發(fā)布時間：2018-04-30 01:33

  本文選題：匯率行為 + 非線性�。� 參考：《湖南大學》2012年博士論文

【摘要】：匯率行為是匯率系統(tǒng)復雜規(guī)律的外在表現(xiàn),是在特定的管理機制下對外部影響因素變化進行感知和響應的客觀結果,其特征能夠反映出經(jīng)濟體的發(fā)展水平和金融市場的成熟程度。當前,受到全球性金融危機的影響,各國匯率行為的異動增多,呈現(xiàn)出更加顯著的動態(tài)復雜性,由此也引發(fā)了學術界和實務界對匯率管理機制的高度關注。因此,全面總結和提練匯率行為的非線性特征,探索非線性范式下的匯率行為組合預測模型,并定量研究匯率管理基準和管理行為有效性,均具有重要的理論價值和現(xiàn)實意義。 本文依照匯率行為特征與匯率管理機制相一致的研究框架,遵循由理論探究到實證分析、再到政策建議的研究路線,針對各國匯率行為特征及其匯率安排的特點,進行了系統(tǒng)的規(guī)范化研究。通過構建非線性模型并融合數(shù)字信號處理技術、機器學習算法以及數(shù)理統(tǒng)計與計量經(jīng)濟方法,對非線性匯率行為與匯率管理機制進行了若干具有一定創(chuàng)新性的研究工作。主要的研究內容如下： 首先,本文界定了匯率行為與匯率管理機制的基本內涵,強調匯率管理機制是中央銀行管理調控本國匯率的根本機理和操作準則,既包括匯率管理基準的確定,也包括以此基準為參考對本國貨幣匯率行為的管理調控機理。同時,系統(tǒng)地梳理了匯率行為與匯率管理機制的基本理論,并對相關的參數(shù)與非參數(shù)研究方法進行了比較分析,借此闡明了非線性研究方法在匯率行為與匯率管理機制研究中的優(yōu)勢。其次,通過綜述匯率行為非線性特征的研究進展,歸納總結出匯率行為普遍具有非正態(tài)性、波動聚集性、非對稱性以及長記憶性等典型的非線性特征。針對上述特征,分別應用Jarque-Bera統(tǒng)計檢驗方法、ARCH統(tǒng)計檢驗方法、ARMA-GJR-GARCH模型以及MR/S模型等對4個發(fā)達國家和5個新興市場國家匯率的非線性行為特征進行了實證檢驗與度量。比較分析發(fā)現(xiàn),新興市場國家的匯率行為具有更加顯著的非線性特征和杠桿效應。此外,通過對上述匯率行為非線性特征的檢驗與度量發(fā)現(xiàn),在外匯市場中有效市場假說并不成立。再次,本文依據(jù)匯率行為的非線性基本特征,提出了基于獨立分量分析方法與支持向量機技術的匯率行為組合預測模型。利用人民幣兌美元的匯率對該模型的預測效果進行了實證檢驗,并與其它典型的預測模型進行了比較。實證結果表明,本文所提出的IC-SVM模型具有較高的預測精度和穩(wěn)健性。接著,首次提出人民幣名義貨幣籃子和實際貨幣籃子的概念,較好地解釋了官方宣稱的貨幣籃子構成與學術界研究結論之間的差異。在此基礎上,迭代應用上確界F檢驗,較準確地偵測到匯率政策調整對匯率管理基準的影響,從而獲得了更加有效的匯率管理參考基準。在此基礎上,提出了基于工具變量法和廣義自回歸條件異方差模型的組合范式,修正了由匯率收益與管理調控行為之間的共生性所導致的估計偏誤,并對匯率管理調控手段的有效性及其影響因素進行了實證研究。實證結果表明,央行外匯市場操作是最為直接有效的匯率管理手段,但同時也會加劇匯率波動,可能帶來額外的貨幣風險。最后,在上述實證研究的基礎上,本文系統(tǒng)地闡述了人民幣匯率形成機制的歷史發(fā)展進程和階段性內涵,討論了當前人民幣匯改進程中面臨的核心問題與挑戰(zhàn),同時提出推進匯改的政策建議,并展望了人民幣匯率的發(fā)展前景。
[Abstract]:The exchange rate behavior is the external manifestation of the complex law of the exchange rate system, the objective result of the perception and response to the changes of external factors under the specific management mechanism. Its characteristics can reflect the development level of the economy and the maturity of the financial market. The increase, showing a more significant dynamic complexity, has also aroused the high concern of the exchange rate management mechanism in the academic and practical circles. Therefore, the nonlinear characteristics of the exchange rate behavior are summarized and practiced in a comprehensive way, and the combination forecast model of the exchange rate behavior under the nonlinear paradigm is explored, and the exchange rate management benchmarks and the effectiveness of the management behavior are studied quantitatively. All of them have important theoretical and practical significance.
In accordance with the research framework consistent with the exchange rate behavior characteristics and exchange rate management mechanism, this paper follows from theoretical to empirical analysis, and then to the research route of policy recommendations. The systematic research on the characteristics of exchange rate behavior and exchange rate arrangement is carried out systematically. The nonlinear model is constructed and the digital signal processing technology is fused. The machine learning algorithm and mathematical statistics and econometric methods have carried out a number of innovative research work on the nonlinear exchange rate behavior and exchange rate management mechanism. The main contents are as follows:
