Font Size: a A A

Describing And Forecasting Exchange Rate Behavior Based On Micro-structure Theories And Cointegration Analysis

Posted on:2006-05-10Degree:MasterType:Thesis
Country:ChinaCandidate:Y WangFull Text:PDF
GTID:2179360182970026Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
As a very important variable of the financial market, exchange rate not only affects the operation of the macro economy, but also has effect on the resources distribution of micro economy. Today the high frequency crisis of currency and its influence upon the economic growth has been caused widespread concerning by many governments and companies. With the development of the computer technical and the Calculate economics, new ways and tools have been used to study about exchange rate fluctuation.The paper reviews the development of the exchange rate system and its mutually research, then elaborates the new exchange rate micro-structure theories, which has been developed in the last few years. After reviewing traditional exchange rate theories, the paper analyzes the foreign exchange market and its huge trading volume, and then constructs models for describing and forecasting exchange rate behavior base on micro-structure theories and cointegration analysis. Then, the paper attempts to analyze the long term relationship between the real effective exchange rate of China, the trade volume and foreign exchange reserve by using micro-structure theories and the theory of cointegration base on China's considering foreign exchange control and managed floating system. This paper sets up a liner error correction model to depict the fluctuation of real effective exchange rate from the short horizon to the long horizon, and the model obtains a better emulation result than the traditional models.The result shows that the method of describing and forecasting exchange rate by using cointegration analysis on the base of the new micro-structure theories is better than the macro models, after measuring the non-liner factor of exchange rate behavior by using wavelets neural network, the model's forecasting ability is better than the random walk model and the liner error-correction model.
Keywords/Search Tags:order flow, cointergration, real effective exchange rate, error-correction model, wavelets neural network
PDF Full Text Request
Related items