The RMB appreciated in 2003. Since then the RMB exchange rate has become the focus of attention at home and abroad. In the second half of 2009, when the international financial crisis has not over, the debate between china and America about the exchange rate has ring again. The excuse of some American forces said the US economy was difficult and high unemployment, which leads to manufacturing and industrial slump. All this due to cheap imports from China, moreover the basic reason is the RMB undervalued. However, in the 2005-2008 period, the cumulative appreciation of the RMB against the US dollar as high as 21.1%, in the United States economy has not improved. In fact, many well-known researchers such as O'Neill, chief economist at Goldman Sachs Group, presented the opposite conclusion, he considers that at the present situation the RMB is not only not be underestimate, but was overestimated by 0.4%.Has the RMB exchange rate not been underestimated in the end? Is the RMB appreciation justified or not? At the time of the RMB was applied increasing pressure by external world, China's foreign trade appeared deficit of 7.24 billion US dollars at the first time in the six years. Therefore, the RMB exchange rate issue has become more complicated and confusing.Foreign exchange rate is a key measure of an economy. Therefore, understand its characteristics, the dynamic behavior and accurately predict have important practical significance on a country's macroeconomic research. The exchange rate is also related to a country's reform and implementation of monetary policy. Exchange rate movements also affect the balance of payments current, capital and financial account settlement payment. Research the exchange rate has many benefits, such as on the domestic economy against external interference and on micro-enterprises participate in international competition. China is still in the process of economic transition and accurately describe changes in the exchange rate is particularly critical.Based on the above results and methods of STAR models, the article analyzed the dynamics behavior of the exchange rate between RMB against the US dollar. Differ from previous analysis, the article used the floating exchange rate data which after 2001.First through the model's nonlinear test, test whether the sequence of the real exchange rate of RMB is stationary and whether display the characteristics of nonlinear. After rejected the null hypothesis of linear model, also proved the real exchange rate of RMB existed nonlinear. Then established the nonlinear smooth transition autoregressive model (STAR), described the nonlinear characteristics of the real exchange rate of RMB, and elucidated the nonlinear model's economic significance. Finally, use the model's impulse response function to describe the dynamic characteristics of the nonlinear and predict, thus can come to this conclusion.China's real exchange rate movements is nonlinear and reflects the features of symmetry, subjects to the ESTAR model of p=1 d=1,this conclusion is consistent with the conclusion of most developed countries'real exchange rate subject to the ESTAR model. Compared with nonlinear ESTAR models and AR models, we can found, ESTAR models are better than AR models on goodness of fit and information criteria. On the fitness of real exchange, the nonlinear ESTAR model is better than AR model. The real exchange ESTAR model's converted variable's estimated value is 6.8312, the small number indicated that the real exchange rate of RMB conversion rate between the two mechanisms is unpleasant and very gentle. This is because our government's intervention on the foreign exchange market is indirect and small in the range. The equilibrium value of real exchange rate is -0.1489.After conversion with China's and the US consumer price index, which obtained the balanced value of the normal exchange rate is about 7.61.This shows that despite the huge appreciation of international pressure, the RMB's real exchange rate is overvalued. So our government should actively take measures to ease pressure on the RMB appreciation, such as to increase the purchase of dollar assets, improve the exchange settlement system, to reduce foreign exchange reserve. Meanwhile, our government should have a clear understanding about the exchange rate of the RMB, not blindly appreciation on the RMB, but should gradually perfect the mechanism of the RMB's exchange rate. This article predicted China's real exchange rate in the second half of 2010, obtained values show that the exchange rate will remain relatively stable. But the RMB exchange rate will be reduced to a certain extent, that is to say, the RMB will face upward. Through the forecast, the fluctuation's range of the RMB's real exchange rate is 6.43 to 6.90.The prediction is maintained a consensus with the forecast of China Band. However, this forecast of the RMB's real exchange rate will have a certain deviation. The volatility of nominal exchange rate depends on the two countries'ratio of price index changes. So the ratio of price changes will affect the value of the nominal forecast's exchange rate. Due to the US subprime mortgage crisis, economic prospects and the massive US economic stimulus impact on the world's economy is not yet certainty, and ESTAR model failed to fully consider the various factors of affecting exchange rate movements. Therefore, the model needs further improvement.In innovation:First, we use 1stOpt software, not need initial value, the software can obtain the correct result from any random initial value. Second, this paper use bootstrap simulation to describe the nonlinear dynamic characteristics of the real exchange rate, nonlinear model testing, select converted variables and transfer function. Ultimately we can estimate the precise STAR model. We still use bootstrap simulation to establish the impulse response function that can describe the dynamic characteristics of the model.This is the greatest innovation of this article. |