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Research On The Quantitative Relationship Between The Influencing Factors Of Exchange Rate

Posted on:2008-05-02Degree:MasterType:Thesis
Country:ChinaCandidate:H Z ZhuFull Text:PDF
GTID:2189360242968435Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
Exchange rate problem has been always as a hot topic in the macroeconomic field. Since a long time ago, the issue of RMB exchange rate has always become a national government and wider international academic focus. In the different times it has different mainstream perspectives. Regardless of revaluation or devaluation on all involved to the question: Should the revaluation of the RMB is? And what kind of exchange rate is in line with China's macroeconomic development level? While is China's current exchange rate really balanced and reasonable? This paper tries to use the equilibrium exchange rate as a reference standard, on the basis of the previous studies and combining with modern economic theory and current reality, apply econometric method to find the answer to this question.In this paper, the author first simply introduces the research situation about theoretical study on the equilibrium exchange rate in domestic and overseas study. The author elaborates and distinguishes several confused conceptions on the exchange rate. And the author has also systematically studied the economic theory related to the exchange rate. AH this is done in order to lay an economic theory foundation for analysis of the relationship between the major factors influencing the exchange rate and the equilibrium exchange rate. Secondly, in this paper the author applies statistical data to research and quantitatively analysis the relationship between the major factors and RMB equilibrium exchange rate from the short-term and long-term aspects. Having synthesized time series analysis, lag analysis and lag-cointegration, the author establishes multi-dimensions time series and lag-cointegraion blending model, then using this model forecast the movement of RMB equilibrium exchange rate. The main elements are as follows:1) The author simply introduces the research situation about theoretical study on the equilibrium exchange rate in domestic and overseas study, and also systematically studies the economic theory related to the exchange rate, analyses several major factors affecting the exchange rate. All this is done in order to lay an economic theory foundation for analysis of the relationship between the major factors influencing the exchange rate and the equilibrium exchange rate.2) Using various econometric models and quarter data got from IFS website, the author analyses the dynamic impact of main factors on RMB equilibrium exchange rate in short-term, mainly using Granger Causality Test, Impulse Response Function and Variance Decomposition, and get every impact magnitude and direction of main factors on RMB equilibrium exchange rate.3) On the base of cointegration theory, the author puts forward lag-cointegration and its estimates and tests based on least square method and maximum likelihood estimation, and using the lag-cointegration, the author researches the long-term quantitative relationship between the major factors and RMB equilibrium exchange rate, and found the lag-cointegration equation which can describe long-term relation between those variables.4) Having synthesized time series analysis, lag analysis and lag-cointegration, the author establishes multi-dimensions time series and lag-cointegraion blending model, then using this model forecast the movement of RMB equilibrium exchange rate.
Keywords/Search Tags:the Factors of Affecting Exchange Rate, Real Equilibrium Exchange Rate, Vector Autoregression, Lag-conitegration
PDF Full Text Request
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