摘要
基于汇率决定理论的最新研究进展,本文分析了人民币对美元日汇率的影响因素。研究发现,宏观经济新闻、外汇市场微观因素买卖价差是人民币对美元日汇率的重要影响因素,而中美相对利率并不是人民币对美元日汇率的影响因素。进一步,本文将随机游走模型、新闻变量以及外汇市场微观因素结合起来,构建了人民币对美元日汇率决定理论模型。实证研究发现,人民币对美元日汇率由自身滞后值、中国经济活动方面的新闻和零售市场买卖价差决定。
Based on the latest research progress of exchange rate determination theory, this paper analyzes influence factors of the RMB/Dollar daily exchange rate. The research shows that macro economic news and the foreign exchange market micro factor bid-ask spread are important influence factors of the RMB/Dollar daily exchange rate, while the relative interest rate between the U.S. and China is not influence factor of the RMB/Dollar daily exchange rate. Furthermore, this paper combines random walk model, news variables with the foreign exchange market micro factor and constructs the determination theory model of the RMB/Dollar daily exchange rate. Empirical research shows that the RMB/Dollar daily exchange rate was determined by its lagged value, news of China＇s economic activities and bid-ask spread of retail market. The RMB/Dollar daily exchange rate determination model constructed in this paper is superior to the traditional random walk model on simulation effect and in and out of sample predictive effect.
出处
《上海金融学院学报》
2014年第4期5-21,共17页
Journal of Shanhai Finance University
基金
教育部人文社会科学研究青年基金项目(编号:10YJC790088)"人民币汇率的决定模型及变化趋势研究"
外交学院中央高校基本科研业务费专项资金科研创新重点项目(编号:3162013ZYKB04)"电子货币虚拟货币理论前沿问题研究"的资助
关键词
人民币
美元
汇率
随机游走模型
exchange rate determination model
news
foreign exchange marketmicro factor
random walk model
