人民币外汇市场的弱式有效性研究——基于样本外预测的检验

Research on Weak-form Efficiency of RMB Foreign Exchange Market:A Test Based on Out-of-sample Forecast

本文建立LSTAR模型描述人民币对美元、欧元以及日元汇率收益率的非线性动态特征,在此基础上借助滚动分析进行样本外预测,通过对比LSTAR模型与鞅假设下的预测效果,对人民币外汇市场的弱式有效性进行检验。研究发现,2005年7月25日汇改之初,人民币对美元外汇市场并非弱式有效市场,2010年6月19日进一步推进人民币汇率形成机制改革后,市场有效性增强,逐渐达到弱式有效市场。但人民币对欧元和日元外汇市场至今仍未达到弱式有效市场。同时,经济意义上的证据也支持这一结论,随着汇改的推进,美元套汇的可能性很小,但欧元以及日元套汇的空间依旧存在。研究结果表明外汇市场的有效性仍有待增强,人民币汇率形成机制仍需进一步完善。

This paper establishes the LSTAR model to describe the nonlinear dynamic characteristics of RMB against the dollar, the euro and the yen yields. On this basis, with a rolling analysis to make out-of-sample forecasts and a comparison of the prediction effects under the LSTAR model and the martingale hypothesis, this paper tests the weak efficiency of RMB foreign exchange market. The study discovers that after July 25, 2005, at the beginning of China＇s exchange rate reform, the exchange market of RMB against the dollar foreign was not a weak-form efficient market; after the reform of RMB exchange rate formation mechanism was promoted on June 19, 2010, the market efficiency was enhanced, elevating the market to a weak-form efficient market. But the exchange markets of RMB against the euro and the yen have not yet attained weak-form efficiency. At the same time, evidences in the economic sense also support this conclusion, holding that along with the advancement of exchange rate reform, the possibility of arbitrage with the dollar will wane, but the euro and the yen will still have a room for arbitrage. The results show that the effectiveness of China＇ s foreign exchange market remains to be enhanced, and the RMB exchange rate formation mechanism still needs to be improved.