美元兑人民币汇率的状态预测及实证分析
发布时间：2018-12-11 23:05
【摘要】：经济全球化加速发展的时代背景下,美元兑人民币汇率问题是当前中美经贸关系乃至世界金融领域里的重大议题,对该汇率的基本发展趋势进行科学预测意义重大。文章截取USD/CNY汇率相关日频数据流,通过对美元兑人民币汇率进行基于齐次马尔科夫区制转移模型的预测和实证分析,发现在USD/CNY汇市弱有效性得到验证的基础上,马尔科夫区制转移模型的确捕捉到了汇率序列的内在运动规律,在常规的预测期数(10天以内)设定条件下,尽管样本序列内外预测结果在具体数据的走势上与实际情况存在微小出入,但总体而言,用该模型预测汇率日频走势具有与实际汇率状态较高的吻合度。
[Abstract]:Under the background of the accelerated development of economic globalization, the exchange rate of US dollar to RMB is an important issue in the current Sino-American economic and trade relations and even in the world financial field. It is of great significance to scientifically predict the basic development trend of the exchange rate. This paper intercepts the daily frequency data flow related to the USD/CNY exchange rate, forecasts and analyzes the dollar / RMB exchange rate based on the homogeneous Markov region system transfer model, and finds that the weak validity of the USD/CNY exchange market is verified on the basis of the prediction and empirical analysis. The Markov region transfer model does capture the inherent movement of the exchange rate series, under the conditions of conventional prediction periods (within 10 days). Although there is a slight difference between the data trend and the actual situation, the predicted daily frequency trend of exchange rate by using the model has a high consistency with the actual exchange rate state.
【作者单位】： 西安交通大学经济与金融学院;
【基金】：国家自然科学基金资助项目(70771087) 西安交通大学“985工程”二期项目资助(07200701)
【分类号】：F831.52;F224
[Abstract]:Under the background of the accelerated development of economic globalization, the exchange rate of US dollar to RMB is an important issue in the current Sino-American economic and trade relations and even in the world financial field. It is of great significance to scientifically predict the basic development trend of the exchange rate. This paper intercepts the daily frequency data flow related to the USD/CNY exchange rate, forecasts and analyzes the dollar / RMB exchange rate based on the homogeneous Markov region system transfer model, and finds that the weak validity of the USD/CNY exchange market is verified on the basis of the prediction and empirical analysis. The Markov region transfer model does capture the inherent movement of the exchange rate series, under the conditions of conventional prediction periods (within 10 days). Although there is a slight difference between the data trend and the actual situation, the predicted daily frequency trend of exchange rate by using the model has a high consistency with the actual exchange rate state.
【作者单位】： 西安交通大学经济与金融学院;
【基金】：国家自然科学基金资助项目(70771087) 西安交通大学“985工程”二期项目资助(07200701)
【分类号】：F831.52;F224
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