非线性范式下汇率行为与汇率管理机制研究
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摘要
汇率行为是汇率系统复杂规律的外在表现,是在特定的管理机制下对外部影响因素变化进行感知和响应的客观结果,其特征能够反映出经济体的发展水平和金融市场的成熟程度。当前,受到全球性金融危机的影响,各国汇率行为的异动增多,呈现出更加显著的动态复杂性,由此也引发了学术界和实务界对汇率管理机制的高度关注。因此,全面总结和提练汇率行为的非线性特征,探索非线性范式下的汇率行为组合预测模型,并定量研究汇率管理基准和管理行为有效性,均具有重要的理论价值和现实意义。
本文依照汇率行为特征与汇率管理机制相一致的研究框架,遵循由理论探究到实证分析、再到政策建议的研究路线,针对各国汇率行为特征及其汇率安排的特点,进行了系统的规范化研究。通过构建非线性模型并融合数字信号处理技术、机器学习算法以及数理统计与计量经济方法,对非线性汇率行为与汇率管理机制进行了若干具有一定创新性的研究工作。主要的研究内容如下：
首先,本文界定了汇率行为与汇率管理机制的基本内涵,强调汇率管理机制是中央银行管理调控本国汇率的根本机理和操作准则,既包括汇率管理基准的确定,也包括以此基准为参考对本国货币汇率行为的管理调控机理。同时,系统地梳理了汇率行为与汇率管理机制的基本理论,并对相关的参数与非参数研究方法进行了比较分析,借此阐明了非线性研究方法在汇率行为与汇率管理机制研究中的优势。其次,通过综述汇率行为非线性特征的研究进展,归纳总结出汇率行为普遍具有非正态性、波动聚集性、非对称性以及长记忆性等典型的非线性特征。针对上述特征,分别应用Jarque-Bera统计检验方法、ARCH统计检验方法、ARMA-GJR-GARCH模型以及MR/S模型等对4个发达国家和5个新兴市场国家汇率的非线性行为特征进行了实证检验与度量。比较分析发现,新兴市场国家的汇率行为具有更加显著的非线性特征和杠杆效应。此外,通过对上述汇率行为非线性特征的检验与度量发现,在外汇市场中有效市场假说并不成立。再次,本文依据汇率行为的非线性基本特征,提出了基于独立分量分析方法与支持向量机技术的汇率行为组合预测模型。利用人民币兑美元的汇率对该模型的预测效果进行了实证检验,并与其它典型的预测模型进行了比较。实证结果表明,本文所提出的IC-SVM模型具有较高的预测精度和稳健性。接着,首次提出人民币名义货币篮子和实际货币篮子的概念,较好地解释了官方宣称的货币篮子构成与学术界研究结论之间的差异。在此基础上,迭代应用上确界F检验,较准确地侦测到汇率政策调整对汇率管理基准的影响,从而获得了更加有效的汇率管理参考基准。在此基础上,提出了基于工具变量法和广义自回归条件异方差模型的组合范式,修正了由汇率收益与管理调控行为之间的共生性所导致的估计偏误,并对汇率管理调控手段的有效性及其影响因素进行了实证研究。实证结果表明,央行外汇市场操作是最为直接有效的汇率管理手段,但同时也会加剧汇率波动,可能带来额外的货币风险。最后,在上述实证研究的基础上,本文系统地阐述了人民币汇率形成机制的历史发展进程和阶段性内涵,讨论了当前人民币汇改进程中面临的核心问题与挑战,同时提出推进汇改的政策建议,并展望了人民币汇率的发展前景。
The behavior of foreign exchange(forex) rate is the external expression of complex law of exchange rate system, resulted from the perception and reflection to external factors change under specific management mechanism. And its characteristics can reflect the development of the economy and the financial market. Recently, suffering from the lasting effect of global financial crisis, the behaviors of forex rate present more abnormal fluctuation and different dynamical complexities. Meanwhile, these phenomena spur the academia and government give more attention to the management mechanism of forex rate. Therefore, it shows important theoretical innovation and reality significance that systematically summarizes the non-linear characteristics, explores the non-linear combination forecasting model for forex rate, and quantitatively researches on management reference and operation to forex rate.
