“适应性学习”下人民币汇率的货币模型

传统的汇率货币模型建立在理性预期基础上,无法解释现实中的汇率波动。本文放松了理性预期的假定,并引入适应性学习来考察汇改后人民币汇率的货币模型。结果表明:在适应性学习引入之前,货币模型预测能力比不上简单的随机游走模型;而在引入之后,其预测能力大幅改善,很好地模拟了汇率实际波动。因此传统的货币模型并没有完全失效,引入适应性学习后仍然适宜于刻画汇改后人民币汇率的短期走势。

A Monetary Model of RMB under Adaptive Learning

Traditional exchange rate model based on rational expectation fails to explain the volatility of exchange rate.We relax the assumption and introduce adaptive learning to study RMB after the exchange rate system reform,and find that:monetary model improves greatly when using adaptive learning rule.So we conclude that monetary model with adaptive learning can best describe the dynamic of RMB after the regime reform.