摘要
采用非参数检验(Jarque-Beta检验和Kolmogorov-Smirnov检验)以及Q-Q概率图对人民币/美元汇率收益率进行正态性检验,随后利用替代数据法对人民币/美元汇率收益率进行相关性和非线性特征检验。研究结果表明:人民币/美元汇率收益率不服从布朗运动,存在"尖峰厚尾"的现象,并且呈现内在的确定性非线性特征,这说明这些汇率的非线性特性是来自于产生它们的复杂经济系统内部因素,而不是源于其经济系统外部变量。
If RMB/USD exchange rate returns are normal distribution, using non-parametric tests such as Jarque-Beta test and Kolmogorov-Smirnov test and Q-Q probability chart, next, tests if its returns are nonlinear, using the surrogate data method are presented. The result shows that RMB/USD exchange rate returns not are Brownian Motion with ＂heavy tail＂ phenomenon and have intrinsic and deterministic nonlinear characteristics, which means that the nonlinear characteristics of RMB/USD comes from of the economic system that generates the exchange rate rather than the external factors outside the economic system.
出处
《科学技术与工程》
2009年第10期2698-2702,共5页
Science Technology and Engineering
