人民币汇率非线性特征研究——基于R/S分析法的实证检验

以2005年7月21日~2008年3月12日银行间外汇市场六种货币兑人民币汇率数据为样本,采用R/S分析法对其日收益率序列进行了研究,结果表明:六种货币兑人民币汇率日收益率序列均不服从正态分布,普遍地表现为有偏的随机过程;六种货币兑人民币汇率均具有非线性特征,表现为较强的正状态持久性,其波动存在明显的非周期循环。

Empirical Research on the Nonlinear Characteristics of RMB Exchange Rate——Based on R/S Analysis Method

Based on the inter-bank daily data(from 2005/07/21 to 2008/03/12) of six foreign exchanges,this paper concludes that the six foreign exchange rates all have nonlinear characteristics and positive auto-correlativity,the distribution of these foreign exchange rates are not normal,so the classical efficient market hypothesis of the foreign exchange market is doubtful here.There is also no evidence to support the existence of exact volatility periodicity,however,there is obvious circulation of these series.At last,this paper puts forward some suggestions on the foreign exchange market management and makes some policy recommendation.