My research routine is started with theoretical analysis, followed by empirical research and then political suggestion. This dissertation constructs several non-linear models combined with digital signal processing technology, the machine learning algorithm, statistical and econometrical method, to study the non-linear behaviors and management mechanism of forex rate. Specifically,1) This dissertation defines the behavior and management mechanism of forex rate, and especially, emphasizes this management mechanism is the basic mechanism and operation rule aiming to manage own exchange rate by central bank. This management mechanism includes the reference deciding of forex rate, and the adjustment mechanism for the behaviors of own exchange rate according to the pre-decided reference. Meanwhile, this dissertation reviews the relative monetary theory, parameter and non-parameter model, and then expounds the advantage of non-linear research method on behavior and management mechanism of forex rate.2) Based on reviewing the studies of non-linear behavior characteristics of forex rate, this dissertation summarizes several typical non-linear characteristics, such as non-normality, volatility, asymmetry and long-memory. And the Jarque-Bera test, ARCH test, ARMA-GJR-GARCH model and MR/S model are used to test and measure the non-linearity of the exchange rates of the developed and emerging market country(area). The empirical result shows that the forex rates of emerging market country present more non-linearity and leverage effect. And the result also implicitly indicates the efficient-market hypothesis is not hold in forex market.3) This dissertation proposes an integration model, compositing with independent component analysis and support vector machine. And then the proposed model is applied to RMB/USD rate forecasting. The empirical results show that the proposed IC-SVM model has advanced accuracy and robustness on forex rate forecasting.4) The conceptions of nominal currency basket and real currency basket are raised, which can explain the difference between official announced composition of currency basket and empirically estimated composition well. And then, the supremum F test is applied iteratively to detect the monetary policy adjustment and its effect on management reference of forex rate, aiming to get a more convincible estimation of reference benchmark. After this procedure, an instrumental variable based generalized autoregressive conditional heteroskedasticity(GARCH) model is constructed, which corrects the bias involved by the simultaneity between the return of forex rate and intervention operation of central bank's management. The empirical result shows the central bank's intervention is the most effective approach of forex rate management. However, these directive management ways might produce more volatility of exchange rate, and possibly bring additional currency risk.5) Finally, this study review the exchange rate arrangement of Chinese Renminbi in different periods, discusses current core issues and challenges in the reform of forex rate arrangement. Meanwhile, the last context proposes the political suggestion and predicts developing foreground of Renminbi exchange rate.
本文依照汇率行为特征与汇率管理机制相一致的研究框架,遵循由理论探究到实证分析、再到政策建议的研究路线,针对各国汇率行为特征及其汇率安排的特点,进行了系统的规范化研究。通过构建非线性模型并融合数字信号处理技术、机器学习算法以及数理统计与计量经济方法,对非线性汇率行为与汇率管理机制进行了若干具有一定创新性的研究工作。主要的研究内容如下：
首先,本文界定了汇率行为与汇率管理机制的基本内涵,强调汇率管理机制是中央银行管理调控本国汇率的根本机理和操作准则,既包括汇率管理基准的确定,也包括以此基准为参考对本国货币汇率行为的管理调控机理。同时,系统地梳理了汇率行为与汇率管理机制的基本理论,并对相关的参数与非参数研究方法进行了比较分析,借此阐明了非线性研究方法在汇率行为与汇率管理机制研究中的优势。其次,通过综述汇率行为非线性特征的研究进展,归纳总结出汇率行为普遍具有非正态性、波动聚集性、非对称性以及长记忆性等典型的非线性特征。针对上述特征,分别应用Jarque-Bera统计检验方法、ARCH统计检验方法、ARMA-GJR-GARCH模型以及MR/S模型等对4个发达国家和5个新兴市场国家汇率的非线性行为特征进行了实证检验与度量。比较分析发现,新兴市场国家的汇率行为具有更加显著的非线性特征和杠杆效应。此外,通过对上述汇率行为非线性特征的检验与度量发现,在外汇市场中有效市场假说并不成立。再次,本文依据汇率行为的非线性基本特征,提出了基于独立分量分析方法与支持向量机技术的汇率行为组合预测模型。利用人民币兑美元的汇率对该模型的预测效果进行了实证检验,并与其它典型的预测模型进行了比较。实证结果表明,本文所提出的IC-SVM模型具有较高的预测精度和稳健性。接着,首次提出人民币名义货币篮子和实际货币篮子的概念,较好地解释了官方宣称的货币篮子构成与学术界研究结论之间的差异。在此基础上,迭代应用上确界F检验,较准确地侦测到汇率政策调整对汇率管理基准的影响,从而获得了更加有效的汇率管理参考基准。在此基础上,提出了基于工具变量法和广义自回归条件异方差模型的组合范式,修正了由汇率收益与管理调控行为之间的共生性所导致的估计偏误,并对汇率管理调控手段的有效性及其影响因素进行了实证研究。实证结果表明,央行外汇市场操作是最为直接有效的汇率管理手段,但同时也会加剧汇率波动,可能带来额外的货币风险。最后,在上述实证研究的基础上,本文系统地阐述了人民币汇率形成机制的历史发展进程和阶段性内涵,讨论了当前人民币汇改进程中面临的核心问题与挑战,同时提出推进汇改的政策建议,并展望了人民币汇率的发展前景。
