对人民币汇率冲击持续性效应的实证研究——基于GPH法和HD法的分析被引量：2

Empirical Research on the Long Memory Characteristics of RMB Exchange Rate——Based on both of GPH Method and HD Method

下载PDF

导出

摘要文章分别采用HD法和GPH法对2005年8月1日至2009年12月31日的十种货币兑人民币汇率日交易数据进行研究,对其长期记忆参数d进行估算,结果发现:人民币汇率不服从经典的有效市场假设;人民币汇率存在明显的分形特征,其中,美元、日元、港币、韩元、欧元、新元、林吉特和卢布等八种货币兑人民币汇率均表现出显著的长期记忆性,英镑和澳元体现为短期记忆性。在此基础上,文章对我国外汇市场干预的必要性进行了思考并提出了相应的政策建议。 Based on the analysis of the ARFIMA （p, d, q） model, this paper uses both of GPH method and HD method to test the long memory characteristics of RMB exchange rate. The sample contains daily data （from 2005/07/21 to 2008/06/13 ） of ten foreign exchanges, Through the estimation of the long memory parameter d, this paper finds that all of the exchange rates are not normal distribution and RMB exchange rates have obvious fractal characteristics, Dollar （U. S. ）, Yen （Japanese）, Hong Kong Dollar, Won （South Korea）, Euros, Singapore Dollar, Ringgit （Malaysia） and Russian Ruble to RMB exchange rates have clear characteristics of long memory. Pounds Sterling （ United Kingdom） and Australian Dollar to RMB exchange rates have the characteristics of instantaneous memory. Based on the empirical result, this paper also brings forward of the necessary suggestions on the foreign exchange market intervention.

作者余宇新余宇莹

机构地区复旦大学经济学院中国政法大学商学院

出处《华东经济管理》 CSSCI 2011年第1期88-91,共4页 East China Economic Management

关键词 GPH法 HD法长期记忆人民币汇率 GPH method HI） method long memory RMB exchange rate

分类号 F822 [经济管理—财政学]

引文网络
相关文献

参考文献10

1Granger, Joyeux R. An introduction to long- memory time series models and fractional differencing [ J ]. Journal of Time Series Analysis, 1980, 1:15-39.
2Hosking J R M. Fractional differencing [ J ]. Biometrika, 1981, 68: 165-176.
3Geweke J, Porter - Hudak S. The estimation and application of long memory time series models [ J ]. Journal of Time Series Analysis, 1983, 4:221 -238.
4Hurvich C, Deo R, Brodsky J. The mean squared error of Geweke and Porter - Hudak's estimator of the memory parameter of a long - memory time series [ J ]. Journal of Time Series Analysis, 1998, 19: 19-46.
5Hurvich C, Deo R. Plug - in selection of the number of frequencies in regression estimates of the memory parameter of a long - memory time series [ J ]. Journal of Time Series Analysis, 1999, 20 (3): 331-341.
6Soofi A S, Sayeed Payesteh. ARFIMA modeling and persistence of shocks to the exchange rate: does the optimal periodogram ordinate matter [ J ]. Advanced modelling and optimization, 2002, 4:57 -63.
7陈梦根.中国股市长期记忆效应的实证研究[J].经济研究,2003,38(3):70-78. 被引量：71
8王春峰,张庆翠,李刚.中国股票市场收益的长期记忆性研究[J].系统工程,2003,21(1):22-28. 被引量：50
9张庆翠,王春峰.中国股市波动性与成交量共同的长期记忆性研究[J].管理科学学报,2005,8(2):38-45. 被引量：17
10华仁海,陈百助.我国期货市场期货价格收益及波动方差的长记忆性研究[J].金融研究,2004(2):52-61. 被引量：43

二级参考文献53

1Andrews, D W K , 1991, "Heteroscedasticity and Autocorrelation Consistent Covariance Estimation." Econometrics, 59,817 - 858.
2Bollerslev, T, Mikkelsen, H O A. 1996, "Modeling and Pricing Long-memory in Stock Market Volatility." Journal of Econometrics, 73, 151-184.
3Cheung, Y W, Lai, K S, Lai, M. 1993, "Are There long Cycles in Foreign Stock Returns? " Journal of International Financial Markets. Institutions and Money, 3, 33 - 47.
4Cheung, Y, and Lai; K, 1995, " A Search for Long Memory in International Stock Market Returns." Journal of International Money and Finance, 14, 597 - 615.
5Crato, N, and Ray, B K. 2000, "Memory in Returns and Volatilities of Futures' Contract." Journal of Futures Markets, 20(6), 525 - 543.
6Ding, Z, Granger, C, Engle, R F. 1993, "A Long Memory Property of Stock Market Returns and A New Model." Journal of Empirical Finance, 1, 83 - 106.
7Geweke, J, and Porter- Hudak, S. 1983, "The Estimation and Application of Long Memory Time Series Models." Journal of Time Series Analysis, 4, 221 - 238.
8Granger, C W J, Joyeux, R. 1980, "An Introduction to Long- memory Tune Series Models and Fractional Differencing." Journal of Time Series Analysis, 1 : 15 - 29.
9Helms, B P, Kaen, F R, Rosenman, R E. 1984, "Memory in Commodity Futures Contracts." Journal of Futures Markets, 4(4), 559-567.
10Hurst, H E. 1951, "The Long- term Slorage Capacity of Reservoir." Transactions of the American Society 4 Civil Engineers, 116, 770-808.