基于贝叶斯方法的人民币汇率波动特征分析

发布时间：2018-04-15 13:26

本文选题：人民币汇率 + 汇率改革　；参考：《武汉理工大学》2015年硕士论文

【摘要】：汇率是货币之间相互兑换的比率。随着全球化经济的迅猛发展,汇率成为世界贸易中越来越重要的杠杆工具。如何更好地刻画和分析汇率的波动特征成为一个研究的重要课题。2005年7月,我国进行的汇率改革,引起了世界各国的广泛关注;2008年美国发生次贷危机,最终演变成为全球化的金融危机。我国是一个对外贸有极高依赖性的国家,因此研究我国汇改前后和金融危机前后人民币汇率兑美元和欧元的汇率波动特征有着重要的经济意义。论文基于此做了如下方面的研究工作,得出了较为满意的结论。论文通过建立平滑转换-门限广义自回归条件异方差(STAR?TGARCH(1,1))模型族,采用贝叶斯统计方法较为详细地研究了美元和欧元兑人民币汇率在汇率改革前后和金融危机前后的的波动特征。实证研究结果表明:(1)美元兑人民币汇率在汇改前基本维持不变,只存在很小的波动,不具有GARCH效应;而在汇改后美元兑人民币汇率满足GARCH平稳条件,具有显著的GARCH效应和负杠杆效应;人民币兑欧元汇率在汇改前后都满足GARCH模型的平稳条件,汇改后汇率的调整和速度高于危机前,在汇改前后都具有负的杠杆效应,但是汇改后的杠杆效应强于汇改前。这说明我国汇改政策起到了显著作用,有效地增加了人民币汇率随着市场变化的灵活性。(2)在金融危机前美元兑人民币的汇率具有显著的GARCH效应,但只有在金融危机后才符合GARCH模型的平稳条件;金融危机后人民币汇率的调整速度小于危机前的调整速度;无论是在危机前和危机后人民币汇率都具有杠杆效应,但是危机后相比危机前较弱。而欧元兑人民币汇率在金融危机前后都满足平稳条件;危机后汇率的调整速度也低于危机前的调整速度;在危机前后都具有相差不大的杠杆调节效应。这说明我国汇率市场正在逐步完善,所实施的宏观调控政策起到一定作用,可进一步适当调大汇率浮动的空间。(3)针对本文的研究结果,论文中相应地提出了较为合理的政策和建议,以期对我国制定更加有效的汇率政策有所帮助。本文主要创新点有:(1)对人民币兑美元和欧元在汇改前后以及在金融危机前后的汇率数据进行研究,建立了平滑转换-门限广义自回归条件异方差STAR?TGARCH(1,1)模型族,分析其汇率波动特征,并做了对比分析。(2)提出了采用贝叶斯参数估计的方法对所建立的模型进行参数估计
[Abstract]:The exchange rate is the rate of exchange between currencies.With the rapid development of global economy, exchange rate has become an increasingly important leverage tool in world trade.How to better characterize and analyze the characteristics of exchange rate fluctuations has become an important research topic. In July 2005, the exchange rate reform in China has aroused widespread concern around the world, and the subprime mortgage crisis occurred in the United States in 2008.Finally, it turned into a global financial crisis.China is a country which is highly dependent on foreign trade, so it is of great economic significance to study the characteristics of RMB exchange rate fluctuation against US dollar and euro before and after the exchange rate reform and financial crisis.Based on this, the thesis has done the following research work, and reached a more satisfactory conclusion.In this paper, by establishing a smooth transformation-threshold generalized autoregressive conditional heteroscedasticity model family, the Bayesian statistical method is used to study in detail the fluctuation characteristics of the exchange rate of US dollar and euro against RMB before and after the exchange rate reform and before and after the financial crisis.The empirical results show that the dollar / RMB exchange rate remains basically unchanged before the exchange rate reform, and there are only very small fluctuations without the GARCH effect, while after the exchange rate reform, the USD / RMB exchange rate meets the GARCH stable condition.The RMB / euro exchange rate meets the stable conditions of the GARCH model before and after the exchange rate reform, and the adjustment and speed of the exchange rate after the exchange rate reform are higher than those before and after the crisis, and there are negative leverage effects before and after the exchange rate reform.But the leverage effect after the exchange rate reform is stronger than before.This shows that China's exchange rate reform policy has played a significant role in effectively increasing the flexibility of the RMB exchange rate with the changes in the market. (2) before the financial crisis, the exchange rate of the US dollar against the RMB had a significant GARCH effect.But only after the financial crisis can it accord with the smooth condition of GARCH model; the adjustment speed of RMB exchange rate after the financial crisis is less than that before the crisis; whether before the crisis or after the crisis, the RMB exchange rate has leverage effect.But post-crisis is weaker than it was before.The EURRMB exchange rate meets the stable conditions before and after the financial crisis; the rate of exchange rate adjustment after the crisis is also lower than the adjustment rate before the crisis; before and after the crisis, there is a little difference between the leverage adjustment effect.This shows that China's exchange rate market is gradually improving, and the macro-control policies implemented play a certain role, which can further expand the space of exchange rate floating.) in view of the research results of this paper,In this paper, some reasonable policies and suggestions are put forward in order to help our country formulate more effective exchange rate policy.The main innovation of this paper is: (1) to study the exchange rate data of RMB against US dollar and euro before and after the exchange rate reform and before and after the financial crisis, and to establish a smooth transformation-threshold generalized autoregressive conditional heteroscedasticity STARN TGARCH1) model family.The characteristics of exchange rate fluctuation are analyzed, and a comparative analysis is made. (2) A Bayesian parameter estimation method is proposed to estimate the parameters of the established model.
【学位授予单位】：武汉理工大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.6;F224

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