TV-STAR模型在人民币汇率制度转换中的应用

新的人民币汇率制度已经实行了三年多,国内外学术界和国际社会一直不乏对于人民币汇率制度转换问题的讨论和研究。焦点问题之一就是,现行的汇率制度是否真如中国人民银行所宣称的那样,已从简单地与美元挂钩转换为有管理的浮动汇率制度。人民币汇率制度的转换过程应该是渐进的,通过引入非线性理论中的时变平滑转换自回归模型(TV-STAR模型)来拟合从一种制度到另一种制度的平滑转换过程。

Application of TV-STAR Model in Analysis of RMB Exchange Rate Regime Switching

A lot of research regarding RMB exchange rate regime had been conducted since the regime has been announced to be changed two years ago.One of the hot topics that has been paid much attention to is whether the regime had been changed indeed from pegging dollar to managed floating in reference to a package of currencies.TV-STAR model is introduced and applied to analyze the switching of RMB exchange rate regime in this paper because the model can simulate the process of smooth transition from one regime to another one very well.