人民币汇率预期形成机制研究——基于不同预期模型的比较分析

The Formation Mechanism of RMB Exchange Rate Expectation——A Comparative Analysis Based on Different Expectation Models

总结了汇率预期形成方式的几种主要模型,使用境外人民币NDF表示人民币汇率预期,对人民币汇率预期进行样本内拟合和样本外预测分析,并运用损失函数和DM检验比较不同预期形成模型的拟合与预测能力。实证结果表明,各模型对人民币汇率预期都具有一定的拟合和预测能力,但外推型预期模型对短期人民币汇率的预期具有更好的拟合和预测能力,而回归型预期对中长期人民币汇率预期有更好的拟合预测能力,基于泰勒规则的汇率预期模型的表现并不稳定。

This paper summarizes several exchange rate expectation formation models, fits and forecasts the RMB exchange rate expectations by using the offshore NDF as the representation of RMB exchange rate expectations. Furthermore, this study compares the fitting ability and predictability of different expectation models using loss function and DM test. The empirical results indicate that all the selected models have certain fitting ability and predictability, but the extrapolative expectation model has better fitting ability and predictability for short-term RMB exchange rate expectation, while the regressive expectation model has better performance for medium and long term RMB exchange rate expectation, and the performance of exchange rate expectation model based on Taylor rule is not stable.