摘要
首次将三区制的Markov转移模型引入自回归模型,研究了1991-01~2008-06人民币实际有效汇率的动态波动路径.研究结果表明,1991年后的人民币实际有效汇率波动存在显著的三区制特征:"过度贬值"区制、"适度贬值"区制和"升值"区制.同时,得到以下结论:①人民币实际有效汇率区制转移的动态过程,在大部分时期都处于"适度贬值"或"升值"区制;②1991年以来的2次汇率改革都对人民币实际有效汇率走势产生了积极的影响.
3-state-Markov regime-switching model was first introduced into AR model to investigate the dynamic path of the real effective exchange rate of RMB from January,1991 to June,2008. According to the results,there are three regime states of the path of the REER of RMB,i.e. "over-depreciation" regime,"moderate-appreciation" regime and "appreciation" regime. The main results of the study are as follows:①the dynamic path of the REER of RMB,most of the time,are in the regime of "moderate-appreciation" regime and "appreciation" regime; ②the two reforms of the foreign exchange rate system since 1991 both had a positive influence on the REER of RMB.
基金
中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02)
中国科学技术大学研究生创新基金(W-2040170015)资助
关键词
人民币实际有效汇率
MARKOV区制转移模型
平滑概率
汇率制度改革
real effective exchange rate of RMB
Markov regime switching model
smoothing probability
the reform of foreign exchange rate system