摘要
传统的汇率货币模型建立在理性预期基础上,无法解释现实中的汇率波动。本文放松了理性预期的假定,并引入"适应性学习"来考察汇改后人民币汇率的货币模型。结果表明:在"适应性学习"引入之前,货币模型预测能力比不上简单的随机游走模型;而在引入之后,其预测能力大幅改善,很好地模拟了汇率实际波动。因此传统的货币模型并没有完全失效,引入"适应性学习"后仍然适宜于刻画汇改后人民币汇率的短期走势。
Traditional exchange rate model based on rational expectation fails to explain the volatility of exchange rate. We relax the assumption and introduce ＂adaptive learning＂ to study RMB after the exchange rate system reform, and find that： monetary model improves greatly when using ＂adaptive learning＂ rule. So we conclude that monetary model with ＂adaptive learning＂ can best describe the dynamic of RMB after the regime reform.
出处
《经济评论》
CSSCI
北大核心
2010年第3期48-56,共9页
Economic Review
关键词
适应性学习
货币模型
样本外预测
Adaptive Learning
Monetary Model
Out- sample Prediction
