摘要
汇率涉及庞大数量的商品、投资和服务的国际交换,在各国经济中发挥着举足轻重的作用。由于近年来国际政治局势紧张,经济波动幅度较大,为了获取充足的样本量,文章采用2009-2016年美元与欧元的每日汇率用以构建Vasicek模型,根据估计分析所得的参数估计量寻求利润最优的汇率套利区间。文章分为两个部分进行探讨:第一部分是通过回归分析发现汇率波动服从均值回归趋势;第二部分是基于汇率变动服从均值回归的基础上确定汇率套利区间。同时,借助于最优套利区间的存在得出政策启示,即货币当局在维持外部经济稳定方面应谨慎使用外汇市场干预措施,同时应聚焦外汇市场中投机者情绪并建立汇率稳定与协调机制,减少因情绪剧烈波动从而对政治和经济造成的冲击。
The exchange rate involves the international exchange of a large number of commodities, investments and services, and plays an important role in economy. Due to international political tensions and large economic fluctuations in recent years, in order to obtain a sufficient sample size, this article uses the daily EUR/USD exchange rate from 2009 to 2016 to construct the Vasicek model.Then, find the best exchange rate arbitrage interval with the optimal profit based on the parameter estimate. This article is divided into two parts. The first part indicates that the exchange rate fluctuations follow the mean regression trend through regression analysis;the second part determines the exchange rate arbitrage interval based on the concept that the exchange rate changes is subject to the mean regression trend. At the same time, the policy enlightenment is drawn by the existence of the optimal arbitrage interval, i.e., the monetary authorities should discreetly use foreign exchange market interventions to maintain external economic stability, focus on the speculators’ sentiment in the foreign exchange market and establish exchange rate stability and coordination mechanisms to reduce political and economic shocks from the volatility of sentiment.
作者
王梦依
WANG Meng-yi(China Academy of Financial Sciences,Beijing 100036,China)
出处
《技术经济与管理研究》
北大核心
2021年第1期60-65,共6页
Journal of Technical Economics & Management
作者简介
王梦依(1993-),女,河南商丘人,博士研究生,研究方向:财政理论与政策。
