基于拓展明升亚洲汇率模型的人民币汇率动态决定:理论分析与经验研究

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摘要 冠词将共享pric、央行外币插手及汇率怀胎使开始生效拓展的明升亚洲汇率陶冶到站的,在两国吐艳明升亚洲汇率陶冶辨析骨架构架下阐释人民币汇率变动的微观机能,采取安详的替换陶冶并选择2005年7月至2016年7月讨论范本举行实据辨析。终结显示校样拓展明升亚洲汇率陶冶中间的变量对人民币汇率的引起具有明显的区制替换特点,人民币汇率的静态找头将是不相称的,这松劲。我们的附加的采取含随机动摇的贝叶斯时变航向自回归陶冶从时变演进视角形容了人民币汇率的静态找头,显示校样拓展明升亚洲汇率陶冶中间的变量对人民币汇率的引起既在必然的滞后,短期记录与长距离的记录也在明显不符合。。我们的还显示校样拓展的明升亚洲汇率陶冶大约奇纳河短期货币保险单的推拿和家具具有较强的解说力。本讨论针对领会人民币汇率的静态找头。、动摇的报账暂代他人职务了启发。
调词: 明升亚洲 
汇率 
非匀称的 
贝叶斯时变航向自回归 
  
Abstract: This paper extends the Taylor rule theoretical model with stock price, central bank intervention and exchange rate expectation, and investigates the microscopic mechanisms under the 两国 model of Taylor rule exchange rate 骨架构架。 For this purpose, we further apply smooth transition auto-regression model from the view of regime-switching during the period from July 2005 to July 2016. Our result shows that the impact of extend Taylor rule on exchange rate is significantly regime-switching and asymmetric. We also employ Bayesian time-varying VAR model with stochastic volatility to depict the dynamic determination of RMB exchange rate, and find that the extend Taylor rule has a certain lagged effect on RMB exchange rate and such an effect is different between short and long 跑吧。 Besides, we also find that extended Taylor rule exhibits much higher power in explaining the conduction of monetary policy of China in the short 截止期限。 Our paper provides a new insight for the public to understanding the regularity and causes of RMB exchange rate fluctuation.
Key words: Taylor Rule
   Exchange Rate
   Asymmetric
   Bayesian Time-varying Vector Auto-Regression
基金帮助: 本文感激的样子声明社会科学基金主要计划“扩充奇纳河堆业双向吐艳的调成绩讨论”(15ZDC020)的帮助
新闻报告作者: 
司登奎,博士讨论生,武汉大学合算的与监督学院,Email:sidkfinance@.   
关于作者:  江 春,合算的学博士,教书,武汉大学合算的发展讨论中心,Email: jiachun@.李小林,合算的学博士,副教书,奇纳河海洋大学合算的学院,Email: smileman2004@.
援用冠词   
江春, 司登奎, 李小林. 本拓展明升亚洲汇率陶冶的人民币汇率静态决议:学说辨析与发现讨论[J]. 倾斜飞行讨论, 2018, 452(2): 82-99.

JIANG Chun, SI Dengkui, LI 小林。 The Dynamic Determinations of RMB Exchange Rate based on Extend Taylor Rule Model: Theory and Empirical 校样。 Journal of Financial Research, 2018, 452(2): 82-99.
用环连接本文:  

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Y2018/V452/I2/82

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