基于结构突变分析的人民币汇率波动特征研究

发布时间：2018-04-29 09:34

本文选题：结构突变 + 人民币汇率　；参考：《湖南大学》2012年硕士论文

【摘要】：近年来,人民币汇率的波动及其成因越来越为各界所关注。造成人民币汇率波动的原因既有宏观经济因素的影响,如金融政策、经济增长、利率等；也包括微观结构因素的影响,如交易机制、私有信息等。同时,由于全球金融经济一体化,其它国家市场的异常波动也对人民币汇率的波动特征造成影响。因此,本文从结构突变点分析的视角研究其对波动特征的影响,以期更准确地认识人民币汇率的波动特征。本文首先对结构突变点和人民币汇率波动性的相关文献进行回顾,从理论上分析结构突变点的检测方法、人民币汇率的波动特征及相关模型,在此基础上检验人民币汇率的基本统计特征；然后分别利用循序检验法、修正ICSS算法对人民币汇率进行均值、方差结构突变点检测,进而搜集与结构突变点相应的重大事件探讨其成因；最后依据检测到的结构突变点,引入GARCH族模型中,对比分析考虑结构突变点前后人民币汇率波动特征的变化,并对波动模型的估计效果进行评价。研究结果表明,结构突变是人民币汇率中的常见现象。其中,仅人民币兑美元汇率中存在均值结构突变点。未加入结构突变点之前,人民币汇率存在较高的波动持续性,且均存在非对称效应；加入结构突变点后能降低人民币汇率的波动伪持续性,且人民币汇率的非对称信息效应增强；同时加入两种结构突变点更能真实反映人民币汇率的波动特征。
[Abstract]:In recent years, the fluctuation of RMB exchange rate and its causes have attracted more and more attention. The causes of RMB exchange rate fluctuation include macroeconomic factors, such as financial policy, economic growth, interest rate and so on, as well as microstructural factors, such as trading mechanism, private information and so on. At the same time, due to the integration of global financial economy, the abnormal volatility of other countries' markets also has an impact on the volatility of RMB exchange rate. Therefore, this paper studies its impact on volatility from the point of view of structural catastrophe analysis, in order to understand the volatility characteristics of RMB exchange rate more accurately. In this paper, we first review the literature on structural mutation points and RMB exchange rate volatility, and theoretically analyze the detection methods of structural catastrophe points, the volatility characteristics of RMB exchange rate and the relevant models. On this basis, the basic statistical characteristics of RMB exchange rate are tested, and then the mean and variance structure mutation points of RMB exchange rate are detected by using sequential test method and modified ICSS algorithm, respectively. Finally, according to the detected structural mutation point, the GARCH family model is introduced to analyze the change of RMB exchange rate fluctuation characteristics before and after considering the structural mutation point. The estimation effect of the volatility model is evaluated. The results show that structural mutation is a common phenomenon in RMB exchange rate. Among them, only the RMB exchange rate against the dollar there is a structural change in the mean point. Before the structural change point is added, the RMB exchange rate has high volatility persistence and asymmetric effect, and the pseudo-persistence of RMB exchange rate can be reduced by adding the structural mutation point. The asymmetric information effect of RMB exchange rate is enhanced, and the fluctuation characteristics of RMB exchange rate can be more truly reflected by adding two structural catastrophe points at the same time.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6

【参考文献】

中国期刊全文数据库前10条

1 伍戈,姜波克,唐建伟;外汇市场信息与汇率波动性研究[J];财经研究;2002年07期

2 李文乐;王彬;王继晖;;人民币汇率波动与货币政策调控——基于新凯恩斯垄断竞争模型框架的理论分析与实证[J];当代经济科学;2011年04期

3 曹红辉;王琛;;人民币汇率预期：基于ARCH族模型的实证分析[J];国际金融研究;2008年04期

4 苏应蓉;徐长生;;东亚汇率波动联动性的原因分析——基于区域经济一体化角度的思考[J];国际金融研究;2009年06期

5 杜晓蓉;;市场预期及其影响因素与人民币汇率波动关系分析[J];国际金融研究;2011年07期

6 贺昌政,任佩瑜,俞海;人民币汇率影响因素研究[J];管理世界;2004年05期

7 刘传哲;王春平;;基于结构突变的人民币均衡实际汇率研究[J];上海经济研究;2007年03期

8 喻梅;;我国货币政策与人民币汇率的互动关系研究[J];经济问题;2011年08期

9 魏英辉;;宏观基本面新闻对人民币/美元汇率的影响研究——基于境内即期汇率与境外NDF汇率的比较分析[J];金融理论与实践;2009年05期

10 周杰琦;;人民币实际汇率波动的源泉——基于长期约束结构VAR的实证研究[J];上海财经大学学报;2009年06期