| 人民币对美元汇率波动的实证检验 |
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| 引用本文： | 左香乡,李连友.人民币对美元汇率波动的实证检验[J].湖南师范大学社会科学学报,2008,37(5):108-111. |
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| 作者姓名： | 左香乡 李连友 |
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| 作者单位： | 湖南大学,金融学院,湖南,长沙,410082 |
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| 摘 要： | 利用2005年7月21日至2007年12月28日的人民币对美元汇率波动数据，建立人民币对美元汇率波动的ARCH（1，0）模型，以说明人民币汇率走势的特征。并通过实证得出两个结论：一是人民币对美元汇率的波动严重依赖其前期波动，前期汇率数值会全部传导到本期；二是人民币汇率市场波动存在ARCH效应，即人民币汇率的时间序列具有波动异方差性。
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| 关 键 词： | 人民币 汇率 ARCH（1，0） |
The Analysis of RMB to US Dollar Exchange Rate Fluctuations |
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| ZUO Xiang-xiang,LI Lian-you.The Analysis of RMB to US Dollar Exchange Rate Fluctuations[J].Journal of Social Science of Hunan Normal University,2008,37(5):108-111. |
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| Authors: | ZUO Xiang-xiang LI Lian-you |
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| Abstract: | In this paper,using the RMB to US dollar exchange rate fluctuations data since July 21,2005 until December 28,2007,we established the RMB-dollar exchange rate ARCH(1,0)model,and attempted to describe the characteristics of the RMB exchange rate movements.Evidence obtained through two conclusions,first,the RMB to the dollar exchange rate fluctuations is heavily dependent on its pre fluctuations,the advance exchange rate value will all transfer to current conduction;Second,the RMB exchange rate fluctuations in the market exists ARCH effect,that is to say,with time series the RMB exchange rate fluctuations exists heteroskedasticity. |
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| Keywords: | ARCH(1 0) |
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