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随着经济全球化和金融自由化,汇率作为国家宏观经济主要的调控手段和经济杠杆对国民经济发展所起的作用越来越明显。随着2001年11月中国成功加入WTO,研究人民币汇率的波动性特征对理解人民币汇率的形成机制、完善人民币汇率制度、实现人民币自由兑换和国际化具有特别重要的意义。本文采用GARCH模型对并轨后中美外汇市场的波动性进行了比较研究,揭示了人民币汇率形成机制的特殊性。
With the economic globalization and financial liberalization, the role of exchange rate as the main regulatory measure and economic lever of the national macroeconomy has become more and more obvious to the development of the national economy. With China’s successful accession to the WTO in November 2001, studying the volatility characteristics of the RMB exchange rate is of particular importance for understanding the formation mechanism of the RMB exchange rate, perfecting the RMB exchange rate system, and realizing the RMB’s free exchange and internationalization. This article uses the GARCH model to compare the volatility of the Sino-US foreign exchange market after the merger, revealing the peculiarity of the RMB exchange rate formation mechanism.