摘要
中国外汇市场波动分析①王安兴孙琼林少宫ＡＢＳＴＲＡＣＴＢａｓｅｄｏｎＡＲＣＨｍｏｄｅｌｉｎｇ，ｔｈｉｓｐａｐｅｒｆｉｎｄｓｔｈａｔｔｈｅＦｏｒｅｉｇｎＥｘｃｈａｎｇｅＭａｒｋｅｔｏｆＣｈｉｎａ（ＦＥＭＣ）ｉｓｄｉｆｅｒｅｎｔｆｒｏｍｔｈａｔｉｎＮｅｗ...
Abstract Based on ARCH modelling,this paper finds that the Foreign Exchange Market of China(FEMC)is different from that in New York.The FEMC is not a efficient market.Ren Ming Bi is under valued in FEMC.The effect of a shock in FEMC will be last a long time.
出处
《统计研究》
CSSCI
北大核心
1998年第1期25-29,共5页
Statistical Research
基金
国家社会科学基金
