摘要
人民币实际有效汇率指数的波动分析,对于汇率风险的防控具有重要作用。本文基于非线性STAR模型对人民币实际有效汇率时间序列的动态行为进行研究,结果显示,人民币实际有效汇率存在显著的非线性特征,在长期内呈现均值回复现象,并且LSTAR模型能较好地描述人民币实际有效汇率的非线性波动特点。
The fluctuation analysis of the RMB real effective exchange rate index is extremely important for the prevention and control of the exchange rate risk. Based on the description of the statistical analysis, this article uses the nonlinear STAR model to reveal the dynamic behavior of the real exchange rate of renminbi （RMB） through testing. The results show that the real effective exchange rate of RMB significant nonlinear characteristics present in the long term the mean-reversion phenomenon, and the LSTAR model can better describe the real effective exchange rate of these non-linear characteristics.
出处
《金融发展研究》
北大核心
2016年第9期23-28,共6页
Journal Of Financial Development Research
