汇率的可预测性实证分析

The Empirical Analysis of Predictability of the Exchange Rate

本文对各国货币名义汇率的运动过程进行了检验 ,包括均值回复检验、单位根检验和方差比检验 ,发现各国货币的名义汇率基本服从随机游动 ,除英镑服从均值回复过程外 ,其它货币的名义汇率都不具有可预测性 ,同时验证了以随机游动为假设条件的金融衍生定价工具的可信度。

This paper presents several tests of the motion process of norminal exchange rates,including mean reversion test,unit root test and variance ratios test. We find that most of the nominal exchange rates followed the random walk. Except GBP,the nominal exchange rates had no predictability.Moreover,we find that the pricing tools of the finance derivatives,which are based on the assumption of random walk,are reliable.