数字化前后人民币汇率动态特征和路径转变分析——基于三机制Markov转换模型  

Analysis of Dynamic Characteristics of RMB Exchange Rate and Its Transformation Path Before and After Digitization——Markov Transformation Model Based on Three Mechanisms

作　　者：方国斌[1] 张琼 FANG Guobin;ZHANG Qiong(School of Statistics and Applied Mathematics,Anhui University of Finance and Economics,Bengbu 233030,China)

机构地区：[1]安徽财经大学统计与应用数学学院,安徽蚌埠233030

出　　处：《安徽工业大学学报（自然科学版）》2023年第1期97-105,共9页Journal of Anhui University of Technology（Natural Science）

基　　金：国家社会科学基金项目(19BTJ014)。

摘　　要：通过邹氏断点检验建立人民币/美元汇率的三机制Markov转换自回归模型,选取2019年6月25日—2021年4月30日的人民币/美元汇率数据,将2020年5月29日作为人民币数字化的节点,实证分析数字人民币发展前后两个阶段的汇率机制转换特征;采用主观层次分析法计算数字人民币对当前金融体系各项指标的影响权重,分析数字人民币的发展对当前金融体系的影响程度。结果表明:数字人民币推进前,汇率在各机制上停留时间具有连续性,且均表现出高度“自维持性”;数字人民币推进后,汇率的动态转换较频繁,对外部信息冲击的反映较强烈。数字人民币进程的稳步推进对当前金融体系各方面带来不同程度的影响,对汇率的影响较明显。A three-mechanism Markov conversion autoregression model of the RMB/USD exchange rate were established through Chow test.The exchange rate data of RMB/USD from June 25,2019 to April 30,2021 was selected,and May 29,2020 was taken as the node of RMB digitization.An empirical analysis of the transmission characteristics of the exchange rate mechanism was carried out in the two phases before and after the RMB digitization.Then,the subjective analytic hierarchy process was used to calculate the impact weight of RMB digitization on the indicators of the current financial system,and analyze the impact of RMB digitization on the current financial system.The results show that before the digitization of RMB,the residence time of exchange rate in each mechanism is continuous and highly“self-sustaining”.After the digitization of RMB,the dynamic conversion of exchange rate in China is more frequent,and the impact of external information is more intense.The steady progress of RMB digitization has varying degrees of impact on all aspects of the current financial system,and has a more significant impact on exchange rate changes.

关 键 词：数字人民币 汇率 Markov机制转换模型 层次分析法 

分 类 号：F832.6[经济管理—金融学]