“适应性学习”下人民币汇率的货币模型

发布时间：2018-01-20 03:25

本文关键词： 适应性学习货币模型样本外预测　出处：《经济评论》2010年03期 　论文类型：期刊论文

【摘要】：传统的汇率货币模型建立在理性预期基础上,无法解释现实中的汇率波动。本文放松了理性预期的假定,并引入"适应性学习"来考察汇改后人民币汇率的货币模型。结果表明:在"适应性学习"引入之前,货币模型预测能力比不上简单的随机游走模型;而在引入之后,其预测能力大幅改善,很好地模拟了汇率实际波动。因此传统的货币模型并没有完全失效,引入"适应性学习"后仍然适宜于刻画汇改后人民币汇率的短期走势。
[Abstract]:The traditional currency model of exchange rate is based on rational expectation and cannot explain the fluctuation of exchange rate in reality. This paper loosens the assumption of rational expectation. It also introduces "adaptive learning" to study the currency model of RMB exchange rate after the exchange rate reform. The results show that before the introduction of "adaptive learning", the forecasting ability of the monetary model is less than that of the simple random walk model. After the introduction, its forecasting ability is greatly improved, and the real exchange rate fluctuations are well simulated. Therefore, the traditional monetary model is not completely ineffective. After the introduction of adaptive learning, it is still suitable to describe the short-term trend of RMB exchange rate after the exchange rate reform.
【作者单位】：中山大学岭南学院;
【分类号】：F832.6;F224
【正文快照】： 一、引言汇率与宏观经济基本面的关系一直是国际经济学中的一个谜团(Obstfeld and Rogoff,2000)。从最早的基于商品市场的购买力平价理论(PPP)拓展到包含资本市场的弹性或粘性货币模型(Frankel,1976;Dornbusch,1976),再到建立在宏观经济基本面上的汇率模型,虽然在预测长期汇

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