基于STAR模型的中国实际汇率非线性态势预测被引量：33

Nonlinearity Forecasting of Real Exchange Rate in China Based on STAR

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摘要汇率的趋势对于一国货币政策的制定和实施至关重要,因为实际汇率是度量一国竞争力的主要指标,所以对于处于经济转轨过程中的中国,刻画汇率的变动尤为关键。实际汇率除了对不同冲击产生反应,还取决于其所在经济发展的不同阶段,传统线性模型无法体现这一过程中经济变量的动态变化。本文采用平滑转移自回归模型对中国实际汇率进行分析和预测,检验结果表明,中国实际汇率走势是非线性的并体现了非对称性。基于此模型得出的汇率预测显示,2008年人民币还将继续升值,名义汇率年底预期将达到6.69,年升值幅度为9.1%,并主要依赖于中美两国物价指数变化的情况。 The trend of exchange rate is crucial to the making and implement of monetary policy because real exchange rate is one of the important measurement indicators of competitiveness. To China in the transition process, the change of exchange rate is important. Real exchange rate not only responds to shocks but also determined by the phases of economic development. Traditional linear models do not embody the dynamic change of economic variables in this process. Through an- alyzing real exchange rate in China by STAR model, this article found that the trend of real exchange rate in China is nonlinear and asymmetric. RMB STAR forecasting model shows that RMB will keep appreciation. Nominal RMB will be 6. 69 and appreciation will be 9. 1% this year. This mostly relies on China and USA inflation trends.

作者刘柏赵振全

机构地区吉林大学商学院吉林大学数量经济研究中心

出处《数量经济技术经济研究》 CSSCI 北大核心 2008年第6期3-11,40,共10页 Journal of Quantitative & Technological Economics

基金吉林大学"985工程"经济分析与预测哲学社会科学创新基地项目(2004) 教育部人文社会科学重点研究基地重大项目(05JJD790005) 国家社会科学基金项目(05BJY100) 国家自然科学基金项目(70573040)的资助

关键词实际汇率 STAR 非线性人民币升值 Real Exchange Rate STAR Nonlinearity RMB Appreciation

分类号 F224.0 [经济管理—国民经济]

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参考文献28

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二级参考文献32

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