The Research On Timing Characteristics Of Real Exchange Rate Fluctuation

The research on timing characteristics of exchange rate fluctuation is the focus and thedifficult problem of real exchange rate mechanism and its reform research, this paperdiscusses the parity attribution of the real exchange rate fluctuations of RMB against the USdollar.This paper summarizes the domestic and the foreign research achievements of RMBexchange rate fluctuations, sums up the development course of ARCH model and itsapplication path, introduces the July2005time point virtual variable and adds the interest ratelag variables into GARCH-M model, forms improved GARCH-M theoretical model; insertingtime trend with exponential model into ARIMA model, constructs the T-ARIMA theoreticalmodel. Using the two kinds of theoretical models given above and empirical research method,this paper studies time characteristics of the real exchange rateof RMB against the US dollarrelatively fluctuations and absolutely fluctuations.On the basis analysis of real exchange rate data of RMB against the US dollar from thejanuary2000to december2010, this paper has theoretical constructed and empirical tested theimproved model of GARCH (2,2)-M to discuss time characteristics of absolutely fluctuationsof the real exchange rate. The results show that: China’s exchange rate formation system isequipped with a strong interior stabilizer function; the real exchange rate fluctuations aresubject to risks and the former exchange rate fluctuation, the ratio value of about55:45; aslight increase in the stability of the real exchange rate fluctuation in July2005sinceexchange rate reform; exchange rate fluctuations have a first-period path-dependent and timelag association; fluctuations in risk of variance have been cross-stack transitive and efficiencyof5.4times multiplier with its square root1.2times to expand or to reduce the effects of thereal exchange rate fluctuations; both new shocks and changes in interest rates have a weakimpact on the real exchange rate fluctuations with the second-period time lag. Improvedempirical GARCH(2,2)-M model shows lights on the next reform of exchange rate as follows:a stable exchange rate, stable economic fundamentals and the impact of prevention andmanagement new shocks have become the three major points of next round of exchange ratereform,they do good to keep the stability of the RMB exchange rate on a controlled, activeand asymptotic principle.Basing on the real exchange rate growth ratio of RMB against US dollar from January2000to December2010, This paper has theoretical constructed and empirical tested T-ARIMA(2,1,2) model to discuss time characteristics of the real exchange rate relativelyfluctuations. The result shows that: the real exchange rate has inverse time trend, interiorstabilizer function and deviation error correction function, the real exchange rate growth ratiohas characteristics of a second-period path-dependent, second-period time lag, indefinitelytime lag succession characteristic, and cross-stack transitive characteristic. the new shockshave positive impact on the growth of real exchange rate in V letter shape, new shocks are thedominant factors of the real exchange rate fluctuation, the new shocks and its time lag have2.5times expand effect on the growth of real exchange rate. Empirical model T-ARIMA(2,1,2)supplies enlights with maco-control of real exchange rate fluctuations as follows: thegovernment should not excessive intervention and adjust the real exchange rate; distinguishthe nature of new shocks, take "inverse new shocks" control strategies to maintain the stabilityof exchange rate.The results of timing series characteristics of real exchange rate show that: the absolutelyfluctuations main affected by variance, the last exchange rate fluctuation, new shocks and theratio; the relatively fluctuations main affected by new shocks, the last two exchange ratefluctuations and inverse time trend. The absolutely and relatively fluctuations have suchcharacteristics as path-dependent, time lag, time lag succession and interior stablier function;the real exchange rate relatively has lower growth path-dependence and stronger interiorstabilizer function; however, the growth ratio of the real exchange rate has inverse time trendas well as cross-stack transitive characteristics. New shocks have completely opposite timelag effect on the absolutely fluctuation of the real exchange rate, and has positive effect “V”letter spread time lag on the relatively fluctuation of the real exchange rate. The researchreveals that: the government should combine the exchange rate, the economic fundamentalswith new shocks to reform the formation mechanism of exchange rate and regulate theexchange rate, most importantly, the exchange rate regulation should distinguish the nature ofnew shocks, take "inverse new shocks" strategies.