人民币汇率的管理与浮动:基于Markov分布转移模型的实证研究  

The Management and Permissiveness of RMB Exchange Rate:Empirical Study Based on Markov Distribution Switching Model

作　　者：杨挺[1] 杨超[1] 

机构地区：[1]对外经济贸易大学国际经济贸易学院,北京100029

出　　处：《广东金融学院学报》2011年第2期3-14,43,共13页Journal of Guangdong University of Finance

基　　金：国家社科基金项目(07BJL047);教育部人文社科研究项目(06JA790020);教育部人文社会科学重点研究基地2009年度重大项目(2009JJD790006)

摘　　要：以收益分布的尾部差异作为划分管理状态与浮动状态的标准,并结合波动长记忆性,建立基于Markov分布转移的MDS-IGARCH模型,考察人民币汇率市场化的渐进性与阶段性。实证结果显示,随着汇率改革的逐步完善与推进,2006年9月至2008年9月间,人民币兑美元汇率并未受到政府的管理,紧盯单一美元的格局正被扭转,更富弹性且更为灵活的汇率制度已日渐成型。因此,货币当局应进一步增强货币政策的主动性与独立性,减少管理人民币汇率的投入成本,逐步推动有管理的浮动汇率制向目标区域汇率制转变。This article introduces the Markov distribution switching on IGARCH model, namely MDS -IGARCH, which applies difference of distributions＇ tails as the dividend eriteflon between controlled state and indulgent state combining with long -memory of return＇ s volatility, in order to examine progressiveness and staged representation of market lined RMB exchange rate. The results shows RMB exchange rate against US dollar has been basically free from government control since September 2006 to September 2008 with gradual improvement and implement of the exchange rate reform, and RMB is no longer be pegged to the US dollar only and the RMB exchange rate regime is of greater flexibility. According to the above conclusions, this article suggests that the monetary authority should further enhance initiative and independence of monetary policies to reduce the input costs of interven- tion in RMB exchange rate, thus to promote the managed floating rate system to target zone of exchange rate step-by-step.

关 键 词：人民币汇率 管理与浮动 Markov分布转移 目标区域 

分 类 号：F830.7[经济管理—金融学]