中国实际有效汇率非线性平滑转换模型判定及拟合

Judgment and Fitting of China's Real Effective Exchange Rate Based on LSTAR Model

实际有效汇率是一国价格水平或成本指标与其他国家价格水平或成本指标经过加权平均的汇率指标,它是度量一国商品贸易国际竞争力及货币风险危机的警示指标,也是一国相对别国居民生活水平高低的重要体现。文章从非线性STAR模型入手,对中国实际有效汇率时间序列进行动态分析,并与日本、美国、澳大利亚、德国四国实际有效汇率时间序列进行对比。结果显示,五国实际有效汇率存在显著的非线性特征差异,证明LSTAR模型能够较好解释中国实际有效利率的非线性动态波动。

The real effective exchange rate is the index of a country's price level and cost against other countries which is a weighted average exchange rate index,and is a warning indicator to measure the international competitiveness of a country's commodity trade and currency risk crisis,and it is also an important reflection of the living standard of a country relative to that of other countries.Starting with the nonlinear STAR model,this paper makes a dynamic analysis of the time series of China's real effective exchange rate and compares with the time series of real effective exchange rates of Japan,the United States,Australia and Germany.The results reveal that the LSTAR model is proved to be able to explain the nonlinear dynamic fluctuation of China's real effective interest rate.