人民币名义有效汇率的非线性特征分析与样本外预.pdfVIP

Abstract On 21 Bankof thatChina 2005，the China(PBoC)announced July People’S began toinstitutea rate basedonmarket regime regulated，managedfloatingexchange anddemandandinreferencetoabasketofcurrencies．Underthenew supply rate thebilateral ratebetweenUSdollarand exchangepolicy,onlystudying exchange RMBseems effective isbasedonabasket improper．Instead，theexchangerate，which of tobethemost of rateunderthisnew currencies，proves type interestingexchange aimofthis istotestforandmodelnon-linearitiesinthenominal policy．The paper effective rateofChina． exchange To non-linear in the exploit rates，we dependenciesexchange applySTAR(Smooth Transition tothereturnofRMBnominaleffective Autoregressive)models exchange rate．Thisnon·linear model theexistenceoftwodistinct in implies regimesexchange different thetransitionbetweenthe rates，withpotentiallydynamic properties，but issmooth．Andthis of is what the regimes paRernnonlinearity exactlyhappensduring data we 994—201 thatRMB rate switches periodchoose(11)，in exchange regime betweenthe rate andthe r