民币对美元日汇率决定模型研究

基于汇率决定理论的最新研究进展．本文分析了人民币对美元日汇率的影响因素。研究发现，宏观经济新闻、外汇市场微观因素买卖价差是人民币对美元日汇率的重要影响因素，而中美相对利率并不是人民币对美元日汇率的影响因素。进一步，本文将随机游走模型、新闻变量以及外汇市场微观因素结合起来，构建了人民币对美元日汇率决定理论模型。实证研究发现，人民币对美元日汇率由自身滞后值、中国经济活动方面的新闻和零售市场买卖价差决定。

Research on the Determination Model of the RMB/Dollar Daily Exchange Rate

Based on the latest research progress of exchange rate determination theory, this paper analyzes influence factors of the RMB/Dollar daily exchange rate. The research shows that macro economic news and the foreign exchange market micro factor bid-ask spread are important influence factors of the RMB/Dollar daily exchange rate, while the relative interest rate between the U.S. and China is not influence factor of the RMB/Dollar daily exchange rate. Furthermore, this paper combines random walk model, news variables with the foreign exchange market micro factor and constructs the determination theory model of the RMB/Dollar daily exchange rate. Empirical research shows that the RMB/Dollar daily exchange rate was determined by its lagged value, news of China＇s economic activities and bid-ask spread of retail market. The RMB/Dollar daily exchange rate determination model constructed in this paper is superior to the traditional random walk model on simulation effect and in and out of sample predictive effect.