【摘要】：匯率問題作為每個(gè)國家貨幣政策最為關(guān)注的焦點(diǎn)之一,在當(dāng)前國際環(huán)境不穩(wěn)定的前提下,對影響匯率波動因素的研究非常必要。新聞模型將資產(chǎn)市場分析方法和理性預(yù)期假說兩者有效地結(jié)合起來,通過研究經(jīng)濟(jì)基本面中未預(yù)料到的新聞對于匯率變動的影響,來分析宏觀經(jīng)濟(jì)基本面新聞與匯率波動之間的聯(lián)動性。作為一項(xiàng)新穎的匯率研究方法,新聞模型在理論和實(shí)踐上還不夠成熟。本文試圖進(jìn)一步豐富和發(fā)展新聞模型理論,并將新聞模型應(yīng)用于人民幣對于美元的匯率變動研究,使該模型能夠更好地為我國政策服務(wù)。文章內(nèi)容大致分為以下幾個(gè)部分： 第一部分,簡要介紹本文的研究背景,從國外和國內(nèi)兩方面進(jìn)行文獻(xiàn)綜述,概括出國內(nèi)外研究的重點(diǎn)和結(jié)論,最后介紹本文的研究目的、內(nèi)容架構(gòu)和可能的創(chuàng)新之處。 第二部分,首先分析了新聞模型的理論來源：資產(chǎn)市場分析方法和理性預(yù)期假說,在此基礎(chǔ)上從廣義和狹義兩個(gè)方面對新聞模型進(jìn)行界定,確定本文采用的新聞模型。 第三部分,關(guān)于新聞項(xiàng)的選取和預(yù)期值的確定。其中對于宏觀經(jīng)濟(jì)基本面新聞主要從實(shí)體經(jīng)濟(jì)、貨幣政策、價(jià)格指標(biāo)和綜合新聞指標(biāo)等四方面進(jìn)行選��；新聞項(xiàng)預(yù)期值則選用上一期新聞項(xiàng)的實(shí)際值。 第四部分,新聞模型的建立和實(shí)證分析。本部分是全文的核心,在前面分析的基礎(chǔ)上確定本文采用的新聞模型。通過對新聞項(xiàng)進(jìn)行回歸分析,得出匯率波動與基本面新聞之間聯(lián)動性的實(shí)證分析結(jié)果。 第五部分,主要結(jié)論及其解釋。對第四部分的實(shí)證分析結(jié)果進(jìn)行總結(jié)概括,判斷匯率與宏觀經(jīng)濟(jì)基本面新聞之間是否存在聯(lián)動性以及哪些因素的影響相對較大,并總結(jié)出我國匯率政策的重點(diǎn)。 第六部分,全文總結(jié)及發(fā)展建議。對文章寫作過程中遇到的瓶頸及解決措施進(jìn)行總結(jié)概括,就新聞模型未來的發(fā)展提出建議。
[Abstract]:Exchange rate is one of the focuses of monetary policy in every country. Under the premise of the instability of international environment, it is necessary to study the factors that affect the fluctuation of exchange rate. The news model effectively combines the asset market analysis method with the rational expectation hypothesis and studies the impact of unexpected news on the exchange rate changes in economic fundamentals. To analyze the macroeconomic fundamentals of news and exchange rate fluctuations between the linkage. As a novel exchange rate research method, news model is not mature in theory and practice. This paper attempts to further enrich and develop the news model theory, and applies the news model to the study of RMB exchange rate changes against the US dollar, so that the model can better serve the policy of our country. The content of this paper is divided into the following parts: the first part briefly introduces the research background of this paper, summarizes the domestic and foreign literature, summarizes the emphasis and conclusion of the research at home and abroad. Finally, this paper introduces the research purpose, content structure and possible innovations. The second part first analyzes the theoretical source of the news model: asset market analysis method and rational expectation hypothesis, then defines the news model from two aspects of broad sense and narrow sense, and determines the news model adopted in this paper. The third part, about the news item selection and the anticipated value determination. The macroeconomic fundamentals of news are mainly selected from real economy, monetary policy, price index and comprehensive news index, while the expected value of news item is selected from the actual value of the previous news item. The fourth part, the establishment of news model and empirical analysis. This part is the core of this paper, based on the previous analysis to determine the news model adopted in this paper. Through the regression analysis of news items, the empirical results of the linkage between exchange rate fluctuation and fundamental news are obtained. The fifth part, the main conclusion and its explanation. The results of empirical analysis in the fourth part are summarized to determine whether there is a linkage between exchange rate and macroeconomic fundamentals and which factors have a relatively large impact, and to sum up the key points of our exchange rate policy. The sixth part, the full text summary and the development proposal. This paper summarizes the bottlenecks encountered in the process of writing, and puts forward some suggestions for the future development of the news model.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F830.7

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本文編號：2202479