基于非線性依賴關(guān)系分析的人民幣匯率多元描述與預(yù)測
發(fā)布時間：2018-07-13 13:59
【摘要】：從人類經(jīng)濟(jì)社會發(fā)展的歷史進(jìn)程來看，各界對匯率問題的關(guān)注由來已久。作為目前世界上最大的發(fā)展中國家，中國的人民幣在國際貨幣體系中的地位也由于其對世界經(jīng)濟(jì)發(fā)展的重要作用變得越來越突出。本文擬在把握匯率系統(tǒng)非線性依賴特征的基礎(chǔ)上，結(jié)合考慮不同國際外匯交易市場上相應(yīng)的人民幣匯率序列之間在數(shù)據(jù)信息結(jié)構(gòu)等方面存在的差異，從多元角度精確描述和有效預(yù)測中國外匯市場的人民幣匯率行為。這不但可以為全球金融一體化條件下評價人民幣匯率政策的合理性和有效性提供參考，還能為幫助貨幣當(dāng)局在堅持主動、漸進(jìn)、可控的原則下，準(zhǔn)確認(rèn)識人民幣匯率未來改革方向提供可行的分析工具。 基于上述現(xiàn)實和理論背景，本文沿著從基礎(chǔ)分析到實證檢驗，再到理論推斷的整體思路展開研究。首先，在回顧國際外匯市場的發(fā)展?fàn)顩r和總結(jié)中國外匯市場的改革實踐的基礎(chǔ)上，從理論上探討匯率行為研究的范疇，評價有關(guān)匯率行為描述和預(yù)測的兩類基本范式和思路，并對三大貨幣體系下有關(guān)匯率決定理論和匯率模型進(jìn)行比較；接著對與匯率行為描述和預(yù)測相關(guān)的統(tǒng)計學(xué)習(xí)理論、方法進(jìn)行全面的分析，并實證檢驗多個市場人民幣匯率數(shù)據(jù)中的非線性依賴關(guān)系；然后從以往研究中有關(guān)匯率系統(tǒng)非線性依賴關(guān)系產(chǎn)生的兩個假設(shè)出發(fā)，對來自中國、美國、英國等全球主要外匯市場的人民幣兌美元匯率數(shù)據(jù)的非線性依賴性和低維混沌特征進(jìn)行一系列實證檢驗；隨后在對非線性非參數(shù)神經(jīng)網(wǎng)絡(luò)計算方法與模型進(jìn)行全面分析的基礎(chǔ)上，提出一個用來描述和預(yù)測中國市場人民幣匯率收益率行為的多元動態(tài)Gauss徑向基神經(jīng)網(wǎng)絡(luò)模型，，并對各個外匯市場上的人民幣匯率收益率序列之間的相關(guān)依賴關(guān)系進(jìn)行驗證；再后以動態(tài)Gauss徑向基神經(jīng)網(wǎng)絡(luò)模型為基礎(chǔ)，比較不同匯率預(yù)測模型以樣本內(nèi)描述和泛化能力上的差異，對有關(guān)中國外匯市場開放程度、人民幣匯率彈性與混沌特性等方面預(yù)期的理論假設(shè)進(jìn)行檢驗和判斷。 本文通過上述實證研究得到一下主要結(jié)論：一是人民幣匯率價格序列的BDS檢驗結(jié)果表明，各市場在不同研究期的匯率價格序列不服從隨機(jī)游走假設(shè)，原因在于匯率系統(tǒng)中存在明顯的非線性依賴關(guān)系；二是4個市場上不同時間跨度的人民幣兌美元匯率收益率序列中的確存在可捕捉和解釋的條件異方差非線性依賴結(jié)構(gòu)，且具體表現(xiàn)為波動群集和杠桿效應(yīng)共存的特征；三是不同國家外匯交易市場上不同時間跨度內(nèi)的人民幣兌美元匯率收益率序列中的一般非線性關(guān)系和特定的GARCH類非線性依賴結(jié)構(gòu)在本質(zhì)上具有“插話式”和“瞬時性”非穩(wěn)定特性；四是多元動態(tài)動態(tài)Gauss徑向基神經(jīng)網(wǎng)絡(luò)模型在描述人民幣匯率數(shù)據(jù)特征、刻畫匯率數(shù)據(jù)間多樣依賴關(guān)系結(jié)構(gòu)以及樣本外預(yù)測精度和能力方面均優(yōu)于實證研究中選取的其它非線性參數(shù)模型；五是在相關(guān)理論檢驗方面，不同研究期內(nèi)中國外匯市場的人民幣匯率收益率序列中包括一定比例的其它未知類型的一般非線性依賴結(jié)構(gòu)。同時，人民幣兌美元匯率收益率序列中的非線性依賴關(guān)系可能產(chǎn)生于一個混沌機(jī)制的假設(shè)也具備一定的合理性，系統(tǒng)動力學(xué)視角、相空間重構(gòu)理論和混沌性質(zhì)與方法是構(gòu)建人民幣匯率行為描述與預(yù)測模型時必不可缺的分析工具。此外，中國外匯市場上的匯率數(shù)據(jù)與其它市場同名匯率數(shù)據(jù)之間存在一定的可預(yù)測相關(guān)關(guān)系，中國外匯市場的開放程度、市場間關(guān)聯(lián)程度和信息傳遞效率等在不同時期表現(xiàn)出了不同的結(jié)構(gòu)化特征。
[Abstract]:From the historical process of human economic and social development, all walks of life have been concerned about the exchange rate for a long time. As the largest developing country in the world, the position of China's RMB in the international monetary system is also becoming more and more prominent because of its important role in the development of the world economy. This paper is to grasp the nonlinear exchange rate system. On the basis of their dependence on characteristics, considering the differences in the data information structure between the