The behavior of foreign exchange(forex) rate is the external expression of complex law of exchange rate system, resulted from the perception and reflection to external factors change under specific management mechanism. And its characteristics can reflect the development of the economy and the financial market. Recently, suffering from the lasting effect of global financial crisis, the behaviors of forex rate present more abnormal fluctuation and different dynamical complexities. Meanwhile, these phenomena spur the academia and government give more attention to the management mechanism of forex rate. Therefore, it shows important theoretical innovation and reality significance that systematically summarizes the non-linear characteristics, explores the non-linear combination forecasting model for forex rate, and quantitatively researches on management reference and operation to forex rate.
My research routine is started with theoretical analysis, followed by empirical research and then political suggestion. This dissertation constructs several non-linear models combined with digital signal processing technology, the machine learning algorithm, statistical and econometrical method, to study the non-linear behaviors and management mechanism of forex rate. Specifically,1) This dissertation defines the behavior and management mechanism of forex rate, and especially, emphasizes this management mechanism is the basic mechanism and operation rule aiming to manage own exchange rate by central bank. This management mechanism includes the reference deciding of forex rate, and the adjustment mechanism for the behaviors of own exchange rate according to the pre-decided reference. Meanwhile, this dissertation reviews the relative monetary theory, parameter and non-parameter model, and then expounds the advantage of non-linear research method on behavior and management mechanism of forex rate.2) Based on reviewing the studies of non-linear behavior characteristics of forex rate, this dissertation summarizes several typical non-linear characteristics, such as non-normality, volatility, asymmetry and long-memory. And the Jarque-Bera test, ARCH test, ARMA-GJR-GARCH model and MR/S model are used to test and measure the non-linearity of the exchange rates of the developed and emerging market country(area). The empirical result shows that the forex rates of emerging market country present more non-linearity and leverage effect. And the result also implicitly indicates the efficient-market hypothesis is not hold in forex market.3) This dissertation proposes an integration model, compositing with independent component analysis and support vector machine. And then the proposed model is applied to RMB/USD rate forecasting. The empirical results show that the proposed IC-SVM model has advanced accuracy and robustness on forex rate forecasting.4) The conceptions of nominal currency basket and real currency basket are raised, which can explain the difference between official announced composition of currency basket and empirically estimated composition well. And then, the supremum F test is applied iteratively to detect the monetary policy adjustment and its effect on management reference of forex rate, aiming to get a more convincible estimation of reference benchmark. After this procedure, an instrumental variable based generalized autoregressive conditional heteroskedasticity(GARCH) model is constructed, which corrects the bias involved by the simultaneity between the return of forex rate and intervention operation of central bank's management. The empirical result shows the central bank's intervention is the most effective approach of forex rate management. However, these directive management ways might produce more volatility of exchange rate, and possibly bring additional currency risk.5) Finally, this study review the exchange rate arrangement of Chinese Renminbi in different periods, discusses current core issues and challenges in the reform of forex rate arrangement. Meanwhile, the last context proposes the political suggestion and predicts developing foreground of Renminbi exchange rate.
引文
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[116]Kim S-J, Sheen J. Interventions in the Yen-dollar spot market:A story of price, volatility and volume. Journal of Banking and Finance,2006,30(11):3191-3214
[117]Jun J. Friction model and foreign exchange market intervention. International Review of Economics and Finance,2008,17(3):477-489
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[126]韩峰,谢赤,孙柏.基于IV-GARCH模型的外汇干预有效性实证研究金融研究,2011,(6)：71-85
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