日元汇率的混沌特征与收益分布

Chaos and Return Distribution of Yen

使用R/S方法检验了日元汇率的混沌特征 ,并估计了日元汇率收益的分布函数 ,认为日元汇率具有分数维和混沌特征 ,发现Laplace分布更能刻画汇率波动的“尖峰厚尾”特征。分析表明日元汇率波动具有持续性、集群性、爆发性和非线性等特征 ,这样容易使短期的过度波动演变为汇率错位和长期偏移 。

In this paper, we test the Chaos feature and return distribution of yen. We conclude that there is fractal and chaos in yen return and that a mixture distribution, Laplace distribution can describe more accurately than normal distribution?The empirical result implies that the volatility of yen exchange rate have the features of persistence,muster,eruptible and nonlinear, which easily reduce short-term excessive volatility to misalignment and long-term bias and effect the real economy.