目标区域下汇率扩散模型的统计分析  

A Statistical Analysis of the Diffusion Models for the Exchange Rate in a Target Zone

作　　者：曹玲玲[1] 

机构地区：[1]江苏宿迁学院经济贸易系,江苏宿迁223800

出　　处：《云南民族大学学报（自然科学版）》2011年第4期249-252,257,共5页Journal of Yunnan Minzu University:Natural Sciences Edition

基　　金：国家社会科学基金(09BTJ004);南京理工大学科研发展基金(XF09040)

摘　　要：将汇率目标区域下的扩散模型应用到我国,探讨人民币对美元的汇率满足的扩散方程.选择2种目标区域下的汇率扩散模型,并给出这2种模型的统计特征,为后面的参数估计和实证分析作准备.选用人民币对美元的汇率数据在2种模型下利用GMM方法进行参数估计和拟合.由于第2种模型估计出的人民币和美元的相关系数失真,得出第1种模型更适合我国的短期汇率市场.In this paper,diffusion models for the exchange rate in a target zone are applied to China in order to explore which diffusion model for the exchange rate of RMB against U.S.dollar is satisfactory.First of all,it gives two diffusion models for the exchange rate in a target zone and then their statistic features to make preparation for the up-coming parameter estimation and empirical analysis.Secondly,the above-mentioned two models were evaluated by using the GMM method based on the conditional moments.It has proved that the second model is inaccurate while the first model is more suitable for the Chinese short-term exchange rate market.

关 键 词：汇率目标区域 GMM方法 中心汇率 实证分析 

分 类 号：O211.64[理学—概率论与数理统计]