人民币汇率的管理与浮动:基于Markov分布转移模型的实证研究
发布时间：2019-02-17 21:06
【摘要】：以收益分布的尾部差异作为划分管理状态与浮动状态的标准,并结合波动长记忆性,建立基于Markov分布转移的MDS-IGARCH模型,考察人民币汇率市场化的渐进性与阶段性。实证结果显示,随着汇率改革的逐步完善与推进,2006年9月至2008年9月间,人民币兑美元汇率并未受到政府的管理,紧盯单一美元的格局正被扭转,更富弹性且更为灵活的汇率制度已日渐成型。因此,货币当局应进一步增强货币政策的主动性与独立性,减少管理人民币汇率的投入成本,逐步推动有管理的浮动汇率制向目标区域汇率制转变。
[Abstract]:Taking the tail difference of income distribution as the criterion of dividing management state and floating state, and combining with the long memory of fluctuation, the MDS-IGARCH model based on Markov distribution transfer is established to investigate the gradual and stage of RMB exchange rate marketization. The empirical results show that with the gradual improvement and promotion of the exchange rate reform, the RMB exchange rate against the US dollar was not managed by the government from September 2006 to September 2008, and the pattern of focusing on the single dollar is being reversed. A more flexible and flexible exchange rate regime is taking shape. Therefore, monetary authorities should further strengthen the initiative and independence of monetary policy, reduce the input cost of RMB exchange rate management, and gradually promote the transformation of managed floating exchange rate system to target regional exchange rate system.
【作者单位】： 对外经济贸易大学国际经济贸易学院;
【基金】：国家社科基金项目(07BJL047) 教育部人文社科研究项目(06JA790020)、教育部人文社会科学重点研究基地2009年度重大项目(2009JJD790006)
【分类号】：F832.6
[Abstract]:Taking the tail difference of income distribution as the criterion of dividing management state and floating state, and combining with the long memory of fluctuation, the MDS-IGARCH model based on Markov distribution transfer is established to investigate the gradual and stage of RMB exchange rate marketization. The empirical results show that with the gradual improvement and promotion of the exchange rate reform, the RMB exchange rate against the US dollar was not managed by the government from September 2006 to September 2008, and the pattern of focusing on the single dollar is being reversed. A more flexible and flexible exchange rate regime is taking shape. Therefore, monetary authorities should further strengthen the initiative and independence of monetary policy, reduce the input cost of RMB exchange rate management, and gradually promote the transformation of managed floating exchange rate system to target regional exchange rate system.
【作者单位】： 对外经济贸易大学国际经济贸易学院;
【基金】：国家社科基金项目(07BJL047) 教育部人文社科研究项目(06JA790020)、教育部人文社会科学重点研究基地2009年度重大项目(2009JJD790006)
【分类号】：F832.6
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