| 基于人民币升值广义事件窗的美元/人民币汇率风险评价 |
| |
| 引用本文： | 杨欧,田波平,吴玉东,张君.基于人民币升值广义事件窗的美元/人民币汇率风险评价[J].哈尔滨师范大学自然科学学报,2006,22(6):22-27. |
| |
| 作者姓名： | 杨欧 田波平 吴玉东 张君 |
| |
| 作者单位： | 哈尔滨工业大学 |
| |
| 摘 要： | 本文选取了近两年来美元/人民币的日汇率样本作为广义事件窗中的样本信息,以2005年7月21日这一日期为时间分界点.分别研究人民币升值前后即广义事件窗中该汇率的各种统计特性,利用非线性时间序列模型的方法,分别对汇率的收益率序列建立合适的模型,用以分析人民币升值前后汇率风险水平的变化,即汇率风险评价.
|
| 关 键 词： | 人民币升值 时间序列分析 风险评价 |
| 修稿时间： | 2006年8月24日 |
RISK ASSESSMENT OF USD/RMB EXCHANGE RATIOS BASED ON THE WIDE EVENT WINDOW OF THE RMB APPRECIATION |
| |
| Yang Ou,Tian Boping,Wu Yudong,Zhang Jun.RISK ASSESSMENT OF USD/RMB EXCHANGE RATIOS BASED ON THE WIDE EVENT WINDOW OF THE RMB APPRECIATION[J].Natural Science Journal of Harbin Normal University,2006,22(6):22-27. |
| |
| Authors: | Yang Ou Tian Boping Wu Yudong Zhang Jun |
| |
| Institution: | Harbin Institute of Technology |
| |
| Abstract: | The exchange ratios of USD/RMB in recent about two years are selected as the samples of the wide event window in this paper.Then the samples are divided into two parts at the date July 21,2005.After that we can obtain the statistical properties of this kind of exchange ratios before and after the RMB is overvalued,using the nonlinear time series models,the models of the return rates of the ratios are built.By doing this,we obtain the change law of the risk of the exchange ratio which is the return ratio risk evaluation after the RMB is overvalued. |
| |
| Keywords: | Overvalued RMB Time series analysis Risk assessment |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
