汇改前后人民币汇率波动特征研究

发布时间：2018-10-12 13:53

【摘要】：近年来,人民币汇率一直是学术界研究和关注的焦点之一。2005年二次汇改之前,人民币对美元汇率在很长一段时间内都维持在一个相对稳定的水平。2005年7月21日,央行宣布开启第二次汇率形成机制改革。自此,人民币汇率波动日趋频繁且波动幅度增大。汇率作为两种货币之间的相对价格,其波动对国内外经济生活都会产生深刻的影响。因此,分析汇改前后人民币汇率的波动特征,对深化我国人民币汇率形成机制改革,完善金融市场都有着重要意义。本文首先根据人民币汇率走势对汇改前后人民币汇率波动情况作了概览性分析并对比分析了汇改前后人民币汇率的波动情况。其次,在分析汇改前后人民币汇率波动情况的基础上,阐述了人民币汇率波动的主要原因。再次,为进一步分析汇改前后人民币汇率波动特征,分别运用SV-N模型、SV-T模型、SV-MN模型、SV-MT模型以及杠杆SV模型对2002年7月1日到2014年4月30日的人民币对美元、欧元、日元以及港元汇率波动收益率时间序列数据进行拟合。实证研究结果表明,汇改前人民币对欧元、日元和港元汇率收益率具有较大的波动风险和较强的波动持续性。汇改后,人民币对美元汇率收益率具有较大的波动风险和较强的波动持续性,而人民币对欧元、日元和港元汇率收益率的波动持续性明显增强,汇率波动的不确定性增强,且外汇市场表现出显著的“杠杆效应”特征。此外,通过对五种SV模型拟合效果的比较分析,可以得出在拟合汇改前人民币对欧元汇率收益率的SV类模型中,SV-MN模型最优,而杠杆SV模型最差。而就汇改前人民币对日元汇率而言,则杠杆SV模型最优,SV-N模型最差。在拟合汇改后人民币对欧元和日元汇率收益率的SV类模型中,杠杆SV模型最优,而SV-N模型最差。最后,文章结合实证分析的结果,以及人民币汇率波动的原因,提出了应对汇改后人民币汇率波动特征发生显著变化的措施。从国家层面上来说,国家一方面应该进一步完善外汇储备管理体制;另一方面,还应完善市场定价机制,培育健全的外汇市场。从企业层面来说,企业应该提高汇率风险防范意识,培养专业的外汇管理和风险管理人才。
[Abstract]:In recent years, the RMB exchange rate has been one of the focuses of academic research. Before the second exchange rate reform in 2005, the RMB exchange rate against the US dollar remained at a relatively stable level for a long time. The central bank announced the opening of the second exchange rate formation mechanism reform. Since then, RMB exchange rate fluctuations have become more frequent and increased. As the relative price between two currencies, the fluctuation of exchange rate has a profound impact on domestic and foreign economic life. Therefore, it is of great significance to analyze the fluctuation characteristics of RMB exchange rate before and after the exchange rate reform in order to deepen the reform of RMB exchange rate formation mechanism and perfect the financial market. Based on the trend of RMB exchange rate, this paper makes a general analysis on the fluctuation of RMB exchange rate before and after the exchange rate reform and makes a comparative analysis of the fluctuation of RMB exchange rate before and after the exchange rate reform. Secondly, on the basis of analyzing the fluctuation of RMB exchange rate before and after the exchange rate reform, the paper expounds the main reasons of RMB exchange rate fluctuation. Thirdly, in order to further analyze the characteristics of RMB exchange rate fluctuation before and after the exchange rate reform, the SV-N model, SV-T model, SV-MN model, SV-MT model and leveraged SV model are used to analyze the RMB versus US dollar and euro from July 1, 2002 to April 30, 2014, respectively. Yen and Hong Kong dollar exchange rate volatility time series data fit. The empirical results show that the rate of return of RMB against euro, yen and Hong Kong dollar has higher volatility risk and strong volatility before the exchange rate reform. After the exchange rate reform, the RMB exchange rate yield against the US dollar has a greater volatility risk and strong volatility, while the RMB exchange rate volatility against the euro, the yen and the Hong Kong dollar has increased significantly, and the exchange rate volatility uncertainty has increased. And the foreign exchange market shows a significant "leverage effect" characteristics. In addition, by comparing and analyzing the fitting results of the five SV models, we can draw the conclusion that the SV-MN model is the best and the leveraged SV model is the worst in the SV model of the RMB / euro exchange rate return rate before the exchange rate reform. In terms of RMB / yen exchange rate before the exchange rate reform, the leveraged SV model is the best and the SV-N model is the worst. Among the SV models that fit the yield of RMB to euro and yen after the exchange rate reform, the leverage SV model is the best, while the SV-N model is the worst. Finally, combined with the results of empirical analysis and the reasons of RMB exchange rate fluctuations, the paper puts forward some measures to deal with the significant changes in the characteristics of RMB exchange rate fluctuations after the exchange rate reform. At the national level, on the one hand, the country should further improve the foreign exchange reserve management system; on the other hand, it should also perfect the market pricing mechanism and foster a sound foreign exchange market. From the enterprise level, the enterprise should improve the awareness of exchange rate risk prevention, and train professional foreign exchange management and risk management personnel.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.6

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