人民币实际汇率的非线性特征研究被引量：28

Study on Nonlinear Characteristics of RMB's Real Exchange Rates

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摘要本文通过采用不同的线性和非线性一元时间序列模型对人民币实际汇率行为进行研究。研究结果表明,非线性的自我激励阈值自回归模型和平滑过渡自回归模型对人民币实际汇率历史数据有很好的拟合效果,且人民币实际汇率具有显著的非线性动态行为特征。 Several univariable time series models are used to study the behavior of RMB's real exchange rate in this paper.According to the empirical study,we find two nonlinear models(the self-exciting threshold autoregressive model and the smoothing transition autoregressive model)have better performance than the linear autoregressive model on describing the behavior of RMB's real exchange rate,which implies its obvious nonlinear dynamic properties.

作者刘潭秋

机构地区长沙理工大学经济学院

出处《数量经济技术经济研究》 CSSCI 北大核心 2007年第2期11-18,共8页 Journal of Quantitative & Technological Economics

关键词时间序列模型人民币实际汇率线性自回归模型自我激励阈值自回归模型平滑过渡自回归模型 Time Series Models RMB's Real Exchange Rate Linear Autoregressive Model Self-exciting Threshold Autoregressive Model Smoothing Transition Autoregressive Model

分类号 F832 [经济管理—金融学]

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参考文献11

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