| 随机性、市场干预与外汇市场有效性——对人民币汇率的动态分析 |
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| 引用本文： | 盛斌,吴建涛. 随机性、市场干预与外汇市场有效性——对人民币汇率的动态分析[J]. 世界经济研究, 2010, 0(3) |
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| 作者姓名： | 盛斌 吴建涛 |
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| 作者单位： | 南开大学国际经济研究所 |
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| 摘 要： | 外汇市场的有效性程度是考察汇率形成机制是否灵活与合理的重要途径。本文运用近似熵的分析方法研究了汇率改革前后人民币外汇市场有效性的动态变化。研究发现,汇改使人民币对日元和欧元间外汇市场的有效性下降,而人民币对美元间外汇市场的有效性在增加。同时,央行对外汇市场干预的强度越大,人民币外汇市场的有效性就越低。经验表明,参考一篮子汇率制度的实施是提高人民币外汇市场有效性的一个重要途径。
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| 关 键 词： | 市场有效性 外汇干预 人民币汇率 近似熵 |
Randomness,Foreign Exchange Market Intervention and Market Effectiveness:A Dynamic Analysis on the RMB Exchange Rate |
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| Sheng Bin,Wu Jiantao. Randomness,Foreign Exchange Market Intervention and Market Effectiveness:A Dynamic Analysis on the RMB Exchange Rate[J]. World Economy Study, 2010, 0(3) |
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| Authors: | Sheng Bin Wu Jiantao |
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| Abstract: | The extent of foreign exchange market efficiency is an important approach to investigate whether an exchange rate regime is flexible and reasonable.The paper uses the method of approximate entropy to study the dynamics of efficiency of RMB foreign exchange market before and after the RMB exchange rate regime reform.We find that after reform the efficiency of foreign exchange market between RMB and Euro and Yen reduced,while the efficiency of foreign exchange market between RMB and U.S.dollar increased.Meanw... |
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