基于分层K-means聚类的事实汇率制度分类研究

发布时间：2018-05-19 10:33

本文选题：事实汇率制度 + 有效汇率　；参考：《世界经济》2010年10期

【摘要】：本研究利用分层K-means聚类方法作为基础分类手段,以双边汇率为核心,以多边汇率为辅助,对97个国家的汇率制度进行了划分。在此基础上,采用Fisher判别分析方法使该制度分类具有良好的可扩展性和继承性。结果表明,在过去三十年里,除了自由浮动与自由落体制度类型外,有效汇率的波动性明显下降,反映出各国愈来愈重视对多边汇率考量。此外,通过对分类结果的分析,本文还证实:不同类型国家间的汇率波动与价格波动间存在显著的同向变动趋势;行使钉住汇率制度类型的发达国家,其汇率变动的灵活性在近年来略有增加;发展中国家对于国际价格和国内价格的管理均弱于发达国家,对于汇率的多边性重视也不及发达国家。本研究为继续开展多边汇率制度研究提供了基础数据方面的支持。
[Abstract]:In this study, the hierarchical K-means clustering method was used as the basic classification method, with the bilateral exchange rate as the core and the multilateral exchange rate as the assistant, the exchange rate regimes of 97 countries were divided. On this basis, the Fisher discriminant analysis method is used to make the system classification have good scalability and inheritance. The results show that in the past three decades, the volatility of the effective exchange rate has declined obviously except for the free floating and free falling regimes, which reflects the increasing importance that countries attach to the consideration of multilateral exchange rates. In addition, through the analysis of the classification results, the paper also confirms that there is a significant codirectional trend between exchange rate fluctuations and price fluctuations among different types of countries, and developed countries that exercise pegged exchange rate regimes, The flexibility of exchange rate changes has increased slightly in recent years, and the international and domestic price management of developing countries is weaker than that of developed countries, and the multilateral value of exchange rate is not as good as that of developed countries. This study provides basic data support for the continuation of multilateral exchange rate regime research.
【作者单位】：中国社会科学院世界经济与政治研究所国际金融研究室;北京航空航天大学经济管理学院;
【基金】：国家自然科学基金重点(项目编号:70531010) 中国社会科学院世界经济与政治研究所重点课题的资助
【分类号】：F831.52;F224

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