corresponding exchange rate sequences of different international exchange trading markets, this paper describes and effectively predicts the exchange rate of RMB in the Chinese foreign exchange market from a multiple angle. This can not only be considered to evaluate the people under the condition of global financial integration. It provides a reference for the rationality and effectiveness of the currency exchange rate policy, and also provides a feasible analysis tool for the monetary authorities to understand the future reform direction of the RMB exchange rate accurately under the principle of insisting on the initiative, gradual and controllable.
Based on the above realistic and theoretical background, this paper begins with the overall thinking from the basic analysis to the empirical test and then to the theoretical inference. First, on the basis of reviewing the development of the international foreign exchange market and summarizing the reform practice of China's foreign exchange market, the study of exchange rate behavior is discussed theoretically and the related exchange rate behavior is evaluated. Two basic paradigms and ideas of describing and predicting, and comparing the exchange rate decision theory and the exchange rate model under the three major monetary systems; then the statistical learning theory, which is related to the description and prediction of the exchange rate behavior, is analyzed comprehensively, and the nonlinear dependence of the RMB exchange rate data in multiple markets is tested. Then, starting from the two hypotheses about the nonlinear dependence of the exchange rate system in the previous study, a series of empirical tests on the non linear and low dimensional chaotic characteristics of the RMB exchange rate data from China, the United States and the United Kingdom are carried out, and then the nonlinear non parametric neural networks are used. On the basis of a comprehensive analysis of the calculation method and model, a multi dynamic Gauss radial basis neural network model is proposed to describe and predict the exchange rate of RMB exchange rate in the Chinese market, and the correlation between the exchange rate sequence of RMB exchange rate in each foreign exchange market is verified, and then the dynamic Gauss is used. Based on the RBF neural network model, the different exchange rate prediction models are compared with the differences in the description and generalization ability, and the theoretical hypotheses about the opening degree of China's foreign exchange market, the elasticity of the RMB exchange rate and the chaotic characteristics are tested and judged.
