管理浮动机制下的人民币汇率行为分析——基于贝叶斯MCMC推断法与ESVDJ模型

本文提出一种汇率行为的理论模型——ESVDJ模型,并对该模型的估计设计出贝叶斯MCMC推断法。实证研究表明,在管理浮动汇率机制下,人民币汇率的日常波动持续地维持在较小范围。但如果市场供求双方发生显著的失衡,人民币汇率将产生跳跃行为,由此引发异常的汇率风险。此外,外汇市场并不显著地存在类似于权益市场的杠杆效应。本文同时对ESVDJ模型与通常的随机波动性模型SV及SVJ模型进行对比。MCMC似然比检验与密度函数非参数估计表明,后两者存在较大的设定错误。本文最后对汇率风险监管提出政策建议。

An Analysis of RMB Exchange Rate Behavior Based on MCMC Method and ESVDJ Model

In this paper, we propose a new theoretical model, ESVDJ, to describe the dynamic behavior of exchange rate between RMB and foreign currencies, as well as to design a MCMC inference algorithm for estimating the model. The empirical results employed in this model suggest that the daily change of RMB is con- strained in small scope with highly persistent volatility. However, RMB may produce jumps when foreign exchange market encounters serious imbalance between demand and supply. Furthermore, RMB exchange market does not have significant leverage effect after taking account on the existence of jumps. Finally, the paper provides a MCMC ratio and nonparametric test for the SV, SVJ and ESVDJ, and test result favors our ESVDJ model.