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中国管理科学

中国管理科学 ›› 2010, Vol. 18 ›› Issue (4): 34-42.

• 论文 • 上一篇    下一篇

外汇干预反应函数非线性FTR模型的提出及其实证

张在美1, 谢赤1,2, 孙柏1   

  1. 1. 湖南大学工商管理学院, 湖南长沙410082;
    2. 湖南大学金融与投资管理研究中心, 湖南长沙410082
  • 收稿日期:2009-11-23 修回日期:2010-07-05 出版日期:2010-08-30 发布日期:2010-08-30
  • 作者简介:张在美(1981- ),女(汉族),山东临沂人,湖南大学工商管理学院,博士研究生,研究方向:金融工程与风险管理.
  • 基金资助:

    国家社会科学基金重点资助项目(07AJL005);全国高校青年教师奖励基金资助项目(教人司2002[123])

Advancement and Empirical Research of Nonlinear FTR Model as Central Bank’s Foreign Exchange Intervention Reaction Function

ZHANG Zai-mei1, XIE Chi1,2, SUN Bo1   

  1. 1. College of Business Management, Hunan University, Changsha 410082, China;
    2. Center of Finance and Investment Management, Hunan University, Changsha 410082, China
  • Received:2009-11-23 Revised:2010-07-05 Online:2010-08-30 Published:2010-08-30

PDF (PC)

1494

被引次数

8

摘要： 中央银行外汇干预反应函数是描述央行干预行为与外汇市场条件变量间关系的重要工具,对于揭示央行外汇干预规律和特征具有重要意义。现有的干预反应函数模型在充分体现外汇干预的不频繁性特征、以及提高描述精度两方面上,还不能同时满足实际的需要。在参考相关研究基础上,从兼顾模型实际意义与描述精度的角度出发,提出了一种新的非线性FTR模型,并基于日本央行的外汇干预数据对其进行了实证研究。将其与线性模型、2-机制TR模型进行实证比较后发现,所提出的FTR模型在样本内拟合和样本外预测两方面均具有比其它两种模型较小的误差,从而证明了FTR模型在描述央行外汇干预行为上具有更好的精度,更加适合作为央行外汇干预反应函数。

关键词: 外汇干预, 反应函数, 非线性, FTR模型, 汇率

Abstract: The foreign exchange intervention reaction function of central bank is an important tool to describe the relationship of intervention behavior and some market conditions,and it is significant for revealing the rules and characters of intervention behavior At present,the models of reaction function provided are not good enough to meet the need of explaining the infrequency of intervention,and acquiring high precision simultaneo usly Based on the analysis of related research,and from the view of practical significant and high precision,this paper provides a new nonlinear FTR model,and executes experiments based on the intervention dat a of Japanese central bank.Experiment al results demonstrate that,comparing with linear model and two regime TR model,the FTR model provided by this paper has smaller errors both in in sample fitting and out of sample forecasting processes,that is,it is more precise in describing the intervention behavior,and is more suitable to be the central bank's intervention reaction function.

Key words: foreign exchange intervention, reaction function, nonlinear, FTR model, exchange rate

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