本文選題：匯率 + 泰勒法則��； 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：本文主要研究匯改后人民幣匯率的預(yù)測(cè)模型,通過構(gòu)建開放經(jīng)濟(jì)條件下中美兩國的泰勒法則公式,結(jié)合無拋補(bǔ)的利率平價(jià)公式,推導(dǎo)出人民幣兌美元匯率與宏觀經(jīng)濟(jì)變量(產(chǎn)出缺口、通貨膨脹率、實(shí)際匯率、名義利率)之間的關(guān)系。本文選取了2005年8月至2013年12月總共101個(gè)月的數(shù)據(jù),分別用HP濾波法和結(jié)構(gòu)化VAR模型估計(jì)了產(chǎn)出缺口,建立匯率波動(dòng)的預(yù)測(cè)模型,以最后3年為預(yù)測(cè)期,分別使用了固定樣本回歸和滾動(dòng)樣本回歸對(duì)模型的預(yù)測(cè)能力進(jìn)行分析。同時(shí),本文選擇隨機(jī)游走模型作為基準(zhǔn)模型,通過考察MSPE、CW統(tǒng)計(jì)量、TU統(tǒng)計(jì)量和DMW統(tǒng)計(jì)量,對(duì)泰勒法則模型與無拋補(bǔ)利率平價(jià)模型、彈性貨幣模型和購買力平價(jià)模型的預(yù)測(cè)能力進(jìn)行對(duì)比。本文的研究結(jié)果表明,泰勒法則模型在中短期對(duì)匯率波動(dòng)的預(yù)測(cè)能力明顯優(yōu)于無拋補(bǔ)利率平價(jià)模型、購買力平價(jià)模型和彈性貨幣模型,其預(yù)測(cè)的MSPE在所有模型中最小。作為以經(jīng)濟(jì)理論為基礎(chǔ)的預(yù)測(cè)模型,泰勒法則模型考慮了決定匯率中短期波動(dòng)的貨幣政策方面的因素,在一定程度上彌補(bǔ)了傳統(tǒng)模型的缺陷。
[Abstract]:This paper mainly studies the prediction model of RMB exchange rate after remittance. By constructing the Taylor rule formula of China and the United States under the open economic conditions and combining the formula of the non tossed interest rate parity, the relationship between the exchange rate of RMB and the macroeconomic variables (output gap, inflation rate, real exchange rate, nominal interest rate) is deduced. The data of 101 months from August 2005 to December 2013 are taken. The output gap is estimated by HP filtering and structured VAR model, and the prediction model of exchange rate fluctuation is established. The prediction ability of the model is analyzed using the fixed sample regression and rolling sample regression in the last 3 years. Taking the model as a reference model, by examining MSPE, CW statistics, TU statistics and DMW statistics, the prediction ability of the Taylor's rule model and the non tossed interest rate parity model, the elastic money model and the purchasing power parity model is compared. The results of this paper show that the prediction ability of the Taylor method is clear in the middle and short term on the exchange rate fluctuation. The MSPE model, which is based on the economic theory, considers the factors that determine the monetary policy of the short-term volatility in the exchange rate, to a certain extent, to make up for the deficiency of the traditional model. Depression.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

【相似文獻(xiàn)】

相關(guān)期刊論文 前1條

1 胡志國;;通貨膨脹目標(biāo)區(qū)與非線性泰勒法則[J];技術(shù)經(jīng)濟(jì)與管理研究;2012年06期

相關(guān)重要報(bào)紙文章 前2條

1 劉海影;中國央行需要自己的“泰勒法則”[N];中國證券報(bào);2012年

2 高盛美國首席經(jīng)濟(jì)學(xué)家 Jan Hatzius;美聯(lián)儲(chǔ)不會(huì)很快重啟量化寬松[N];證券時(shí)報(bào);2011年

相關(guān)碩士學(xué)位論文 前1條

1 鄧曉丹;基于泰勒法則的人民幣匯率預(yù)測(cè)[D];復(fù)旦大學(xué);2014年

，

本文編號(hào)：2096618