本文選題：人民幣匯率 + 匯率改革　； 參考：《武漢理工大學(xué)》2015年碩士論文

【摘要】：匯率是貨幣之間相互兌換的比率。隨著全球化經(jīng)濟(jì)的迅猛發(fā)展,匯率成為世界貿(mào)易中越來(lái)越重要的杠桿工具。如何更好地刻畫和分析匯率的波動(dòng)特征成為一個(gè)研究的重要課題。2005年7月,我國(guó)進(jìn)行的匯率改革,引起了世界各國(guó)的廣泛關(guān)注;2008年美國(guó)發(fā)生次貸危機(jī),最終演變成為全球化的金融危機(jī)。我國(guó)是一個(gè)對(duì)外貿(mào)有極高依賴性的國(guó)家,因此研究我國(guó)匯改前后和金融危機(jī)前后人民幣匯率兌美元和歐元的匯率波動(dòng)特征有著重要的經(jīng)濟(jì)意義。論文基于此做了如下方面的研究工作,得出了較為滿意的結(jié)論。論文通過(guò)建立平滑轉(zhuǎn)換-門限廣義自回歸條件異方差(STAR?TGARCH(1,1))模型族,采用貝葉斯統(tǒng)計(jì)方法較為詳細(xì)地研究了美元和歐元兌人民幣匯率在匯率改革前后和金融危機(jī)前后的的波動(dòng)特征。實(shí)證研究結(jié)果表明:(1)美元兌人民幣匯率在匯改前基本維持不變,只存在很小的波動(dòng),不具有GARCH效應(yīng);而在匯改后美元兌人民幣匯率滿足GARCH平穩(wěn)條件,具有顯著的GARCH效應(yīng)和負(fù)杠桿效應(yīng);人民幣兌歐元匯率在匯改前后都滿足GARCH模型的平穩(wěn)條件,匯改后匯率的調(diào)整和速度高于危機(jī)前,在匯改前后都具有負(fù)的杠桿效應(yīng),但是匯改后的杠桿效應(yīng)強(qiáng)于匯改前。這說(shuō)明我國(guó)匯改政策起到了顯著作用,有效地增加了人民幣匯率隨著市場(chǎng)變化的靈活性。(2)在金融危機(jī)前美元兌人民幣的匯率具有顯著的GARCH效應(yīng),但只有在金融危機(jī)后才符合GARCH模型的平穩(wěn)條件;金融危機(jī)后人民幣匯率的調(diào)整速度小于危機(jī)前的調(diào)整速度;無(wú)論是在危機(jī)前和危機(jī)后人民幣匯率都具有杠桿效應(yīng),但是危機(jī)后相比危機(jī)前較弱。而歐元兌人民幣匯率在金融危機(jī)前后都滿足平穩(wěn)條件;危機(jī)后匯率的調(diào)整速度也低于危機(jī)前的調(diào)整速度;在危機(jī)前后都具有相差不大的杠桿調(diào)節(jié)效應(yīng)。這說(shuō)明我國(guó)匯率市場(chǎng)正在逐步完善,所實(shí)施的宏觀調(diào)控政策起到一定作用,可進(jìn)一步適當(dāng)調(diào)大匯率浮動(dòng)的空間。(3)針對(duì)本文的研究結(jié)果,論文中相應(yīng)地提出了較為合理的政策和建議,以期對(duì)我國(guó)制定更加有效的匯率政策有所幫助。本文主要?jiǎng)?chuàng)新點(diǎn)有:(1)對(duì)人民幣兌美元和歐元在匯改前后以及在金融危機(jī)前后的匯率數(shù)據(jù)進(jìn)行研究,建立了平滑轉(zhuǎn)換-門限廣義自回歸條件異方差STAR?TGARCH(1,1)模型族,分析其匯率波動(dòng)特征,并做了對(duì)比分析。(2)提出了采用貝葉斯參數(shù)估計(jì)的方法對(duì)所建立的模型進(jìn)行參數(shù)估計(jì)
[Abstract]:The exchange rate is the rate of exchange between currencies.With the rapid development of global economy, exchange rate has become an increasingly important leverage tool in world trade.How to better characterize and analyze the characteristics of exchange rate fluctuations has become an important research topic. In July 2005, the exchange rate reform in China has aroused widespread concern around the world, and the subprime mortgage crisis occurred in the United States in 2008.Finally, it turned into a global financial crisis.China is a country which is highly dependent on foreign trade, so it is of great economic significance to study the characteristics of RMB exchange rate fluctuation against US dollar and euro before and after the exchange rate reform and financial crisis.Based on this, the thesis has done the following research work, and reached a more satisfactory conclusion.In this paper, by establishing a smooth transformation-threshold generalized autoregressive conditional heteroscedasticity model family, the Bayesian statistical method is used to study in detail the fluctuation characteristics of the exchange rate of US dollar and euro against RMB before and after the exchange rate reform and before and after the financial crisis.The empirical results show that the dollar / RMB exchange rate remains basically unchanged before the exchange rate reform, and there are only very small fluctuations without the GARCH effect, while after the exchange rate reform, the USD / RMB exchange rate meets the GARCH stable condition.The RMB / euro exchange rate meets the stable conditions of the GARCH model before and after the exchange rate reform, and the adjustment and speed of the exchange rate after the exchange rate reform are higher than those before and after the crisis, and there are negative leverage effects before and after the exchange rate reform.But the leverage effect after the exchange rate reform is stronger than before.This shows that China's exchange rate reform policy has played a significant role in effectively increasing the flexibility of the RMB exchange rate with the changes in the market. (2) before the financial crisis, the exchange rate of the US dollar against the RMB had a significant GARCH effect.But only after the financial crisis can it accord with the smooth condition of GARCH model; the adjustment speed of RMB exchange rate after the financial crisis is less than that before the crisis; whether before the crisis or after the crisis, the RMB exchange rate has leverage effect.But post-crisis is weaker than it was before.The EURRMB exchange rate meets the stable conditions before and after the financial crisis; the rate of exchange rate adjustment after the crisis is also lower than the adjustment rate before the crisis; before and after the crisis, there is a little difference between the leverage adjustment effect.This shows that China's exchange rate market is gradually improving, and the macro-control policies implemented play a certain role, which can further expand the space of exchange rate floating.) in view of the research results of this paper,In this paper, some reasonable policies and suggestions are put forward in order to help our country formulate more effective exchange rate policy.The main innovation of this paper is: (1) to study the exchange rate data of RMB against US dollar and euro before and after the exchange rate reform and before and after the financial crisis, and to establish a smooth transformation-threshold generalized autoregressive conditional heteroscedasticity STARN TGARCH1) model family.The characteristics of exchange rate fluctuation are analyzed, and a comparative analysis is made. (2) A Bayesian parameter estimation method is proposed to estimate the parameters of the established model.
【學(xué)位授予單位】：武漢理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.6;F224

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本文編號(hào)：1754315