基于STAR模型的人民币实际有效汇率波动分析  

Analysis of the Real Effective Exchange Rate Fluctuation of RMB Based on the STAR Model

作　　者：宋保庆[1,2] 

机构地区：[1]天津财经大学,天津300222 [2]中国人民银行石家庄中心支行,河北石家庄050000

出　　处：《金融发展研究》2016年第9期23-28,共6页Journal Of Financial Development Research

摘　　要：人民币实际有效汇率指数的波动分析,对于汇率风险的防控具有重要作用。本文基于非线性STAR模型对人民币实际有效汇率时间序列的动态行为进行研究,结果显示,人民币实际有效汇率存在显著的非线性特征,在长期内呈现均值回复现象,并且LSTAR模型能较好地描述人民币实际有效汇率的非线性波动特点。The fluctuation analysis of the RMB real effective exchange rate index is extremely important for the prevention and control of the exchange rate risk. Based on the description of the statistical analysis, this article uses the nonlinear STAR model to reveal the dynamic behavior of the real exchange rate of renminbi （RMB） through testing. The results show that the real effective exchange rate of RMB significant nonlinear characteristics present in the long term the mean-reversion phenomenon, and the LSTAR model can better describe the real effective exchange rate of these non-linear characteristics.

关 键 词：人民币实际有效汇率 STAR模型 非线性 

分 类 号：F822[经济管理—财政学]