Research on the Determination Model of the RMB / Dollar Daily Exchange RateChinese Full Text
HU Zai-yong;
Abstract: Abatract: Based on the latest research progress of exchange rate determination theory, this paper analyzes influence factors of the RMB / Dollar daily exchange rate. The research shows that macro economic news and the foreign exchange market micro factor bid-ask spread are important influence factors of the RMB / Dollar daily exchange rate,while the relative interest rate between the U.S. and China is not influence factor of the RMB / Dollar daily exchange rate. Furthermore, this paper combines random walk model,news variables with the foreign exchange market micro factor and constructs the determination theory model of the RMB / Dollar daily exchange rate. Empirical research shows that the RMB / Dollar daily exchange rate was determined by its lagged value, news of China’s economic activities and bid-ask spread of retail market. The RMB / Dollar daily exchange rate determination model constructed in this paper is superior to the traditional random walk model on simulation effect and in and out of sample predictive effect.
Keywords：
exchange rate determination model; news; foreign exchange market micro factor; random walk model;
- DOI：
10.13230/j.cnki.jrsh.2014.04.001
- Series：
- Subject：
- Classification Code：
F832.52;F837.12;F833.13;F224
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