【摘要】 汇率是影响宏观经济运行的重要变量。布雷顿森林体系解体后 ,汇率波动频繁 ,起伏不定 ,在此背景下 ,对汇率与其它宏观经济变量关系的分析及在此基础上进行的汇率行为描述和预测就成为金融领域研究的热点和难点。汇率理论的发展历程较长 ,产生了最有影响力的几种汇率理论 ,特别是货币主义汇率理论自上世纪后半期以来被广为研究和使用。在此基础上学者们提出了当前被广泛使用的汇率协整分析技术。它包括单位根检验和协整关系的估计以及误差校正模型的建立。实践说明汇率协整分析与汇率决定理论之间有着紧密的联系更多还原

【Abstract】 Exchange rate has an important effect on macroeconomy. After the breakdown of the Bretton-Woods System, exchange rate fluctuates frequently, rising and falling uncertainly. So, the analysis between exchange rate and other macroeconomic variables and behavior description and forecasting of exchange rate based on it are attractive in financial field. The exchange rate theory has a long history, and several theories have most influence on the monetarist exchange rate theory since 1950s. Among them, the technique of cointegration analysis on exchange rate was generally accepted, which uses the ADF unit-root test, Johansen maximum-likelihood test and error correction model. Moreover, the relationship between the cointegration analysis of exchange rate and the determinative theory of exchange rate is very tight.更多还原