摘要
本文比较了广义可加模型与线性回归模型、协整模型的差异,利用广义可加模型对影响中国外汇储备的因素进行理论和实证分析,发现内外利差对外汇储备的线性作用与非线性作用不完全一致;随着一国国际地位的提升,其对外汇储备的非线性影响呈现由正向转为负向的趋势;汇率弹性的增大是汇率对外汇储备的非线性贡献产生的动因之一,控制外汇储备的快速增长应该增大汇率弹性、实现汇率的双向波动。
This article compares the generalized additive models with the linear regression model and the cointergration model, theoretically and empirically analyzes the factors affecting Chinese foreign exchange reserves by using the generalized additive model, and finds that the linear and nonlinear effect of spreads to the foreign exchange reserves are not fully consistent. It also finds that, along with the upgrading of the country＇s international status, the nonlinear effect of spread on foreign reserve shows the trend of transferring from positive to negative. It concludes that the increase in the elasticity of foreign exchange rate is one of the important drives that lead to the transfer, and the control of the rapid growth of the foreign exchange reserves requires the increase in the exchange rate elasticity and the achievement of two-way exchange rate fluctuations.
出处
《金融研究》
CSSCI
北大核心
2007年第11A期1-12,共12页
Journal of Financial Research
关键词
可加模型
外汇储备
维数灾难
非线性
有效汇率
additive model, foreign exchange reserves, curse of dimensionality, nonlinear, effective exchange rate
作者简介
巴曙松（1969-），男，教授，中国科学技术大学兼职博士生导师，国务院发展研究中心研究员。
朱元倩（1984-），女，中国科学技术大学管理学院统计与金融系金融工程方向博士生。
