通过对比LSTAR模型与鞅假设下的预测效果,对人民币外汇市场的弱式有效性进行检验。研究发现,2005年7月25日汇改之初,人民币对美元外汇市场并非弱式有效市场,2010年6月19日进一步推进人民币汇率形成机制改革后,市场有效性增强,逐渐达到弱式有效市场。但人民币对欧元和日元外汇市场至今仍未达到弱式有效市场。同时,经济意义上的证据也支持这一结论,随着汇改的推进,美元套汇的可能性很小,但欧元以及日元套汇的空间依旧存在。研究结果表明外汇市场的有效性仍有待增强,人民币汇率形成机制仍需进一步完善。
[Abstract]:In this paper, a LSTAR model is established to describe the nonlinear dynamic characteristics of the exchange rate of RMB to US dollar, euro and yen. On the basis of this, the prediction results of LSTAR model and martingale hypothesis are compared by means of rolling analysis. The weak efficiency of RMB foreign exchange market is tested. The study found that at the beginning of the exchange rate reform on July 25, 2005, the RMB / US dollar foreign exchange market was not a weak efficient market. After further promoting the reform of the RMB exchange rate formation mechanism on June 19, 2010, the market effectiveness increased. Gradually reach the weak efficient market. But the yuan against the euro and yen foreign exchange market has not yet reached the weak efficient market. At the same time, economic evidence supports the conclusion that, with currency reform, dollar arbitrage is unlikely, but there is still room for euro and yen arbitrage. The results show that the effectiveness of the foreign exchange market needs to be enhanced and the RMB exchange rate formation mechanism needs to be further improved.
【作者单位】：南开大学经济学院;
【基金】：教育部人文社会科学基金项目(09YJA790111) 国家社会科学基金项目(09CJY014);国家社会科学基金项目(10BTJ010) 国家自然科学基金项目(71101075)
【分类号】：F832.6

【参考文献】