基于异方差的汇率波动研究

A Study on Exchange Rate Fluctuation Based on Heteroscedasticity

本文试图通过分析中国汇率市场波动的异方差,研究汇率浮动限幅的变动对汇率变动具有什么样的影响。研究结果表明,汇率变动都具有异方差性,尤其是对美元汇率变动,汇率波动的自相关和异方差性呈现出很强的趋势,说明受到了汇率变动限幅的影响。因此在分析汇率走势和预测汇率时有必要考虑宏观经济变量等对汇率变动的外部影响因素。

This thesis attempts to study the influence of the fluctuation of the exchange rate on the exchange rate fluctuation by an- alyzing the heteroscedasticity of the fluctuation on the exchange rate market in China. The results show the exchange rate variety have heteroscedasticity. Especially for the US dollar exchange rate fluctuations, exchange rate fluctuations in the autocorrelation and het- eroskedasticity showed a strong trend, indicating that the impact of the exchange rate limit. Therefore, it is necessary to consider the external factors such as macroeconomic variables and other changes in exchange rate movements when analyzing exchange rate move- ments and forecasting exchange rates.