基于非线性计量模型的不同期汇率波动研究

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摘要

汇率作为一个国家进行国际经贸活动的重要价格指标，它的变化对一国对外

贸易的平衡和国内经济活动的波动都具有重要的影响，汇率的变动也关系着一国

金融秩序的稳定。我国的人民币汇率制度是以市场供求为基础、参考一篮子货币

进行调节有管理的浮动汇率制度。由于我国国际上的经济贸易往来越来越频繁，

国际金融事件对我国汇率波动产生的影响也越来越大。而我国实行的这种有管理

的浮动汇率制度也并不是最终的汇率选择，未来汇率可能实现完全浮动，汇率制

度的变更也会导致汇率波动。我国利率的市场化进程并没有彻底完成，利率依旧

存在管制，这也会影响汇率制度的完善，进而影响汇率波动。因此，对不同期汇

率波动的研究对一国经济市场的稳定、制定相应的宏观和微观货币政策有着十分

重要的意义。研究汇率波动与金融稳定的关系，对我国货币政策的制定也有重要

的参考意义。

本文选取的人民币兑美元汇率为 1999 年1月19 日到 2013 年12 月27 日的即

期汇率和 1999 年1月19 日到 2010 年12 月30的一月、三月、六月、九月、一年、

两年、五年远期汇率。主要是运用两种非线性计量模型对人民币兑美元不同期汇

率的波动进行研究，结合图表直观地分析汇率波动的特征。首先，介绍我国汇率

的发展进程，了解汇率波动和宏观经济形势的最新动态；研究线性计量模型和非

线性计量模型的发展过程、应用领域以及国内外的相关研究成果。然后，先对不

同期的汇率数据运用 Eviews6.0 软件进行特征分析，结果发现原汇率数据不是稳

定时间序列。必须对原汇率数据进行预处理，本文是将原汇率数据做一阶差分处

理，并对预处理的结果进行分析，初步得出汇率波动的特征。进一步对对数收益

率进行分析，运用 MATLAB 软件基于马尔科夫转换机制的 ARCH 模型分析即期

汇率的波动特征、基于门限自回归的 AR 模型分析不同期汇率的波动特征。根据

分析计量模型研究出汇率波动的特征，并计算出不同期汇率的预测数据。最后，

原始数据和预测数据进行比较分析，得到汇率波动的特征和异常波动点，并将异

常波动点与宏观经济形势和宏观事件相对照。也进一步解释宏观因素对汇率波动

的影响。

由马尔可夫机制转换分析方法的图表，我们可以得到汇率在升值和贬值的过

程中波动的幅度是不一样的。人民币兑美元汇率在升值过程中比在贬值过程中波

动要明显。研究门限自回归模型得出的不同期汇率数据图，我们明显看出无论是

即期汇率还是远期汇率都有三处最明显的波动，经过研究分析并结合国内外发生

的重大事件，得到这分别与东亚金融危机、人民币汇率改革、次贷危机有显著关

系。而且汇率期限越长，存在的不确定因素越多，例如：未来的供求关系、投机

活动、突发事件、央行干预、未知的经济和政治因素等等，汇率波动越明显。总

体看来我国汇率是处于升值状态的和平稳状态的，几乎没有出现贬值状态，这与

我国采用的汇率制度有直接的关系，这也兑现了我国货币汇率在面对任何来自国

内和国际的金融危机都不会贬值的承诺。

关键词：不同期汇率异常波动非线性计量模型

ABSTRACT

Exchange rate as a national important price index of international economic and

trade activities, its change has important influence to the balance of a country's foreign

trade and domestic economic activity fluctuations. The change of exchange rate also

has relationship with the stability of a country's financial order. The RMB exchange

rate regime is based on market supply and demand in our country, a reference to a

basket of currencies managed floating exchange rate system. Due to the Chinese

international economic and trade exchanges have become more frequent, international

financial events are becoming more and more serious on the impact of exchange rate

fluctuations in our country. And the managed floating exchange rate system that our

country implemented is not the ultimate currency options, future exchange rate may be

fully floating, achieve the change of exchange rate regime can also lead to exchange

rate fluctuations. Interest rate marketization in our country has not been completed,

interest rates still exist, which will also affect influence the improvement of the

exchange rate system and the impact of currency fluctuations. Therefore, the research

of exchange rate fluctuations has very important significance in the different period of

a country's stable economic market and the corresponding micro and macro monetary

policy. Research exchange rate volatility and the relationship between financial

stability have also important reference significance to our country monetary policy.

