人民币实际汇率均值与波动性的双长记忆性检验

Testing for Dual-long Memory in Mean and Volatility of RMB Real Exchange Rate

本文使用ARFIM(1,d_(m),0)-FIGARCH(1,d_(v),1)模型从均值和波动性两个维度对人民币实际汇率(2005.07-2021.10)的双长记忆特征进行了计量检验。结果发现,均值长记忆性参数d_(m)=0.294,方差长记忆性参数d_(v)=0.627,二者分别在5%和1%的显著水平下显著,说明人民币实际汇率均值和波动性均存在明显的长记忆性。这意味着,人民币实际汇率动态具有明显的粘性特征,其形成机制和生成过程更为复杂,不仅受当期因素影响,而且还与历史信息相关。央行在制定人民币汇率管控政策时,除关心名义汇率变化外,还应关注实际汇率变化,要充分考虑长记忆因素的影响,注重政策的前瞻性、规则性和稳健性,并且要有足够的耐心等待政策发挥效力。

This paper uses ARFIM4(1,d_(m),0)-FIGARCH(1,d_(v),1)model to test the dual-long memory characteristics of RMB real exchange rate(2005.07-2021.10)from two dimensions:mean and volatility.The results show that the mean long memory parameter dm=0.294,and the variance long memory parameter d_(m)=0.627,are significant at 5%and 1%respectively,indicating that mean and volatility of RMB real exchange rate both have obvious long memory.The results testify that RMB real exchange rate dynamics has a significant sticky characteristic and its formation mechanism and process are more complex.It is not only influenced by current factors,but also related to historical information.When intervening in RMB exchange rate,the Central Bank should not only care changes in nominal exchange rate,but also pay attention to that of real exchange rate.It should take influence of long memory factors into full consideration,focus on foresight,regularity and robustness of policies,and be patient enough to wait for these policies to take into effect.