本文選題：結(jié)構(gòu)突變 + 人民幣匯率��； 參考：《湖南大學》2012年碩士論文

【摘要】：近年來,人民幣匯率的波動及其成因越來越為各界所關(guān)注。造成人民幣匯率波動的原因既有宏觀經(jīng)濟因素的影響,如金融政策、經(jīng)濟增長、利率等；也包括微觀結(jié)構(gòu)因素的影響,如交易機制、私有信息等。同時,由于全球金融經(jīng)濟一體化,其它國家市場的異常波動也對人民幣匯率的波動特征造成影響。因此,本文從結(jié)構(gòu)突變點分析的視角研究其對波動特征的影響,以期更準確地認識人民幣匯率的波動特征。 本文首先對結(jié)構(gòu)突變點和人民幣匯率波動性的相關(guān)文獻進行回顧,從理論上分析結(jié)構(gòu)突變點的檢測方法、人民幣匯率的波動特征及相關(guān)模型,在此基礎(chǔ)上檢驗人民幣匯率的基本統(tǒng)計特征；然后分別利用循序檢驗法、修正ICSS算法對人民幣匯率進行均值、方差結(jié)構(gòu)突變點檢測,進而搜集與結(jié)構(gòu)突變點相應(yīng)的重大事件探討其成因；最后依據(jù)檢測到的結(jié)構(gòu)突變點,引入GARCH族模型中,對比分析考慮結(jié)構(gòu)突變點前后人民幣匯率波動特征的變化,并對波動模型的估計效果進行評價。 研究結(jié)果表明,結(jié)構(gòu)突變是人民幣匯率中的常見現(xiàn)象。其中,僅人民幣兌美元匯率中存在均值結(jié)構(gòu)突變點。未加入結(jié)構(gòu)突變點之前,人民幣匯率存在較高的波動持續(xù)性,且均存在非對稱效應(yīng)；加入結(jié)構(gòu)突變點后能降低人民幣匯率的波動偽持續(xù)性,且人民幣匯率的非對稱信息效應(yīng)增強；同時加入兩種結(jié)構(gòu)突變點更能真實反映人民幣匯率的波動特征。
[Abstract]:In recent years, the fluctuation of RMB exchange rate and its causes have attracted more and more attention. The causes of RMB exchange rate fluctuation include macroeconomic factors, such as financial policy, economic growth, interest rate and so on, as well as microstructural factors, such as trading mechanism, private information and so on. At the same time, due to the integration of global financial economy, the abnormal volatility of other countries' markets also has an impact on the volatility of RMB exchange rate. Therefore, this paper studies its impact on volatility from the point of view of structural catastrophe analysis, in order to understand the volatility characteristics of RMB exchange rate more accurately. In this paper, we first review the literature on structural mutation points and RMB exchange rate volatility, and theoretically analyze the detection methods of structural catastrophe points, the volatility characteristics of RMB exchange rate and the relevant models. On this basis, the basic statistical characteristics of RMB exchange rate are tested, and then the mean and variance structure mutation points of RMB exchange rate are detected by using sequential test method and modified ICSS algorithm, respectively. Finally, according to the detected structural mutation point, the GARCH family model is introduced to analyze the change of RMB exchange rate fluctuation characteristics before and after considering the structural mutation point. The estimation effect of the volatility model is evaluated. The results show that structural mutation is a common phenomenon in RMB exchange rate. Among them, only the RMB exchange rate against the dollar there is a structural change in the mean point. Before the structural change point is added, the RMB exchange rate has high volatility persistence and asymmetric effect, and the pseudo-persistence of RMB exchange rate can be reduced by adding the structural mutation point. The asymmetric information effect of RMB exchange rate is enhanced, and the fluctuation characteristics of RMB exchange rate can be more truly reflected by adding two structural catastrophe points at the same time.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.6

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