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Based On The Jump Diffusion Process Of The Rmb Exchange Rate Model Parameter Estimates And Applications

Posted on:2012-09-20Degree:MasterType:Thesis
Country:ChinaCandidate:H Y ZhangFull Text:PDF
GTID:2199330332992366Subject:Applied Mathematics
Abstract/Summary:PDF Full Text Request
In recent years, the RMB exchange rate has become a hot topic, it one hand influence the country's economic lifeline, on the other hand, and our livelihood.Our country's exchange rate has already been into the market decide changes era from a fixed exchange rate stage. State Administration of Foreign Exchange in 2006 made it clear that it will gradually relax the volatility management to promote the exchange rate under a managed floating RMB exchange rate mechanism for the formation of behavioral analysis of freedom and flexibility. In this context, we can expect the foreign exchange market may also show a jump phenomenon and exchange rate risk like other financial markets.At present, China's RMB exchange rate study mainly focused on the impact of appreciation or devaluation on China's industrial or excessive study on equilibrium exchange rate. This year, of course, research directly to the issue of changes in the exchange rate has gradually increased, but many studies are based on the general time series model, they're too unitary to keep up the pace of financial research.This article will discuss the change characteristics of the jump diffusion model in the exchange market, subject to asymmetric jump diffusion process of the jump range based on Poisson distribution. The estimation method of the Model will use MCMC, which is in short of Markov chain Monte Carlo. It is a simple and effective method for Bayesian calculation developed recently, which has been widely used in statistical physics in the past 50 years but in the application of Bayesian statistical theory just about 10 yeas ago.Currently, there are many Bayesian calculation software including WinBUGS, OpenBUGS etc.;while R, Splus and Matlab simulation analysis can also be applied to Bayesian calculations. This article will combine the software of WinBUGS and Matlab to calculate, of which be called Matbugs by many scholars.The empirical part of the article will use the RMB/USD exchange rate and the RMB/USD closing price to analysis. In this special case of RMB/USD we will evade the Jump risk in the exchange rate market by means of analysis estimated by MCMC methods and asymmetric Poisson jump diffusion model.This limitation of the article is the choice of the model and the RMB exchange rate, especially the exchange rate, which can be extended more.The empirical research on the exchange rate for the different countries will provide us more basis to evade exchange rate risk...
Keywords/Search Tags:jump diffusion process, MCMC, RMB exchange rate
PDF Full Text Request
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