The main conclusions of this paper are as follows: first, the BDS test results of the exchange rate series of RMB show that the exchange rate sequence of each market does not obey the random walk hypothesis in different period of study. The reason is that there is a clear nonlinear dependence system in the exchange rate system; two is the different time span in the 4 markets. There is a conditional heteroscedasticity nonlinear dependence structure that can be captured and explained in the exchange rate sequence of RMB against US dollar, and it is characterized by the characteristics of the coexistence of volatility cluster and leverage effect. Three is the general nonlinearity of the exchange rate of RMB against US dollar in the different time span of different countries. The relationship and the specific GARCH class nonlinear dependence structure are essentially "interset" and "transient" instability. Four the multivariate dynamic dynamic Gauss radial basis neural network model describes the characteristics of the RMB exchange rate data, depicts the diversity of the exchange rate data, and the accuracy and ability of the sample prediction. It is better than other nonlinear parameter models selected in the empirical study. Five in the related theoretical test, the exchange rate sequence of RMB exchange rate in China's foreign exchange market includes a certain proportion of other unknown types of general nonlinear dependence in the different research period. Meanwhile, the nonlinearity of the rate of return of the people's currency to the dollar is nonlinear. The assumption that the dependence may arise from a chaotic mechanism is also reasonable. The system dynamics perspective, the phase space reconstruction theory and the chaotic properties and methods are indispensable analytical tools for the construction of the RMB exchange rate behavior description and prediction model. In addition, the exchange rate data in the Chinese foreign exchange market are similar to the other markets. There is a certain predictability correlation between rate data. The openness of China's foreign exchange market, the degree of inter market correlation and the efficiency of information transfer show different structural characteristics in different periods.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F832.6
本文編號：2119606
[Abstract]:From the historical process of human economic and social development, all walks of life have been concerned about the exchange rate for a long time. As the largest developing country in the world, the position of China's RMB in the international monetary system is also becoming more and more prominent because of its important role in the development of the world economy. This paper is to grasp the nonlinear exchange rate system. On the basis of their dependence on characteristics, considering the differences in the data information structure between the corresponding exchange rate sequences of different international exchange trading markets, this paper describes and effectively predicts the exchange rate of RMB in the Chinese foreign exchange market from a multiple angle. This can not only be considered to evaluate the people under the condition of global financial integration. It provides a reference for the rationality and effectiveness of the currency exchange rate policy, and also provides a feasible analysis tool for the monetary authorities to understand the future reform direction of the RMB exchange rate accurately under the principle of insisting on the initiative, gradual and controllable.
Based on the above realistic and theoretical background, this paper begins with the overall thinking from the basic analysis to the empirical test and then to the theoretical inference. First, on the basis of reviewing the development of the international foreign exchange market and summarizing the reform practice of China's foreign exchange market, the study of exchange rate behavior is discussed theoretically and the related exchange rate behavior is evaluated. Two basic paradigms and ideas of describing and predicting, and comparing the exchange rate decision theory and the exchange rate model under the three major monetary systems; then the statistical learning theory, which is related to the description and prediction of the exchange rate behavior, is analyzed comprehensively, and the nonlinear dependence of the RMB exchange rate data in multiple markets is tested. Then, starting from the two hypotheses about the nonlinear dependence of the exchange rate system in the previous study, a series of empirical tests on the non linear and low dimensional chaotic characteristics of the RMB exchange rate data from China, the United States and the United Kingdom are carried out, and then the nonlinear non parametric neural networks are used. On the basis of a comprehensive analysis of the calculation method and model, a multi dynamic Gauss radial basis neural network model is proposed to describe and predict the exchange rate of RMB exchange rate in the Chinese market, and the correlation between the exchange rate sequence of RMB exchange rate in each foreign exchange market is verified, and then the dynamic Gauss is used. Based on the RBF neural network model, the different exchange rate prediction models are compared with the differences in the description and generalization ability, and the theoretical hypotheses about the opening degree of China's foreign exchange market, the elasticity of the RMB exchange rate and the chaotic characteristics are tested and judged.
The main conclusions of this paper are as follows: first, the BDS test results of the exchange rate series of RMB show that the exchange rate sequence of each market does not obey the random walk hypothesis in different period of study. The reason is that there is a clear nonlinear dependence system in the exchange rate system; two is the different time span in the 4 markets. There is a conditional heteroscedasticity nonlinear dependence structure that can be captured and explained in the exchange rate sequence of RMB against US dollar, and it is characterized by the characteristics of the coexistence of volatility cluster and leverage effect. Three is the general nonlinearity of the exchange rate of RMB against US dollar in the different time span of different countries. The relationship and the specific GARCH class nonlinear dependence structure are essentially "interset" and "transient" instability. Four the multivariate dynamic dynamic Gauss radial basis neural network model describes the characteristics of the RMB exchange rate data, depicts the diversity of the exchange rate data, and the accuracy and ability of the sample prediction. It is better than other nonlinear parameter models selected in the empirical study. Five in the related theoretical test, the exchange rate sequence of RMB exchange rate in China's foreign exchange market includes a certain proportion of other unknown types of general nonlinear dependence in the different research period. Meanwhile, the nonlinearity of the rate of return of the people's currency to the dollar is nonlinear. The assumption that the dependence may arise from a chaotic mechanism is also reasonable. The system dynamics perspective, the phase space reconstruction theory and the chaotic properties and methods are indispensable analytical tools for the construction of the RMB exchange rate behavior description and prediction model. In addition, the exchange rate data in the Chinese foreign exchange market are similar to the other markets. There is a certain predictability correlation between rate data. The openness of China's foreign exchange market, the degree of inter market correlation and the efficiency of information transfer show different structural characteristics in different periods.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F832.6
本文編號：2119606
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