基于平滑转移自回归模型的东盟十国实际有效汇率的预测研究  

Forecasting the Real Effective Exchange Rates of ASEAN's Ten Countries Based on STAR Model

作　　者：唐菁菁[1,2] 范利民[1,2] 曹鑫 TANG Jingjing;FAN Limin;CAO Xin(Business School of Guangxi University)

机构地区：[1]广西大学商学院,南宁530004 [2]广西财经学院,南宁530003

出　　处：《当代金融研究》2018年第6期39-51,共13页Journal of Contemporary Financial Research

基　　金：国家自然科学基金项目:;项目号:71764001;教育部青年基金项目<南海争端对中菲越经济影响效应及机制--基于合成控制方法的经验研究>;项目号:17XJC790012

摘　　要：非线性模型在汇率走势的模拟过程中的应用相较线性模型有较大的优势。本文利用平滑转移自回归(STAR)模型对东盟十国的实际有效汇率的走势进行了模拟预测,实证结果发现:一、东盟国家除新加坡外,实际有效汇率皆拒绝线性假设;二、实际有效汇率具有LSTAR的性质,而不论离群值是否排除;三、T分布用于残差假设更具解释力,但样本外预测效果不如正态分布假设;四、STAR模型的模拟效果大致优于AR(1)模型。研究结论为中国"一带一路"战略构想在东盟地区的推进提供了科学的政策依据。Non-linear model has more advantages than linear model in simulating the trend of exchange rate.We use the STAR model to simulate and forecast the real effective exchange rates of ten ASEAN’s countries and the empirical evidence indicates:1.Except for Singapore,the other ASEAN’s countries reject the linear hypothesis.2.The real effective exchange rate has LSTAR’s characteristic whether the outlier is excluded.3.T-Distribution is a more powerful explanation for residual examination,but it is interior to the normal distribution in prediction.4.The STAR model generally outperform AR(1)model.The empirical evidence provide scientific political support for China’s“The Belt and Road”strategy.

关 键 词：平滑转移动自回归 东盟十国 实际有效汇率 离群值 

分 类 号：F830.92[经济管理—金融学]