摘要
运用时间序列门限广义自回归条件异方差模型(Threshold GARCH),分析了2005年7月21日人民币汇率形成机制改革以来,历次人民币汇率波幅调整对人民币汇率波动机制的影响。研究发现:随着人民币汇率波幅的扩大,滞后1期人民币汇率冲击对当期人民币汇率条件异方差表现出越来越大的正向影响,而且滞后1期人民币汇率升值冲击带来的影响要强于人民币汇率贬值冲击带来的影响;滞后2期人民币汇率冲击对当期人民币汇率条件异方差表现出越来越大的负向影响;滞后1期条件异方差的正向影响要强于滞后扰动项的影响。在此基础上,文章对于进一步优化人民币汇率波幅管理和完善人民币汇率形成机制改革提出了相关政策建议。
By using the time series threshold generalized autoregressive conditional heteroskedasticity model（ Threshold GARCH）,the impacts of RMB exchange rate volatility adjustments on RMB exchange rate volatility mechanism are analyzed since exchange rate formation mechanism reform on July 21 st 2005.The study finds that with the expansion of the RMB exchange rate volatility,the positive impact of lag 1 RMB exchange rate shock on current RMB exchange rate conditional heteroskedasticity becomes stronger and stronger,and the impact of lagged 1 RMB appreciation shock is stronger than the impact of lagged 1 RMB depreciation shock. The negative impact of lag 2 RMB exchange rate shock on current RMB exchange rate conditional heteroskedasticity also becomes stronger and stronger.And the positive effect of lag 1 conditional heteroscedasticity is stronger than the effects of the lag disturbances. Based on this analysis,the article puts forward relevant policy recommendations for further optimizing the RMB exchange rate volatility management and improving the RMB exchange rate formation mechanism reform.
出处
《经济与管理评论》
CSSCI
北大核心
2018年第2期119-131,共13页
Review of Economy and Management
基金
教育部人文社会科学青年基金项目"资本项目开放进程中人民币离岸汇率与在岸汇率的动态关系研究"(15YJC790143)
