新兴市场国家汇率非线性特征研究——基于VWK模型的分析

Nonlinear Study of Emerging Markets' Exchange Rates——Based on Volterra-Wiener-Korenberg Model

基于VWK模型对金融危机时期的四个新兴市场国家（泰国、韩国和印度1990—2007年以及墨西哥1993-2007年）日汇率数据进行非线性特征研究，分析结果表明：四国汇率的非线性信息准则明显小于线性信息准则，表明各国汇率所反映的经济系统具有非线性特征；与危机推动转型的其他三国相比，印度实施的是自愿平稳转型，宏观经济各因素运行平稳，货币汇率波动起伏比较小，呈现出印度汇率的非线性程度较弱的特点；同时，基于VWK非线性模型对上述汇率进行预测，短期预报功率比较低，说明汇率的非线性模型较好地反映相应的经济系统。

Presenting some empirical evidence on the presence of nonlinearity of emerging markets＇ exchange rates （Thailand, South Korea and India 1990 - 2007, Mexico 1993 - 2007 ） based on Voherra - Wiener - Korenberg model （VWK model）in the paper, results show that their nonlinear information criterions are smaller than their linear counterparts, which means that their economic systems have nonlinear characteristics. Contrary to other three crises -driven transmission economies, Indian is the selfwilling transmission economy with stable macroeconomic position, whose exchange rate volatility is more stationary than that of others, which means that nonlinearity of its rate return is also weaker than that of others. Meanwhile, due to the small short - term prediction power of VWK model, the nonlinear exchange rate model can reflect the corresponding economic systems better.