现行汇率机制下人民币汇率收益率及波动率中有双长期记忆性吗?  

Do the RMB Exchange Rate Yield and Its Volatility Have Dual Long Memory Under the Current Exchange Rate Mechanism?

作　　者：隋建利[1] 刘金全[1,2] 闫超[1] 

机构地区：[1]吉林大学商学院 [2]吉林大学数量经济研究中心

出　　处：《国际金融研究》2013年第11期56-69,共14页Studies of International Finance

基　　金：国家社科基金重大项目"‘十二五’期间我国经济周期波动态势与宏观经济调控模式研究"(批准号10ZD&006);国家自然科学基金项目"新形势下非线性动态随机一般均衡模型在我国货币政策规则评价中的应用"(批准号71203076);教育部人文社会科学研究项目"‘十二五’期间我国经济周期波动态势与经济政策调控模式的动态随机一般均衡分析"(批准号11YJC790158);中国博士后科学基金特别资助项目"DSGE模型在我国货币政策规则评价中的应用"(批准号2012T50277);中国博士后科学基金面上项目"动态随机一般均衡模型的计量与应用研究"(批准号20110491323)资助

摘　　要：本文基于经典R/S分析、修正R/S分析、GPH检验以及ARFIMAFIGARCH模型估计等方法的实证研究表明:首先,与ARFIMA-FIGARCH模型相比较,基于经典R/S分析方法得到的实证结果误差较大,而GPH检验方法又低估了时间序列条件方差过程中的长期记忆性行为。其次,在日元/人民币、欧元/人民币以及英镑/人民币汇率中间价对数收益率序列当中几乎都不存在明显的长期记忆性效应,但是在其波动率序列当中却都存在着极为显著的强长期记忆性效应,即人民币汇率中间价对数收益率及其波动率当中不具有双长期记忆性效应。再次,Student-t分布和GED分布能够比正态分布更好地刻画人民币汇率中间价对数收益率序列的"尖峰厚尾"分布特征,但是与GED分布相比较,Student-t分布更优。最后,自步入2012年以来,日元/人民币和英镑/人民币汇率中间价均呈现下降的迹象,欧元/人民币汇率中间价呈现攀升的征兆,而三者收益率序列的波动性均表现出小幅震荡的低位徘徊。但是需要注意的是,在金融危机中后期,人民币汇率中间价都表现出剧烈震荡的态势,其收益率的波动性也极为显著,因此在未来一段时期内人民币汇率中间价依然具有出现宽幅波动的较大可能性。Based on the classic R/S analysis, the modified R/S analysis, the GPH test and the ARFIMA-FIGARCH model estimation methods, the empirical research conducted for this paper shows that： first of all, compared with ARFIMA-F1GARCH model, the empirical results based on the classic R/S analysis method has larger error, and the GPH test methods underestimate the long-term memory in the conditional variance process of time series. Secondly, no obvious long memory effect is detected with the JPY/CNY, EUR/CNY and GBP/CNY exchange rate yield sequence, but there is significantly strong long memory effect in its volatility sequence. That is, the RMB exchange rate yield and its volatility don^t have the dual long memory effect. Again, compared with the normal distribution, the Student-t distribution and the GED distribution can portray the ＂ fat tail＂ distribution characteristics of the RMB exchange rate yield sequence better. But compared with the GED distribution, Student-t distribution is better. Finally, since 2012, the JPY/CNY and GBP/CNY exchange rate medium price have showed signs of decline, while EUR/CNY exchange rate medium price has presented signs of increase, though the volatility of the three yield sequences showed a slight low level of shocks. However, it should be noted that, in the latter part of the financial crisis, the RMB exchange rate medium price was found in a turbulent situation, and its yield volatility is also significant. Therefore, possibilities exist for relatively big fluctuations in the RMB exchange rate medium price in the coming period of time.

关 键 词：人民币汇率中间价 收益率 波动率 双长期记忆性 ARFIMA—FIGARCH 模型 

分 类 号：F831[经济管理—金融学]