| 基于即期日度数据的外汇市场有效性协整检验 |
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| 引用本文： | 王立萍,贾利军.基于即期日度数据的外汇市场有效性协整检验[J].上海立信会计学院学报,2007,21(4):64-69. |
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| 作者姓名： | 王立萍 贾利军 |
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| 作者单位： | 上海财经大学,上海,200433 |
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| 摘 要： | 文章采用了2000年1月-2006年12月的日元/美元、欧元/美元、英镑/美元以及人民币/美元的每日即期汇率数据,运用协整方法对外汇市场的有效性进行了检验。研究结果显示,日元与英镑,日元与欧元,以及人民币与日元、与英镑、与欧元的汇率市场是有效的,分析认为与实际情况比较相符,采用协整方法对外汇市场的长期数据进行检验来验证市场有效性是可行的,采用该种方法进行实际判断以及未来预测,为监管当局的决策提供建议,都具有重要作用。
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| 关 键 词： | 外汇市场 有效性 协整检验 |
| 文章编号： | 1009-6701（2007）04-0064-06 |
| 修稿时间： | 2007-03-28 |
The Cointegration Test of the Foreign Exchange Market Efficiency |
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| WANG Li-ping,JIA Li-jun.The Cointegration Test of the Foreign Exchange Market Efficiency[J].Journal of Shanghai Lixin University of Commerce,2007,21(4):64-69. |
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| Authors: | WANG Li-ping JIA Li-jun |
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| Institution: | Shanghai University of Finance and Economics, Shanghai 200433, China |
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| Abstract: | Using the day spot exchange rate data of JPY/USD, EUR/USD, GBP/USD, RMB/USD from Jan, 2000 to Dec, 2006, establishing cointegration model, we test the foreign exchange market efficiency. We find that the foreign exchange rate market of JPY and GBP, JPY and EUR, RMB and JPY, RMB and GBP, RMB and EUR is effective, and the finding matches with the fact. This indicates that the cointegration model is feasible to test the foreign exchange market efficiency by using long-term data. It provides beneficial suggestions to supervision administrative body to futare predicition by using this medhod. |
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| Keywords: | Foreign Exchange Market efficiency cointegration test |
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