双阀值LSTAR模型及其在人民币汇率预测中的应用  

A LSTAR MODEL WITH TWO THRESHOLDS AND ITS APPLICATION TO RMB EXCHANGE RATE FORECAST

作　　者：徐家杰[1] 

机构地区：[1]浙江工商大学金融学院,杭州310018

出　　处：《系统科学与数学》2013年第3期264-275,共12页Journal of Systems Science and Mathematical Sciences

基　　金：教育部人文社会科学青年基金项目(09YJCZH110);国家自然科学基金青年项目(71003085);浙江省高校人文社会科学(金融学)重点研究基地资助课题

摘　　要：为了更加准确地预测人民币汇率,提出一个双阀值LSTAR模型,并对该模型的非线性检验进行了研究.结果表明,不同于传统的单阀值STAR模型需要对转换函数进行三阶Taylor展开,双阀值LSTAR模型只需对转换函数进行一阶Taylor展开即可,这大大节省了自由度.随后的预测实验表明,双阀值LSTAR模型不仅比传统的单阀值LSTAR模型更契合无行动区间理论,而且有更强的预测能力.The paper proposes an LSTAR model with two thresholds in order to forecast RMB exchange rate more accurately. The research on its nonlinearity testing shows that to test the nonlinearity of this kind of LSTAR models, we need only the transition function with its first-order Taylor approximation, which can help us save many degrees of freedom. Then the simulation result shows that the LSTAR model with two thresholds is more reasonable and has higher precision than the traditional STAR models with only one threshold.

关 键 词：双阀值 LSTAR模型 人民币汇率 预测 

分 类 号：F224[经济管理—国民经济] F832.6