人民币相对SDR货币汇率波动变化研究

Research on Changes of Exchange Rate Fluctuations of RMB against SDR Currencies

本文应用GARCH等多个模型对人民币汇率收益率进行拟合。研究发现:(1)人民币对美元汇率的波动幅度在8·11汇率改革之后显著增大,但对其他货币的汇率波动未发生明显变化。(2)8·11汇率改革至今,人民币对日元、英镑的汇率收益率分布显著异于正态分布;人民币对美元、欧元及加权平均汇率符合正态分布的假设。(3)人民币加权平均汇率收益率的均值与其波动率有显著的正向关系。(4)人民币汇率的当期波动幅度取决于上期波动大小。

This paper employs several models such as GARCH to fit the return of RMB exchange rate. Results show that：（1）the fluctuations of the RMB exchange rate against the U.S. dollar has increased notably after the 811 exchange rate reform, while no obvious change against other currencies.（2）After the 811 exchange rate reform, the distribution of exchange rate returns of RMB against yen or pound are obviously different from normal distribution, while RMB against the U.S. dollar, euro, and the weighted average of four currencies follow normal distribution.（3）There exists significantly positive relationship between the mean and volatility of weighted average of RMB exchange rate.（4）The deviations of exchange rate return is positively related with previous deviations.