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논문 기본 정보

자료유형
학술저널
저자정보
Shiyou Zhu (Anhui University of Finance and Economics)
저널정보
부산대학교 중국연구소 Journal of China Studies Journal of China Studies No.18
발행연도
2015.2
수록면
249 - 272 (24page)

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Since the collapse of the Bretton Woods system, lots of countries in the world have chosen the floating exchange rate system. But the fluctuation of the exchange rate became larger and larger. The investors of foreign exchange market hope to find a correct way that they can forcast the exchange rate fluctuation in order to reduce the uncertainty?and risk of decision-making during each period. In July 21, 2005 China has also adopted the managed floating exchange rate system for adapting to the economic globalization. In?March 2014, the fluctuation of the exchange rate was expanded from 1% to 2%, but it will usually deepen the unstable exchange rate fluctuation caused by volatility. Because predicting the exchange rate is difficult, it will make the decision uncertain, which was made by the foreign exchange market's investors, what's worse the expansion of the exchange rate fluctuation will make the prediction more difficult. The analysis methods of forecasting the exchange rate or exchange rate's dynamic usually use partial equilibrium model, general equilibrium structure model, time series model, random walk?model and so on.?In these models, time series model is the main one?which using the exchange rate's?past data. Many studies show that the time series of stock?or exchange?rate of the financial asset prices is heteroscedastic. Therefore conditional heteroscedastic model which was brought heteroscedasticity?into the?time series model was created,?and this model is flexibly used into the academic research. The analysis of the foreign exchange market shows that the probability distribution?of exchange rate fluctuation appears?the leptokurtosis shape variance which also varies with the time. It means that it's necessary to use the?heteroscedastic model, in order to predict more accurately. But in China the studies of the?dynamic association between the?changes of the daily exchange rate's limit and?exchange rate's dynamic are not much. Therefore, the change of the floating exchange rate limit has?what kind of impact on its variance can let investors of foreign exchange?market be aware of the importance of forecasting exchange rate, which changes drastically, in the foreign exchange market. The main purpose of this thesis is to improve the accuracy of exchange rate`s prediction through analyzing characteristics?of the?variance in the model. Therefore, this research mainly analyze the characteristics that some major currencies affect the probability?distribution?of?the RMB's exchange rate, and also analyze the daily exchange rate?floating?limit's changes?has?what kind of impact on?the exchange rate's changes?by using the GARCH model. In order to achieve this goal,?the second part mainly explains the principle of the heteroscedastic model; the third part analyzes the domestic and foreign existing literatures about the fluctuation of exchange rate to make theoretical basis for the empirical?analysis; the fourth part empirically analyses the impact of exchange rate floating limit's change on heteroscedasticity of exchange rate changes;?the fifth part summarizes the?results of the analyses.

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