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| 人民币与国际汇率的非线性特征研究 | |
| 引用本文： | 雷强,郭白滢,雷敏.人民币与国际汇率的非线性特征研究[J].科学技术与工程,2009,9(3). |
| 作者姓名： | 雷强 郭白滢 雷敏 |
| 作者单位： | 1. 上海交通大学安泰经济与管理学院,上海,200052 2. 上海财经大学经济学院,上海,200433 3. 上海交通大学机械系统振动国家重点实验室,上海,200040 |
| 基金项目： | 国家自然科学基金，上海市自然科学基金 |
| 摘 要： | 采用BDS检验和R/S方法揭示了2种人民币汇率和3种国际汇率日收益率序列是确定性分形序列.研究结果表明,上述汇率序列不服从正态分布和布朗运动,并且具有内在的非线性分形结构,人民币兑日元的汇率波动关联性比其它汇率的波动性高,反映出人民币兑日元汇率波动受历史信息的影响程度较高,其"长期记忆"特征也越明显,有助于进一步深入分析汇率的内在机理以及对汇率进行预测. |
| 关 键 词： | BDS检验 R/S分析 Hurst指数 分形 非线性特征 |
Nonlinear Study of RMB and International Exchange Rate Returns |
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| LEI Qiang,GUO Bai-ying,LEI Min.Nonlinear Study of RMB and International Exchange Rate Returns[J].Science Technology and Engineering,2009,9(3). | |
| Authors: | LEI Qiang GUO Bai-ying LEI Min |
| Institution: | Antai College of Economics & Management;Shanghai Jiaotong University;Shanghai 200052;P.R.China;School of Economics;Shanghai University of Finance and Economics1;Shanghai 200433;State Key Lab2 of Mechanical System Vibration;Shanghai Jiao Tong University2;Shanghai 200240;P.R.China |
| Abstract: | 5 types international exchange profit rate time series are tested and revealed that are deterministic fractal time series, using the R/S method and BDS testing. The results show that the above exchange rate time series are deterministic nonlinear and have the fractal structure, and find that the volatility of RMB/YEN rate is stronger than that of other rates, which means that the long memory of the former is more significant than that of the latter. The results help look for the intrinsic law of exchange ra... |
| Keywords: | BDS Test R/S analysis Hurst exponent fractal structure nonlinearity |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |