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Study And Application Of Nonlinear Time Series Model In RMB Exchange Rate Fluctuation

Posted on:2009-09-03Degree:MasterType:Thesis
Country:ChinaCandidate:Y LiFull Text:PDF
GTID:2189360272490315Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
Research in exchange rate problem of RMB is always very important both in domestic finance field and international finance field. As Chinese economy developing fast and its economy influence in world becoming large, RMB has more and more effect on both international trade and money investment of people. During recent years, there were several important reforms of RMB exchange rate regime, and the pressure to the appreciation of RMB became larger. More and More attention is paid to the fluctuation of RMB exchange rate.Because of the earlier classical linearity hypothesis on the theory of finance market, fluctuation of exchange rate was always considered to be linear. As more and more research demonstrated that there were some nonlinear characteristics in financial data, people began to pay attention to the analysis of nonlinearity in finance market, and the nonlinearity theory showed its superiority and potentiality in many kinds of science fields. Threshold autoregressive model is one kind of nonlinear time series model, which was used by our domestic scientists to study astronomy, geology, hydrology, physics, medical science etc. However there was much less research in finance study field than many other countries'.This paper aims at enriching and expanding nonlinear time series theory of RMB exchange rate and its empirical research, and some improvement in theory and practice will be tried out. After applying BDS method and R/S method to test whether there is any nonlinear characteristic in the exchange rate time series of RMB in exchange for US dollar, a series of conclusions have been made including that some nonlinear structure indeed exit in RMB/USD exchange rate time series. By means of modeling self-exciting threshold autoregressive model to fit the time series, a conclusion has been made that threshold model outdoes classical linear model in studying RMB exchange rate.The nonlinearity and complexity of the exchange rate time series of RMB in exchange for US dollar is the main object to be studied in this paper, and some problems relative to them have been researched deep and systematically. Therefore, further research and discuss in nonlinear time series may benefit from the theory and empirical research supplied by this paper.
Keywords/Search Tags:RMB exchange rate, nonlinear time series, threshold autoregressive model
PDF Full Text Request
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