人民币汇率预期的ARCH效应分析

Analysis of the ARCH Effect of CNY Exchange Rate Expectation

使用人民币NDF(无本金交割远期交易 )汇率作为人民币汇率预期的代理变量 ,使用ARCH(AutoregressiveConditionalHeteroskedastic)模型族研究其波动特征 .结果表明 ,人民币汇率预期存在ARCH效应 ,具有尖峰、厚尾、波动群集性和非对称性等特征 .这些特征要求在应对人民币升值或贬值冲击时 ,在保持汇率基本稳定的前提下 ,应使汇率更具灵活性 ,适度扩大人民币汇率的浮动区间并逐步改善人民币汇率的形成机制 .

The CNY NDF (Non-deliverable Forward) rate is used as a proxy for the CNY excha nge rate expectation and the ARCH (Autoregressive Conditional Heteroskedastic) m odels are used to analyze the variation cha-racteristics of the CNY NDF rate. T he analytical results show that the CNY exchange rate expectation has an ARCH ef fect, and there are high peak, fat tail, volatility clustering and asymmetric ch aracteristics for the CNY NDF rate. These characteristics require a stable CNY e xchange rate and a more flexible mechanism for the CNY exchange rate policy in o rder to deal with the appreciation and depreciation of CNY. A reasonable floatin g range is also needed and the CNY exchange rate mechanism should be improved st ep by step.