This article selects the RMB exchange rate against the dollar on January 19, 1999

to December 27, 2013, and the spot exchange rate of the January 19, 1999 to

December 30, 2010 which includes of one month, three months, six months, nine

months, one year, two years, and five years. Mainly is to use two kinds of nonlinear

econometric model to study the different period of exchange rate fluctuations of the

RMB against the dollar, combining the feature of chart visually to analyze exchange

rate fluctuation. First of all, this paper introduces the development process of China's

currency; grasp the newest trend of exchange rate fluctuations and macroeconomic

situation; linear measurement model and the nonlinear model of the development

process, application fields and the related research results at home and abroad. Then,

the first rate data of different maturities using Eviews6.0 software characteristic

analysis, the results showed that the exchange rate is not stable time series data. Must

be conducted on the original rate data pretreatment, this paper is to do the original rate

data of first order differential treatment, and analyzes the results of the pretreatment,

preliminarily concluded that the characteristics of the exchange rate volatility. And

then, analyzing the logarithm yield, using the MATLAB software based on the

mechanism of markov switching ARCH model to analysis the characteristics of

exchange rate fluctuations，based on threshold autoregressive AR model to analysis the

characteristics of different exchange rate. According to the analysis of measurement

model, that is the study of the characteristics of the exchange rate volatility, and

calculates the prediction data of different maturities exchange rate. Finally, compares

and analyses the raw data and predicted data have the characteristics of the exchange

rate volatility and abnormal fluctuations, and abnormal fluctuations and macro

economy and macro events. Also to further explain the macro factors on the fluctuation

of exchange rate.

By the chart analysis method used markov mechanism transformation; we can get

the different fluctuations in the exchange rate in the process of appreciation and

depreciation rate. In the process of appreciation of their currency against the dollar is

obvious than fluctuations in the process of value. According to the different period of

time limit threshold autoregressive model exchange rate data graph, we clearly

concluded that both in the spot exchange rate and the forward rate have three of the

most obvious fluctuations, after analysis in combination with the major events that

took place at home and abroad, there have respectively significant relationship with the

east Asian financial crisis, the RMB exchange rate reform and the subprime crisis. And

the longer the period of the exchange rate, the more uncertain factors, such as: the

future of supply and demand, speculation, emergency, the central bank intervention,

unknown economic and political factors, etc., the more obvious exchange rate

fluctuations. Overall China's exchange rate is in a state of appreciation and steady state,

almost no devaluation of state, and this has a direct relationship between exchange rate

systems in China, it also fulfilled the currency exchange rate in the face of any other

domestic and international financial crisis will not be depreciated.

Keywords: different exchange rate, abnormal fluctuations, nonlinear,

econometric model

中文摘要

ABSTRACT

第一章绪论 ........................................................ 1

1.1 引言 ........................................................ 1

1.1.1 研究背景与研究问题的提出 .............................. 1

1.1.2 本文研究的意义 ........................................ 1

1.1.3 本文研究的内容、方法与要解决的问题 .................... 2

1.2 人民币汇率市场的发展历程及现状 .............................. 3

1.2.1 改革开放前人民币汇率制度的发展进程 ..................... 3

1.2.2 改革开放后的人民币汇率制度的发展进程 ................... 4

1.2.3 2005 年汇改后人民币汇率的发展历程 ...................... 5

1.2.4 小结 .................................................. 5

1.3 文献综述 .................................................... 6

1.3.1 理论渊源与演变 ........................................ 6

1.3.2 国外关于基于非线性计量模型对汇率波动的研究现状 ........ 7

1.3.3 国内关于基于非线性计量模型对汇率波动的研究现状 ........ 8

1.3.4 文献总结 .............................................. 11

第二章基本理论和模型 ............................................ 13

2.1 汇率基本理论 ............................................... 13

2.1.1 汇率决定理论 ......................................... 13

2.1.2 汇率制度理论 .......................................... 14

2.2 计量模型 ................................................... 15

2.2.1 ARCH 模型 ............................................. 15

2.2.2 非线性模型 ........................................... 16

第三章基于不同期汇率的模型研究 ................................... 21

3.1 基于马尔科夫转换机制的 ARCH 模型 ............................ 21

3.1.1 建立模型 ............................................. 21

3.1.2 参数估计 ............................................. 22

3.1.3 模型评价 .............................................. 23

3.2 基于门限自回归的 AR 模型 .................................... 23

3.2.1 建立模型 .............................................. 23

3.2.2 参数估计 .............................................. 25

第四章不同期汇率数据处理及特征分析 ............................... 26

4.1 数据选取及初步分析 ......................................... 26

4.2 平稳性检验 ................................................. 28

4.3 数据处理及平稳性检验 ....................................... 32

4.4 非线性检验 ................................................. 37

第五章模型计算和结果分析 ......................................... 42

5.1 基于马尔科夫转换机制的 ARCH 模型计算和结果分析 .............. 42

5.2 基于门限自回归的 AR 模型计算和结果分析 ...................... 43

第六章总结与展望 ................................................. 55

6.1 结论 ....................................................... 55

6.2 建议 ....................................................... 56

6.3 研究展望 ................................................... 56

参考文献 .......................................................... 58

在读期间公开发表的论文和承担科研项目及取得成果 .................... 62

致谢 .............................................................. 63

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