人民币对美元日汇率决定模型研究  

Research on the Determination Model of the RMB / Dollar Daily Exchange Rate

作　　者：胡再勇[1] 

机构地区：[1]外交学院,北京100037

出　　处：《上海金融学院学报》2014年第4期5-21,共17页Journal of Shanhai Finance University

基　　金：教育部人文社会科学研究青年基金项目(编号:10YJC790088)"人民币汇率的决定模型及变化趋势研究";外交学院中央高校基本科研业务费专项资金科研创新重点项目(编号:3162013ZYKB04)"电子货币虚拟货币理论前沿问题研究"的资助

摘　　要：基于汇率决定理论的最新研究进展,本文分析了人民币对美元日汇率的影响因素。研究发现,宏观经济新闻、外汇市场微观因素买卖价差是人民币对美元日汇率的重要影响因素,而中美相对利率并不是人民币对美元日汇率的影响因素。进一步,本文将随机游走模型、新闻变量以及外汇市场微观因素结合起来,构建了人民币对美元日汇率决定理论模型。实证研究发现,人民币对美元日汇率由自身滞后值、中国经济活动方面的新闻和零售市场买卖价差决定。Based on the latest research progress of exchange rate determination theory, this paper analyzes influence factors of the RMB/Dollar daily exchange rate. The research shows that macro economic news and the foreign exchange market micro factor bid-ask spread are important influence factors of the RMB/Dollar daily exchange rate, while the relative interest rate between the U.S. and China is not influence factor of the RMB/Dollar daily exchange rate. Furthermore, this paper combines random walk model, news variables with the foreign exchange market micro factor and constructs the determination theory model of the RMB/Dollar daily exchange rate. Empirical research shows that the RMB/Dollar daily exchange rate was determined by its lagged value, news of China＇s economic activities and bid-ask spread of retail market. The RMB/Dollar daily exchange rate determination model constructed in this paper is superior to the traditional random walk model on simulation effect and in and out of sample predictive effect.

关 键 词：人民币 美元 汇率 随机游走模型 

分 类 号：F832.6[经济管理—金融学]