宏观经济信息有助于预测人民币汇率变动吗?——兼论“汇率脱离之谜”

Does Macroeconomic Information Help Forecast the Change of RMB Exchange Rate?——Also on “the Exchange Rate Disconnect Puzzle”

宏观经济信息与汇率之间的关系一直是国际经济学中的一个谜团。本文利用1996-2011年数据,应用最近发展的检验方法,在参数不稳定条件下,对样本期间内与样本期间外的宏观经济信息与人民币汇率波动关系进行了考察。经验结果表明:在样本期间内,宏观经济信息对人民币汇率变动具有可预测性。以前文献拒绝宏观经济模型的可能原因不是因为宏观经济信息完全不与汇率波动相关,而是因为这种关系是随着时间的变化推移,因而很难被传统格兰杰因果关系所获取。本文继而在样本期间外考察了宏观经济模型对汇率变动的预测能力,发现宏观经济变量有助于提高人民币汇率变动的预测能力。该结论在一定程度上破解了"汇率脱离之谜"。

The relationship between macroeconomic information and exchange rate remains a mystery in international economics.Base on the data from 1996-2011,the thesis conducts the in-sample and out-of-sample tests on the relationship between macroeconomic information and RMB exchange rate fluctuation under the circumstance of parameter instability via the updating methodology.The empirical evidence shows that in the in-sample tests macroeconomic information helps to predict the RMB exchange rate fluctuation.The possible reasons that the macroeconomic model was not employed by the previous literature don’t lie in the plausible fact that the macroeconomic information is totally irrelevant to the fluctuation of exchange rate but in the fact that the relationship is hard to be captured by the conventional Granger Causality due to its change with time.Based on the study on the predictive ability of macroeconomic information upon exchange rate changes in the out-of-sample tests,the thesis concludes that the macroeconomic variables are conducive to improving the predictive ability,in which sense the mystery of the relationship between macroeconomic information and exchange rate changes is decoded.