过渡阶段的汇率动态模型

Exchange rate dynamic models for transitional phase

基于均衡和无套利原则建立起来的汇率理论难于解释货币危机爆发和汇率调整过渡阶段的货币价格行为.论文建立汇率的线性动态模型,并运用突变理论中的非线性尖点突变模型分析汇率运动中的突变现象.对1997—1998年亚洲货币危机受害国汇率进行实证分析.结果表明在过渡阶段,各国汇率系统的平衡点均是渐近稳定的;除泰国以外,菲律宾、韩国和印度尼西亚等国家在过渡阶段均存在货币价格突变的现象;对两类模型的拟合误差比较也显示汇率非线性模型比线性模型更好地拟合了过渡阶段汇率的实际观测值.

The exchange rate behaviors during currency crises and transitional phase are difficult to be explained by exchange rate theories based on equilibrium and no-arbitrage. In this paper a linear dynamic model and a cusp catastrophe model are applied to the Asian currency crisis in 1997_1998. The conclusions show that the equilibrium is asymptotic stable for crisis victims in the transitional phase. It's verified that except for Thailand Baht, the catastrophe of currency prices of Philippine, Korea and Indonesia in the transitional phase has happened. Compared with linear dynamic model, the nonlinear cusp catastrophe model simulates the observed behaviors of exchange rate more accurately.