人民币汇率的混频分析与预测——基于半参数误差修正模型  

Mixed-data Analysis and Prediction of RMB Exchange Rate:Based on the SEMI-ECM Model

作　　者：鲁万波[1,3,4] 陈映彤 LU Wan-bo;CHEN Ying-tong(School of Statistics,Southwestern University of Finance and Economics,Chengdu 611130,China;Research Institute of Economics and Management,Southwestern University of Finance and Economics,Chengdu 611130,China;Everest Research Institute,Tibet University,Lhasa 850000,China;Institute of Finance and Economics,Tibet University,Lhasa 850000,China)

机构地区：[1]西南财经大学统计学院,四川成都611130 [2]西南财经大学经济与管理研究院,四川成都611130 [3]西藏大学珠峰研究院,西藏拉萨850000 [4]西藏大学财经学院,西藏拉萨850000

出　　处：《统计与信息论坛》2020年第12期3-14,共12页Journal of Statistics and Information

基　　金：国家自然科学基金面上项目“高维协高阶矩的估计及其在投资组合中的应用”(71771187);中央高校基本科研业务费专项资金“金融市场计量经济前沿研究”(JBK190602);西藏自治区哲学社会科学专项资金重点项目“西藏经济高质量发展现状及提升路径研究”(20AJY01)阶段性成果。

摘　　要：汇率能够对国家外贸与全球资本流动产生重要的直接影响,也能够通过价格传递、货币供给量等渠道间接影响一国经济。基于半参数误差修正(SEMI-ECM)模型,选取美元兑人民币的月度平均汇率,对中国市场汇率做进一步的预测研究。研究发现:所采用的半参数误差修正模型,在进行误差修正时能够保持显著的反向修正作用。为消除实验数据选取误差,在进行连续预测时,采用递归、滚动和固定三种样本数据,SEMI-ECM预测效果均为最佳水平。实证结果表明:美元兑人民币汇率同时受贸易条件、非贸易品与贸易品的价格比、美联储基准利率和高频金融变量显著影响,中国宏观经济指标的上行有利于化解目前汇率走势低迷的困境。Exchange rate could have an important direct impact on national foreign trade and global capital flow,and also indirectly affect a country's economy through price transmission,money supply and other channels.Based on SEMI-ECM model,the monthly average exchange rate of US dollar against RMB yuan are select,which makes a further research on the prediction of China's exchange rate.It is found that when the parameter error correction model is constructed,the error correction term always keeps a significant reverse correction mechanism.To eliminate the error on experimental data selection,the SEMI-ECM model has the best prediction accuracy with using recursion,rolling and fixed samples.The empirical results show that the exchange rate of US dollar against RMB yuan is significantly affected by trade terms,the price ratio of CPI to PPI,the benchmark interest rate of the Federal Reserve and high-frequency financial variables.The upward trend of China's macroeconomic indicators is conducive to resolving the current predicament of low exchange rate trend.

关 键 词：混频数据 SEMI-ECM模型 人民币月度汇率 广义似然比检验 预测 

分 类 号：C81[社会学—统计学]