中国外汇市场有效性的实证研究

发布时间：2018-03-02 14:39

本文选题：人民币汇率制度改革　切入点：外汇市场　出处：《青岛大学》2017年硕士论文　论文类型：学位论文

【摘要】：1994年1月1日,人民币官方汇率与外汇调剂价格正式并轨,我国开始实行有管理的浮动汇率制。之后,中国人民银行在2005年7月21日与2015年8月11日分别推出了重大的汇率制度改革措施,人民币汇率的市场化程度和外汇市场的有效性程度都得到了显著的提升。有效市场假说EMH(Efficient Market Hypothesis)是资本市场众多理论研究的前提。只有当外汇市场有效时,才能使用以有效市场假说为前提条件的资本市场理论来研究汇率问题。另一方面,外汇市场的效率问题还会影响到一个国家的外汇制度的选择和外汇政策的制定。因此,对外汇市场采取有效性检验不仅是一个理论问题,而且是一个关系到影响政府经济、金融决策的重要现实问题。本文系统阐述了有效市场假说理论,简要介绍了我国外汇市场的发展历程,在有效市场假说理论框架内,对我国外汇市场中美元、欧元及日元兑人民币汇率市场进行了有效性检验。本文在综合分析1994年1月1日以来我国外汇市场发展的基础上,着重研究2005年7月21日汇率制度改革以及2015年8月11日汇率制度改革对我国外汇市场有效性的影响。不仅分析了不同样本区间的汇率波动特征,而且采用ADF检验、PP检验以及序列自相关检验对我国外汇市场的有效性进行实证检验分析。结果表明:在1994年至2005年7月汇改前,该阶段期间我国外汇市场未达到弱式有效;2005年7月21日汇改后,我国外汇市场满足弱式有效;2015年8月11日汇改后,我国外汇市场是满足弱式有效的,并且有效性程度较上一阶段相比进一步提高。根据实证研究结果,对中国外汇市场的有效性程度和汇率制度改革措施的实施效果进行客观评价。同时归纳我国外汇市场中存在的问题,提出完善我国外汇市场建设和提高市场有效性程度的相关建议。
[Abstract]:In January 1st 1994, when the official exchange rate of RMB and the price of foreign exchange were formally aligned, China began to implement a managed floating exchange rate system. In July 21st 2005 and August 11th 2015, respectively, the people's Bank of China introduced major measures to reform the exchange rate system. The degree of marketization of RMB exchange rate and the efficiency of foreign exchange market have been greatly improved. The efficient Market hypothesis (EMH(Efficient Market hypothesis) is the premise of many theoretical studies on capital markets. On the other hand, the efficiency of the foreign exchange market will also affect the choice of a country's foreign exchange system and the formulation of foreign exchange policy. The validity test of foreign exchange market is not only a theoretical problem, but also an important practical problem related to the government's economic and financial decisions. This paper briefly introduces the development of China's foreign exchange market. The effectiveness of the exchange rate market of the euro and yen against the RMB is tested. Based on the comprehensive analysis of the development of China's foreign exchange market since January 1st 1994, This paper focuses on the effects of the exchange rate regime reform on July 21st 2005 and August 11th 2015 on the effectiveness of China's foreign exchange market, not only on the characteristics of exchange rate fluctuations in different sample ranges, but also on the exchange rate regime reform in August 11th 2015. Moreover, the validity of China's foreign exchange market is tested and analyzed by ADF test and sequence-autocorrelation test. The results show that: from 1994 to July 2005, before the exchange rate reform, During this period, China's foreign exchange market did not achieve weak efficiency; after the exchange rate reform in July 21st 2005, China's foreign exchange market satisfied weak efficiency; in August 11th 2015, after the exchange rate reform, China's foreign exchange market was satisfied with weak efficiency. And the degree of effectiveness is further improved compared with the previous period. According to the results of empirical research, This paper objectively evaluates the effectiveness of China's foreign exchange market and the effect of the implementation of the exchange rate system reform measures. At the same time, it sums up the problems existing in China's foreign exchange market. Some suggestions are put forward to improve the construction of foreign exchange market and improve the efficiency of the market.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6

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