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

【摘要】：近年來(lái),人民幣匯率的波動(dòng)及其成因越來(lái)越為各界所關(guān)注。造成人民幣匯率波動(dòng)的原因既有宏觀經(jīng)濟(jì)因素的影響,如金融政策、經(jīng)濟(jì)增長(zhǎng)、利率等；也包括微觀結(jié)構(gòu)因素的影響,如交易機(jī)制、私有信息等。同時(shí),由于全球金融經(jīng)濟(jì)一體化,其它國(guó)家市場(chǎng)的異常波動(dòng)也對(duì)人民幣匯率的波動(dòng)特征造成影響。因此,本文從結(jié)構(gòu)突變點(diǎn)分析的視角研究其對(duì)波動(dòng)特征的影響,以期更準(zhǔn)確地認(rèn)識(shí)人民幣匯率的波動(dòng)特征。 本文首先對(duì)結(jié)構(gòu)突變點(diǎn)和人民幣匯率波動(dòng)性的相關(guān)文獻(xiàn)進(jìn)行回顧,從理論上分析結(jié)構(gòu)突變點(diǎn)的檢測(cè)方法、人民幣匯率的波動(dòng)特征及相關(guān)模型,在此基礎(chǔ)上檢驗(yàn)人民幣匯率的基本統(tǒng)計(jì)特征；然后分別利用循序檢驗(yàn)法、修正ICSS算法對(duì)人民幣匯率進(jìn)行均值、方差結(jié)構(gòu)突變點(diǎn)檢測(cè),進(jìn)而搜集與結(jié)構(gòu)突變點(diǎn)相應(yīng)的重大事件探討其成因；最后依據(jù)檢測(cè)到的結(jié)構(gòu)突變點(diǎn),引入GARCH族模型中,對(duì)比分析考慮結(jié)構(gòu)突變點(diǎn)前后人民幣匯率波動(dòng)特征的變化,并對(duì)波動(dòng)模型的估計(jì)效果進(jìn)行評(píng)價(jià)。 研究結(jié)果表明,結(jié)構(gòu)突變是人民幣匯率中的常見(jiàn)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(diǎn)。未加入結(jié)構(gòu)突變點(diǎn)之前,人民幣匯率存在較高的波動(dòng)持續(xù)性,且均存在非對(duì)稱(chēng)效應(yīng)；加入結(jié)構(gòu)突變點(diǎn)后能降低人民幣匯率的波動(dòng)偽持續(xù)性,且人民幣匯率的非對(duì)稱(chēng)信息效應(yīng)增強(qiáng)；同時(shí)加入兩種結(jié)構(gòu)突變點(diǎn)更能真實(shí)反映人民幣匯率的波動(dòng)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(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.6

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本文編號(hào)：1819370