汇率预测的“米斯和罗格夫之谜”破解——来自非参数方法的回答  

“The Meese and Rogoff puzzle”in exchange rate forecasting——Answers from nonparametric methods

作　　者：朱平芳[1] 董朝华 刘亚莉 廖辉 ZHU Pingfang;DONG Chaohua;LIU Yali;LIAO Hui(Research Center of Econometrics,Shanghai Academy of Social Sciences,Shanghai 200020,China;School of Statistics&Mathematics,Zhongnan University of Economics and Law,Wuhan 430073,China;Guang'an Branch,Agricultural Development Bank of China,Guang'an 638550,China)

机构地区：[1]上海社会科学院数量经济研究中心,上海200020 [2]中南财经政法大学统计与数学学院,武汉430073 [3]中国农业发展银行广安市分行,广安638550

出　　处：《系统工程理论与实践》2020年第6期1495-1508,共14页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(71671143,71773078)。

摘　　要：汇率预测非常困难,其波动具有时变性、随机性和模糊性等统计特征.现存文献中各种方法和模型的预测效果受很多因素影响,其预测力都不及随机游走模型,这就是汇率预测领域所谓的"米斯和罗格夫之谜(The Meese and Rogoff puzzle)".本文使用非参数方法研究汇率波动及其预测模型,发现较之任何参数方法、半参数方法都具有更大的灵活性.为了克服"维数魔咒",本文提出非参数可加模型来研究汇率预测问题.与现有模型相比,在同样的观察样本期内,非参数可加汇率预测模型有更好的样本外预测能力,这有力地证明了"米斯和罗格夫之谜"并非难以破解.此外,我们将非参数可加汇率模型应用于人民币对美元的汇率预测,其结果仍然揭示了该模型很好的拟合度和预测能力.本文为汇率预测这一研究领域提供了新的研究思路和方法.Forecasting the exchange rate is very difficult as its fluctuations have statistical characteristics,such as time variability,randomness and ambiguity.The prediction effects of various methods and models in the existing literature are affected by many factors,and their predicting power are not as good as the random walk models.This is the so-called"The Meese and Rogoff puzzle"in exchange rate forecasting.We use a non-parametric method to study exchange rate fluctuations and forecasting model,and find that it is more flexible than any parametric or semi-parametric method.In order to overcome the"curse of dimensionality",we propose an additive non-parametric model to study the exchange rate forecasting.Compared with existing models,we find that our model has better out-of-sample prediction capabilities during the same observation period,which strongly proves that the"The Meese and Rogoff puzzle"is not impossible to crack.In addition,we apply the additive non-parametric exchange rate forecasting model to the RMB to USD exchange rate prediction,and the results still reveals the model's good fit and prediction ability.This study provides new research ideas and methods for exchange rate forecasting.

关 键 词：非参数可加模型 汇率预测 L^2空间 正交级数展开法 

分 类 号：F062.4[经济管理—政治经济学] F064.1