人民币实际有效汇率的区制转换特征研究

Research on the Regime-switching Feature of RMB Exchange Rate Fluctuation

本文选取1994年1月-2012年2月月度数据,引入马尔科夫机制转换模型进行研究,结果表明:人民币汇率一直趋于升值,但明显的区分为缓慢升值状态和快速升值状态;实际有效汇率的波动明显区分为低波动、中等波动和高波动三个区制。人民币兑美元序列将来一段时间仍会以较小幅度、缓慢升值为主;而实际有效汇率以将近50%的概率停留在低波动区,以将近40%的概率停留在中等波动区域。

Using the data from January 1994 to February 2012 and Markov regime-switching model （MRS）, this paper studies the regime switching characteristic of RMB exchange rate. Results show that USD/ RMB appreciated in the sample range, and it is clear to divide USD/RMB exchange rate into two regimes： appreciating slowly regime and appreciating quickly regime, while REER series can be divided into three regimes： low volatility, middle volatility and high volatility. The prediction and stable probability indicate that USD/RMB will be in slow and low volatility regime in the coming months. And REER will be in low volatility at probability of 50%, in middle volatility at probability of 40%.