First, this paper defines the basic connotation of exchange rate behavior and exchange rate management mechanism, and emphasizes that the exchange rate management mechanism is the fundamental mechanism and operating criteria of the central bank management and regulation of the national exchange rate, including the determination of the exchange rate management benchmarks and the management and regulation mechanism of the exchange rate behavior of the domestic currency as a reference. The basic theory of exchange rate behavior and exchange rate management mechanism is combed, and the relative parameters and non parameter research methods are compared and analyzed. In this way, the advantages of the nonlinear research method in the study of exchange rate behavior and exchange rate management mechanism are clarified. Secondly, the exchange rate is summarized and summarized through the review of the research progress of the nonlinear characteristics of exchange rate behavior. Behavior generally has the typical nonlinear characteristics such as non normality, volatility aggregation, asymmetry and long memory. According to the above characteristics, the Jarque-Bera statistical test method, ARCH statistical test method, ARMA-GJR-GARCH model and MR/S model are applied to the nonlinear behavior of the exchange rates of 4 developed countries and 5 emerging market countries. The empirical test and measurement are carried out. The comparative analysis shows that the exchange rate behavior of emerging market countries has more significant nonlinear characteristics and leverage effects. In addition, the effective market hypothesis in the foreign exchange market is not established by testing and measuring the nonlinear characteristics of the exchange rate behavior. Again, this paper is based on the exchange rate behavior. A combination prediction model of exchange rate behavior based on independent component analysis and support vector machine is proposed. The prediction effect of the model is tested with the exchange rate of RMB against the dollar, and the comparison with other typical forecasting models is made. The results show that the IC-SVM model proposed in this paper has a good result. Then, the concept of the nominal currency basket and the actual currency basket is first proposed, which explains the difference between the official declared currency basket and the academic research conclusion. On this basis, the iterative application is confirmed by the F test, and the exchange rate policy adjustment is more accurate. On the basis of this, a combination paradigm based on the tool variable method and the generalized autoregressive conditional heteroscedasticity model is proposed on the basis of the influence of the management benchmarks, and the estimation error caused by the symbiosis between exchange rate income and management regulation behavior is amended, and the control means of exchange rate management are also adjusted. The empirical results show that the operation of the central bank's foreign exchange market is the most direct and effective means of exchange rate management, but it also aggravates the fluctuation of exchange rate and may bring additional currency risk. Finally, on the basis of the above empirical study, this paper systematically expounds the formation mechanism of the RMB exchange rate. The historical development process and the stage connotation, discussed the core problems and challenges facing the current RMB exchange reform process, and put forward the policy proposals to promote the exchange reform, and looked forward to the prospects for the development of the RMB exchange rate.

【學位授予單位】：湖南大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F831.6;F224

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