VAR模型与TAR模型在汇率传递效应中的研究

发布时间：2018-05-21 03:27

本文选题：汇率传递 + Var模型　；参考：《江西财经大学》2017年硕士论文

【摘要】：宏观经济问题的动态研究以及预测近年来迅速发展,在日益全球化的世界,经济体之间的联系越来越频繁。一个经济体的经济变化通常会通过汇率形式影响着其他国家的经济状况。在本研究中,使用向量自回归模型来选择1999年1月至2016年12月的数据,以研究欧元区汇率波动情况(汇率传递),并使用ADF检验,脉冲响应分析等。本研究的目的是理解和研究基本的空间计量理论和模型,估计方法,关注动态空间测量理论和模型,然后应用于解释宏观的经济问题。在本研究中,首先回顾有关VAR模型以及TAR模型的相关定义、模型原理、结构特征、检验方法,模型原理的方法以及在计算机上实现估算过程的步骤。宏观经济问题大部分数据是非线性的,这已被人们认可。本研究要解决的问题是用模型拟合广泛存在与现实中这种非线性数据。在以前提出过的许多模型,尽管可以一定程度解决非线性特征,但是这些模型都因为自己的缺陷使得得出的不尽如人意,不能完全解释实际数据体现的非线性性质。因此,本研究提出通过VAR模型拟合模拟欧元区的汇率传递现象。在本研究中,创造性的首次采用了VAR模型与TAR模型双模型分析欧元区经济问题,通过VAR模型对汇率传导的传递因素进行相关性排序,而后通过TAR模型对最主要因素进行非线性拟合并预测,该模型将在特别是在汇率动荡时期,仍然是非常精确的拟合。
[Abstract]:The dynamic study and prediction of macroeconomic problems have developed rapidly in recent years, and in an increasingly globalized world, the linkages between economies are becoming more and more frequent. Economic changes in one economy often affect the economic performance of other countries through exchange rates. In this study, the vector autoregressive model is used to select the data from January 1999 to December 2016 to study the exchange rate fluctuations in the euro area (exchange rate transfer, ADF test, impulse response analysis, etc.) The purpose of this study is to understand and study basic spatial metrology theories and models, estimate methods, pay attention to dynamic spatial measurement theories and models, and then apply them to explain macroeconomic problems. In this study, we first review the relevant definitions of VAR model and TAR model, model principles, structural characteristics, testing methods, methods of model principle and the steps to implement the estimation process on a computer. Macroeconomic problems are largely nonlinear, which has been recognized. The problem to be solved in this study is to fit the widely existing and practical nonlinear data with the model. Many previous models can solve the nonlinear characteristics to some extent, but these models are not satisfactory because of their own defects, and can not fully explain the nonlinear properties of the actual data. Therefore, the VAR model is used to simulate the exchange rate transfer in the euro area. In this study, the VAR model and the TAR model are used for the first time to analyze the economic problems in the euro area, and the transmission factors of exchange rate transmission are ranked by the VAR model. Then the TAR model is used to predict the most important factors. The model will still be very accurate in the period of exchange rate turbulence.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F831.6

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