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

【摘要】：匯率行為是匯率系統(tǒng)復(fù)雜規(guī)律的外在表現(xiàn),是在特定的管理機(jī)制下對(duì)外部影響因素變化進(jìn)行感知和響應(yīng)的客觀結(jié)果,其特征能夠反映出經(jīng)濟(jì)體的發(fā)展水平和金融市場(chǎng)的成熟程度。當(dāng)前,受到全球性金融危機(jī)的影響,各國(guó)匯率行為的異動(dòng)增多,呈現(xiàn)出更加顯著的動(dòng)態(tài)復(fù)雜性,由此也引發(fā)了學(xué)術(shù)界和實(shí)務(wù)界對(duì)匯率管理機(jī)制的高度關(guān)注。因此,全面總結(jié)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(yù)測(cè)模型,并定量研究匯率管理基準(zhǔn)和管理行為有效性,均具有重要的理論價(jià)值和現(xiàn)實(shí)意義。 本文依照匯率行為特征與匯率管理機(jī)制相一致的研究框架,遵循由理論探究到實(shí)證分析、再到政策建議的研究路線,針對(duì)各國(guó)匯率行為特征及其匯率安排的特點(diǎn),進(jìn)行了系統(tǒng)的規(guī)范化研究。通過構(gòu)建非線性模型并融合數(shù)字信號(hào)處理技術(shù)、機(jī)器學(xué)習(xí)算法以及數(shù)理統(tǒng)計(jì)與計(jì)量經(jīng)濟(jì)方法,對(duì)非線性匯率行為與匯率管理機(jī)制進(jìn)行了若干具有一定創(chuàng)新性的研究工作。主要的研究?jī)?nèi)容如下： 首先,本文界定了匯率行為與匯率管理機(jī)制的基本內(nèi)涵,強(qiáng)調(diào)匯率管理機(jī)制是中央銀行管理調(diào)控本國(guó)匯率的根本機(jī)理和操作準(zhǔn)則,既包括匯率管理基準(zhǔn)的確定,也包括以此基準(zhǔn)為參考對(duì)本國(guó)貨幣匯率行為的管理調(diào)控機(jī)理。同時(shí),系統(tǒng)地梳理了匯率行為與匯率管理機(jī)制的基本理論,并對(duì)相關(guān)的參數(shù)與非參數(shù)研究方法進(jìn)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(jī)制研究中的優(yōu)勢(shì)。其次,通過綜述匯率行為非線性特征的研究進(jìn)展,歸納總結(jié)出匯率行為普遍具有非正態(tài)性、波動(dòng)聚集性、非對(duì)稱性以及長(zhǎng)記憶性等典型的非線性特征。針對(duì)上述特征,分別應(yīng)用Jarque-Bera統(tǒng)計(jì)檢驗(yàn)方法、ARCH統(tǒng)計(jì)檢驗(yàn)方法、ARMA-GJR-GARCH模型以及MR/S模型等對(duì)4個(gè)發(fā)達(dá)國(guó)家和5個(gè)新興市場(chǎng)國(guó)家匯率的非線性行為特征進(jìn)行了實(shí)證檢驗(yàn)與度量。比較分析發(fā)現(xiàn),新興市場(chǎng)國(guó)家的匯率行為具有更加顯著的非線性特征和杠桿效應(yīng)。此外,通過對(duì)上述匯率行為非線性特征的檢驗(yàn)與度量發(fā)現(xiàn),在外匯市場(chǎng)中有效市場(chǎng)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(dú)立分量分析方法與支持向量機(jī)技術(shù)的匯率行為組合預(yù)測(cè)模型。利用人民幣兌美元的匯率對(duì)該模型的預(yù)測(cè)效果進(jìn)行了實(shí)證檢驗(yàn),并與其它典型的預(yù)測(cè)模型進(jìn)行了比較。實(shí)證結(jié)果表明,本文所提出的IC-SVM模型具有較高的預(yù)測(cè)精度和穩(wěn)健性。接著,首次提出人民幣名義貨幣籃子和實(shí)際貨幣籃子的概念,較好地解釋了官方宣稱的貨幣籃子構(gòu)成與學(xué)術(shù)界研究結(jié)論之間的差異。在此基礎(chǔ)上,迭代應(yīng)用上確界F檢驗(yàn),較準(zhǔn)確地偵測(cè)到匯率政策調(diào)整對(duì)匯率管理基準(zhǔn)的影響,從而獲得了更加有效的匯率管理參考基準(zhǔn)。在此基礎(chǔ)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(diào)控行為之間的共生性所導(dǎo)致的估計(jì)偏誤,并對(duì)匯率管理調(diào)控手段的有效性及其影響因素進(jìn)行了實(shí)證研究。實(shí)證結(jié)果表明,央行外匯市場(chǎng)操作是最為直接有效的匯率管理手段,但同時(shí)也會(huì)加劇匯率波動(dòng),可能帶來額外的貨幣風(fēng)險(xiǎn)。最后,在上述實(shí)證研究的基礎(chǔ)上,本文系統(tǒng)地闡述了人民幣匯率形成機(jī)制的歷史發(fā)展進(jìn)程和階段性內(nèi)涵,討論了當(dāng)前人民幣匯改進(jìn)程中面臨的核心問題與挑戰(zhàn),同時(shí)提出推進(jìn)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(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F831.6;F224

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本文編號(hào)：1822503