Quantitative Analysis Of Exchange Rate Determination And Forecasting, And The Renminbi Revelation

The foreign exchange rate was born with the economic business across the countries. Then the various theories and doctrines for it came into being. Up to the present, the research of the foreign exchange rate become deeper, and a lot of new doctrines, methods and technologies come forth. This offered us very valuable theoretic references and practicing ways for our comprehension of the foreign exchange rate's variation and mastery of the traits of its fluctuation when the waving of the foreign exchange rate gets more and more frequently and its risk can't be ignored today.The purpose of the paper is to make some new probes in the field of structure analysis of the foreign exchange rate on the base of the forerunners, combining the current economic theories, the new development of econometrics and the current facts. Mainly emphasizes the application of the new methods. The paper selects some countries that carry out floating exchange rate system as examples, takes their annual (from year 1970 to 2001) official nominal exchange rates as the researching objects, starts with some basic economic variables that are closely correlated to the exchange rate, attempts to apply some new ways to construct the models to analyze the quantitative relationship between the exchange rate and its influent factors, and by way of this, to offer some references on the determination of the equilibrium exchange rate and a better forecast of its amplitude and orientation.Firstly, we construct the test of the exogenous structural mutation for a unit root process and this eliminates the influences on the model from the mutation of the data growth process. Then, we select some variables which have remarkable affect on the exchange rate by four ways and further use these variables to establish a Panel Data model for the exchange rates of fourteen countries' currencies against the yen and a simultaneous model for the determination of the equilibrium exchange rate of Canada dollar against yen and make some analysis, tests and corrections on them. And compare them with the vector error correction model of the exchange rate of Canada dollar against yen which is established by the means of cointegration.In addition, combining the discussion on the reform of formation system of RMB's exchange rate, we expatiate the application foreground of our models and give a reference analysis on the changing trend of RMB's exchange rate.The demonstration analysis in the paper show that the changing relationship between the exchange rate of Canada dollar against yen and each factor variable are consistent in three exchange rate's equations estimated by three kinds of models and also accord with economic explanation. Despite certain faults in our sample datum, the fit ting effects of our models are fairly good. The models we build have some reference value on description of exchange rate's change and forecast...