汇改后人民币汇率波动的非线性特征研究——基于门限自回归TAR模型  

Modeling Non-linearities in RMB Nominal Exchange Rate Fluctuations after RMB Exchange Rate Reform Based on TAR Model

作　　者：靳晓婷[1] 张晓峒[1] 栾惠德[1] 

机构地区：[1]南开大学国际经济研究所,天津300071

出　　处：《财经研究》2008年第9期48-57,共10页Journal of Finance and Economics

基　　金：教育部重大课题(05JJD630025);国家自然科学基金(70571039)资助项目

摘　　要：文章对自2005年7月人民币汇率制度改革至2008年1月31日的人民币对美元名义汇率波动进行了计量研究,通过建立基于不同时间段汇率数据的门限自回归模型(TAR)可以看到,两年多来的人民币汇率波动存在门限的非线性特征,当升值幅度较大,即大于一定的门限值时,升值的冲击显示出更持久的延续性,体现出了升值预期的作用和升值不断加速的趋势。.On July 21st in 2005, the People＇s Bank of China announced RMB exchange rate regime reform. The paper builds up a threshold autoregressive model to make an analysis of RMB-Dollar nominal exchange rate fluctuation from July 2005 to Jan. 2008. It shows that current RMB exchange rate series is nonlinear and is changing with a threshold. The impulsion of appreciation, which is bigger than the absolute value of the threshold, can last longer than the smaller impulsion. The results show that the expectation of RMB appreciation has served a function and RMB appreciation has constantly been accelerated.

关 键 词：非线性时间序列模型 门限自回归模型(TAR) 人民币汇率 

分 类 号：F830.73[经济管理—金融学]