关于我国外汇市场主要汇率的协整分析

Cointegration Analysis of Exchange Rates among Tradable Foreign Currencies in China

自 1973年布雷顿森林体系崩溃以来 ,世界外汇市场的汇率就表现出巨幅而且频繁波动的特征。由于外汇市场风险极大 ,因而要捕捉到汇率运动的规律就十分困难。目前 ,几家中国的商业银行推出了个人外汇买卖业务。本文着重对几种汇率之间的协整关系进行实证分析 ,以期发现它们之间是否存在长期的稳定的关系。其结果将有助于投资者制定决策并且有效地规避风险。

The world exchange markets are characterized by substantive and frequent volatility of exchange rates since the breakdown of the Bretton Woods system in 1973. It is still very difficult to grasp the regularity of exchange rate movements, so there is too much risk in these markets. At present, several commercial banks in China provide clients with a new service of personal foreign exchange trading. This paper focuses on the issue of empirical analysis of cointegration relationship between these rates of foreign exchanges, and expects to find out whether there exit long-run stationary relationships between them. The study will benefit investors to make decision on their portfolio and to effectively avoid risk.