Research On RMB Short-term Equilibrium Exchange Rate Decision Model Under Multi Objective Condition

Equilibrium exchange rate is one of the most important subjects in the field of economics,and its research has both theoretical and practical significance.In academic filed,the theoretical study of the equilibrium exchange rate has been on for many years.In reality,most countries have been intervening in the exchange rate.But so far,most studies have focused on the long-term equilibrium exchange rate,the related concepts and theory of short-term equilibrium exchange rate are immature.In academic research,there is little literature to discuss the equilibrium exchange rate.In practice,the exchange rate decision of each country is mainly about short-term decision,especially when the exchange rate variation of different country is inconsistent,when the multiple objectives have conflicts in China,how to carry out the internal and external equilibrium and coordination of exchange rate is an urgent problem to solve.Based on the discuss of short-term equilibrium exchange rate theory,this paper designs a set of short-term equilibrium exchange rate decision model,and then carries out empirical test,and finally gets the decision model.The model has theoretical support,the rationality in the method,feasibility in practice,and can be applied for empirical calculation of RMB short-term equilibrium exchange rate.This article includes several interrelated major parts.Theoretical Discussion on Short-term Equilibrium Exchange Rate.In the first and second chapters of this paper,the existing equilibrium exchange rate theory and the calculation method are reviewed,and the related concepts of exchange rate are defined.Based on the modern equilibrium exchange rate models,some questions about the method of calculating the equilibrium exchange rate are put forward,and then discussed seperately.This paper then redefines the concept of short-term equilibrium exchange rate,which believed that the optimal exchange rate is multiobjective coordinated,not only can reflect the two-way decision of the mathematical equilibrium,but also reflects the domestic and foreign economic equilibrium can be used for decision-making is short-term equilibrium exchange rate.This new concept is the basis of the whole thesis,which is used to guide the design of the theoretical system and model framework of this paper.Short-term Equilibrium Exchange Rate Method Design.This part is the theoretical core of the full text.The third chapter is mainly used to elaborate the design ideas,principles and characteristics and functions of the multi-objective optimal short term equilibrium exchange rate decision model(MOER model)in this paper.The model consists of three layers.The first layer is the target optimization model(ERO model),with the form of double deviation square product as an objective function.The second layer is the measurement of the exchange rate decision model(ERF model),which sets a set of related countries index,used to construct relative indicators,reflecting the relative level of domestic and foreign variables.The third layer is a set of economic target model(ERT model),which can be nested in the second layer model,reflecting the mathematical equilibrium of the two-way exchange rate decision.The three models are combined to add constraints to obtain the multi-objective constrained optimization model.The design of the model fully reflects the characteristics of the short-term equilibrium exchange rate,and can coordinate the conflicts of multiple objectives.Short-term Mathematical Equilibrium Estimation of Main Variables.This part is the first step of the actual calculation of the equilibrium exchange rate,as the preparation for the subsequent optimization.The model designed in Chapter 4 contains three types of variables,namely,the domestic economic variables,a set of basket index,and the relative ratio index dividing the domestic economic variables by the corresponding basket index.Collect the data of the variables from 1999Q1 to 2015Q4.First,select the reference countries according to different standards and determine the appropriate weight to calculate the basket index.Then,bring the variable data into the state space model,and obtain the dynamic impact parameters between the main economic variables and the exchange rate of ERF and ERT model,which reflects the mathematical equilibrium relationship between the economic variables and the exchange rate.Finally,analyze the changes of the main parameters.Construction and application of MOER model.This part is the actual calculation of the short-term equilibrium exchange rate.Chapter 5 is based on the mathematical relationship between the exchange rate and the economic variable estimated in Chapter 4.From the perspective of economic equilibrium,it adds the constraints to the economic variables involved in the model.The calculation process is carried out in two kinds of simulation programs,one is to add constraints on the domestic major economic variables,including the domestic economic growth rate,the price index,the money supply growth rate and the relative export variables in the non-expected conditions,and then estimate China's 2001-2015 quarterly short-term equilibrium exchange rate under the multi-objectives co-constraints.The other is mainly to join the foreign expectations.Two programs are carried out with the foreign general index constraints and sub-country constraints separately,according to the international situation to set the expected conditions,and then calculate the expected equilibrium exchange rate of China in the 4 quarter of 2016.Finally,the simulation results are analyzed.Conclusions and Recommendations.Chapter 6 summarizes the work of the whole paper based on the previous research,and puts forward some suggestions.The conclusion points out that the overall design,theory model and method construction of this paper have the theoretical scientificity,and the result of calculation is also reasonable and operable.It is suggested that the method of this paper should be promoted and continue to improve the short-term equilibrium exchange rate theory and method.The innovation of this paper can be summarized from three aspects.Firstly,a new concept of short-term equilibrium exchange rate is put forward.It is clearly defined that the optimal exchange rate,which is bidirection determined,not only satisfy the mathematical equilibrium,but also accord with the economic equilibrium,is equilibrium exchange rate under the condition of government interntion.Secondly,on the basis of this new concept,a new set of short-term equilibrium exchange rate decision model(MOER)is designed,which combines the multilateral international composite index,the econometric model and the multi-objective optimization model.Finally,according to the model designed in this paper,we calculate the short-term equilibrium exchange rate in China and provide the basis for government intervention.