| 汇改后人民币汇率波动的非线性特征研究——基于门限自回归TAR模型 |
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| 引用本文： | 靳晓婷,张晓峒,栾惠德.汇改后人民币汇率波动的非线性特征研究——基于门限自回归TAR模型[J].财经研究,2008,34(9). |
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| 作者姓名： | 靳晓婷 张晓峒 栾惠德 |
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| 作者单位： | 南开大学,国际经济研究所,天津,300071 |
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| 基金项目： | 教育部科学技术研究项目，国家自然科学基金 |
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| 摘 要： | 文章对自2005年7月人民币汇率制度改革至2008年1月31日的人民币对美元名义汇率波动进行了计量研究,通过建立基于不同时间段汇率数据的门限自回归模型(TAR)可以看到,两年多来的人民币汇率波动存在门限的非线性特征,当升值幅度较大,即大于一定的门限值时,升值的冲击显示出更持久的延续性,体现出了升值预期的作用和升值不断加速的趋势.
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| 关 键 词： | 非线性时间序列模型 门限自回归模型(TAR) 人民币汇率 |
Modeling Non-linearities in RMB Nominal Exchange Rate Fluctuations after RMB Exchange Rate Reform Based on TAR Model |
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| JIN Xiao-ting,ZHANG Xiao-tong,LUAN Hui-de.Modeling Non-linearities in RMB Nominal Exchange Rate Fluctuations after RMB Exchange Rate Reform Based on TAR Model[J].The Study of Finance and Economics,2008,34(9). |
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| Authors: | JIN Xiao-ting ZHANG Xiao-tong LUAN Hui-de |
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| Institution: | JIN Xiao-ting,ZHANG Xiao-tong,LUAN Hui-de(Institute of International Economics,Nankai University,Tianjin 300071,China) |
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| Abstract: | On July 21st in 2005,the People's Bank of China announced RMB exchange rate regime reform.The paper builds up a threshold autoregressive model to make an analysis of RMB-Dollar nominal exchange rate fluctuation from July 2005 to Jan.2008.It shows that current RMB exchange rate series is nonlinear and is changing with a threshold.The impulsion of appreciation,which is bigger than the absolute value of the threshold,can last longer than the smaller impulsion.The results show that the expectation of RMB apprec... |
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| Keywords: | nonlinear time series model threshold autoregressive model(TAR) RMB exchange rate |
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