基于劳动价值论和弱式有效市场假设的汇率决定理论  

Probe of Exchange Rate Theory Based on Labor Value Theory and Weak Form of Efficient Market Hypothesis

作　　者：李阳[1] 龙治铭 

机构地区：[1]中国人民大学财政金融学院 [2]法国巴黎第一大学

出　　处：《财经科学》2015年第3期98-108,共11页Finance & Economics

摘　　要：传统的汇率决定理论有着令人信服的理论基础,实际预测效果却并不能让人满意。现有的汇率决定理论也不能完全满足这两大目标。本文从马克思主义劳动价值论出发,基于弱式有效市场假说,借助组合数学的思想方法,以外汇市场的参与者的信息条件为中心,建立起多重回归-随机游走模型,对汇率决定理论做了一些探讨。最后本文认为传统汇率决定理论中的存量观点,本质上是劳动价值论中的价值观点的体现;流量观点则是劳动价值论中的交换价值的观点。模型中存在着数学期望意义下和依时间序列收敛的两种均衡汇率,前者代表价值,后者代表交换价值体现为价格。价格围绕价值上下波动,是劳动价值论的体现。马克思主义劳动价值论是汇率决定理论的坚实基础,马克思主义汇率决定理论是科学的汇率决定理论。本文同样指出带有约束条件的ARFIMA模型可以作为本文理论模型的计量经济学模型,在实证分析中可以使用分数协整理论。The traditional exchange rate theory has a convincing theoretical basis and practical prediction effect is not satisfactory. The current exchange rate theory can not fully meet these two objectives. This departure from the Marxist labor theory of value, based on weak form efficient market hypothesis, with the combination of mathematical thinking in order to exchange information on conditions of market participants as the center, set up multiple regression - random walk model of exchange determination to do some research. Finally, the decision that the traditional theory of the stock exchange views, in essence, is the labor theory of value reflected in the value of the point of view; flow view is that the exchange value of the labor theory of value point of view. Mod- el, there is the sense of mathematical expectation, and the convergence of two time series according to the equi- librium exchange rate, the former representative of value, the latter representing the exchange value embodied in the price, the price fluctuates around the value, is the embodiment of Labor. Marxist labor theory of value is a sohd foundation for exchange rate theory, Marxist theory of exchange rate determination, exchange rate theory is seientitic.

关 键 词：汇率决定理论 劳动价值论 弱式有效市场 随机游走模型 组合数学 

分 类 号：F830.7[经济管理—金融学] F014.2F224