文献类型：期刊文献

中文题名：人民币汇率中间价长期记忆性研究

英文题名：Long-term Memory Research of RMB Exchange Rate Central Parities

作者：黄庐进[1];王宜博[1];何时有[1]

机构：[1]华东理工大学商学院,上海200237

年份：2009

卷号：9

期号：6

起止页码：1471

中文期刊名：科学技术与工程

外文期刊名：Science Technology and Engineering

收录：CSTPCD

语种：中文

中文关键词：长期记忆性;降趋脉动分析法;人民币汇率中间价

外文关键词：long-term memory detrended fluctuation analysis the central parities of RMB exchange rate

摘要：自从20世纪60年代以来,很多物理学等相关学科的研究方法和成果被引入到金融学中,金融学有了长足的发展。外汇市场是金融市场中最变幻莫测的市场,也是发展时间最久和最受经济学家关注的市场之一。中国自从1994年首次开放人民币外汇市场,已经有长达14年时间,虽然中国的外汇市场不像国际外汇市场那样成熟,但是也已经累积了海量的数据。而中国人民银行每天公布的汇率中间价,可以认为是中国外汇市场的核心,对这些中间价数据的研究也是很有意义的。使用了国际上已经比较成熟的研究时间序列相关性的方法:降趋脉动分析法(Detrended Fluctuation Analysis,DFA),分析了这些汇率中间价中的主要数据,认为2005年7月21日至2008年3月31日的人民币对美元的外汇中间价时间序列,具有反记忆性的特点,同时期的欧元、日元、港币的中间价时间序列,长期记忆性的特点并不明显;1994年4月1日至2005年7月20日的数据分析以人民币对美元的中间价为中心,发现这段时间的人民币对美元的中间价波动在不同阶段呈现出不同的特点,并且这些特点在不同阶段之间变化显著。
Since the 1960s, many research methods of other disciplines such as physics are introduced in finance, and finance has achieved significant development. The foreign exchange market is one of the oldest and most unpredictable financial markets, and also one of the most attractive fields to economists. Since 1994, China＇s foreign exchange market has gone through 14 years. Although it is not as mature as international foreign exchange market, there still a mass of data had been accumulated. Every morning of trading days the People＇s Bank of China publish central parities of RMB, which can be considered as the core of China＇s foreign exchange market, so the research of these data is very significant. In this paper Detrended Fluctuation Analysis （ DFA）, which now is one of the most popular methods in the long-term relavance study of time series, was applied. The main data of central parities of RMB published by the PBC from April 1, 1994 to March 31 is studied, 2008. In the study of the data of central parity of RMB against USD from July 21,2005 to March 31,2008, anti-memory characteristics were found; in the same period data of central parities of RMB against the Euro, Japanese yen, Hongkong dollar, the characteristics of long-term memory is not clear. The study of the data from April 1, 1994 to July 20, 2005, was mainly concerned on the analysis of the data of central parity of RMB against USD, and the fluctuations of which had different characteristics in different stages, and these characteristics changed significantly in different stages.