| The behavior of foreign exchange(forex) rate is the external expression of complex law of exchange rate system, resulted from the perception and reflection to external factors change under specific management mechanism. And its characteristics can reflect the development of the economy and the financial market. Recently, suffering from the lasting effect of global financial crisis, the behaviors of forex rate present more abnormal fluctuation and different dynamical complexities. Meanwhile, these phenomena spur the academia and government give more attention to the management mechanism of forex rate. Therefore, it shows important theoretical innovation and reality significance that systematically summarizes the non-linear characteristics, explores the non-linear combination forecasting model for forex rate, and quantitatively researches on management reference and operation to forex rate.My research routine is started with theoretical analysis, followed by empirical research and then political suggestion. This dissertation constructs several non-linear models combined with digital signal processing technology, the machine learning algorithm, statistical and econometrical method, to study the non-linear behaviors and management mechanism of forex rate. Specifically,1) This dissertation defines the behavior and management mechanism of forex rate, and especially, emphasizes this management mechanism is the basic mechanism and operation rule aiming to manage own exchange rate by central bank. This management mechanism includes the reference deciding of forex rate, and the adjustment mechanism for the behaviors of own exchange rate according to the pre-decided reference. Meanwhile, this dissertation reviews the relative monetary theory, parameter and non-parameter model, and then expounds the advantage of non-linear research method on behavior and management mechanism of forex rate.2) Based on reviewing the studies of non-linear behavior characteristics of forex rate, this dissertation summarizes several typical non-linear characteristics, such as non-normality, volatility, asymmetry and long-memory. And the Jarque-Bera test, ARCH test, ARMA-GJR-GARCH model and MR/S model are used to test and measure the non-linearity of the exchange rates of the developed and emerging market country(area). The empirical result shows that the forex rates of emerging market country present more non-linearity and leverage effect. And the result also implicitly indicates the efficient-market hypothesis is not hold in forex market.3) This dissertation proposes an integration model, compositing with independent component analysis and support vector machine. And then the proposed model is applied to RMB/USD rate forecasting. The empirical results show that the proposed IC-SVM model has advanced accuracy and robustness on forex rate forecasting.4) The conceptions of nominal currency basket and real currency basket are raised, which can explain the difference between official announced composition of currency basket and empirically estimated composition well. And then, the supremum F test is applied iteratively to detect the monetary policy adjustment and its effect on management reference of forex rate, aiming to get a more convincible estimation of reference benchmark. After this procedure, an instrumental variable based generalized autoregressive conditional heteroskedasticity(GARCH) model is constructed, which corrects the bias involved by the simultaneity between the return of forex rate and intervention operation of central bank’s management. The empirical result shows the central bank’s intervention is the most effective approach of forex rate management. However, these directive management ways might produce more volatility of exchange rate, and possibly bring additional currency risk.5) Finally, this study review the exchange rate arrangement of Chinese Renminbi in different periods, discusses current core issues and challenges in the reform of forex rate arrangement. Meanwhile, the last context proposes the political suggestion and predicts developing foreground of Renminbi exchange rate. |
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