【摘要】 在分析汇率数据的基础上,本文理论构建了改进的GARCH(1,2)-M模型,实证检验汇改前、后实际汇率波动的特征。结果表明:我国汇率形成体制具有较强的内在稳定器功能;实际汇率波动主要受汇率风险与上期汇率波动的影响,比例值约为44∶53;2005年7月汇改后,实际汇率波动的稳定性略有提高,但结构性变化不明显;汇率波动具有1期路径依赖性与时滞连带性;汇率风险具有1.8倍的乘数效应,且对汇率波动具有1.5倍累积效应;新息冲击、利率变动对实际汇率波动的影响较弱,皆有2期时滞性。模型启示:稳定汇率、稳定经济基本面与预防和管理新息冲击是新一轮汇改要考虑的三项重点,这有利于在可控、主动与渐近的原则下稳定人民币汇率。更多还原

【Abstract】 This paper theoretically constructs the improved model of GARCH(1,2)-M,based on the analysis of exchange rate data,to test the fluctuation characteristics of exchange rate before and after exchange rate regime reform.The results show that:China’s exchange rate formation system is equipped with a strong intrinsic stabilizer function;the real exchange rate fluctuations are subject to exchange rate risk and former exchange rate fluctuations,the ratio value of about 44 ∶53;a slight increase in the stability of the actual exchange rate fluctuations since exchange reform in July 2005,and the structure change is slight;exchange rate fluctuations have a first-period path-dependent and time delay association;exchange rate risk has an effect of 1.8times multiplier and 1.5times cumulative effect to expand or reduce the effects of real exchange rate fluctuations;both new shock and changes in interest rates have a weak impact on the real exchange rate fluctuations with the second-period time delay.Model reveals that:a stable exchange rate,stable economic fundamentals and the impact of prevention and management against new shock have become the three major points of a new round of exchange rate reform,which is conducive to keep the stability of the RMB exchange rate in a controlled,active and asymptotic principle.更多还原