Exchange Rate Decision Theory And Prediction

With the integration of the world economy deepened, the international financial sector has undergone profound changes, the most prominent of which is the performance of the exchange rate fluctuations of the unprecedented increase, and extremely frequently. This frequent exchange rate fluctuations and radical, not only made the people engaged in financial activities in the area faced a growing uncertainty, and even makes people engaged in day-to-day production activities, also faces enormous risks. Therefore, the exchange rate decision theoretic study has become one of the core elements of modern financial research. At the same time, it is hoped that the exchange rate can accurately forecast the movement of the early to be able to take appropriate measures to meet the drastic fluctuation in the exchange rate. Therefore, the exchange rate prediction theory and methods of research has become a hot issue.Traditional Western theory of the exchange rate since its birth on continuously develop and grow, spread so far, the theory is still part of today until some of the major policy makers reference. Traditional Western theories of the exchange rate impact of the most widely are: purchasing power parity theory, the interest rate parity theory, theory of the balance of payments and assets of monetary theory. These theories spread so far, have an important theoretical and practical significance. Purchasing power parity theory of the two countries from the perspective of commodity markets and docking on the exchange rate issue analysis, stressed the balance between two countries'CPIs.; interest rate parity theory from the perspective of capital trade on the exchange rate inspected, stressed the balanced relationship in capital market; theory of the balance of payments explains the exchange rate issue from the perspective of the balanced foreign exchange market; monetary assets from the asset portfolio theory to the point of view of the exchange rate for analysis. The modern theories trying to get rid of the one-sidedness traditional exchange rate theories, explain from the perspective of more updates on the exchange rate issue to explain. These theories have their own point of view and the focus of attention, it can be said each of the theory perfectly justified, but not a full scale from the perspective of the decision on the exchange rate issue, therefore, every theory only in a theoretical solution to specific problems in the exchange rate, can not wholly grasp and interpret the exchange rate issue.In this paper, we use theoretical and empirical study on the method of the RMB exchange rate decision, a balanced exchange rate and the RMB exchange rate prediction. Theory main draw of the Western theory of the exchange rate, but due to China's exchange rate system is unique, the Western theory of the exchange rate of RMB exchange rate may not be applicable to the analysis, therefore, to understand and grasp the Western theory of the exchange rate, the paper attaches great importance to the Western theory of exchange rate inspection to confirm that the theory applies to the RMB exchange rate analysis and research. The equilibrium exchange rate of RMB, also to the combination of theory and empirical methods, select the suitable conditions of the developing countries empirical research methods, and not copy the Western countries on the theory and model of the exchange rate. RMB exchange rate forecast in the study, the extensive collection advanced technology tools and models, in view of the available data, the most to adapt to the current situation of China's model, and through empirical study compared the prediction accuracy of the various models. Finally, we introduce system analysis method and do some research on the RMB exchange rate on the current international political and economic background.This paper is divided into six chapters:Chapter 1 details the traditional Western theories of exchange rate decision, including purchasing power parity theory; the interest rate parity theory; the payments balance theory and assets of the currency exchange rate theory. All of the theoretical study of perspective, points out the various theories of one-sidedness.Chapter 2 describes the exchange rate determines the theoretical progress and the new theory of modern equilibrium exchange rate. The new exchange rate determines the theoretical progresses include: micro-based exchange rate macroeconomic analysis, the exchange rate decision of the microstructure of the chaos and the exchange rate decision analysis. Modern exchange rate equilibrium theory include: basic elements of the exchange rate equilibrium theory, the theory of equilibrium exchange rate, the natural equilibrium exchange rate equilibrium theory and the real exchange rate theory.Chapter 3 is mainly based on the different rates of the RMB exchange rate on the empirical study, first inspecting the traditional Western theory of the exchange rate of RMB exchange rate applicability, and then decide on the RMB exchange rate factors empirical analysis, and use of a balanced approach to the RMB exchange rate equilibrium exchange rate analysis Finally, the empirical study investigated historical value of the RMB exchange rate deviation from the equilibrium exchange rate levels.Chapter 4 presents the exchange rate forecasting model, including: random walk model, since the reunification single whole moving average model, generalized autoregressive heteroscedastic model, wavelet analysis model, system conversion model, artificial neural network model and integrated nonlinear integrated model.Chapter 5 uses artificial neural network model for the short-term trend of the RMB exchange rate forecast since the reform of RMB exchange rate formation mechanism, and forecast the results of STAR and EGARCH model and predicted results are compared.Chapter 6 introduces the RMB exchange rate system analysis, summarized the current economic circles of the emerging economies of the new consensus exchange rate system, RMB exchange rate issue on the current international political and economic relations against the background of research, through the respective interests of China and the U.S. Group and the Government of the RMB exchange rate impact, and concluded: At present, the RMB revaluation pressure remains high. China should further speed up the exchange rate formation mechanism reform, so as to reduce the RMB revaluation pressure.In this paper, the main results are as follows:(1) To compare the induction system, the exchange rate decision combing the Western theory, focuses on purchasing power parity theory, the interest rate parity theory, theory of the balance of payments and assets of monetary theory. On this basis, using empirical research and theoretical analysis on the method of combining several major Western exchange rates in China's exchange rate determines the theoretical study of the applicability of in-depth study and concluded: Most of the exchange rate decision theory in the West Analysis of the RMB exchange rate decision on the unpersuasive.(2) A summary of a more systematic exchange rate decisions at home and abroad Western theory of the latest developments. Mainly include: a news exchange rate model and investment bubble model, the exchange rate decision of the microstructure of the chaos and the exchange rate decision analysis. The new exchange rate determines the theoretical although there are many such problems, but they are for the theoretical study of the exchange rate decision broaden the thinking, we should do further research.(3) Using co-integration analysis, the systematic analysis of the real exchange rate of the RMB determining factor, it is concluded that: labor productivity, and improve the terms of trade to the appreciation of the RMB, and financial expenditures relative to the increase in the level of devaluation of the RMB.(4) In the real exchange rate of RMB clear decision on the basis of factors, the use of the equilibrium exchange rate model to the historical value of the RMB exchange rate on the equilibrium exchange rate to determine the extent of deviation. Give the 1980 and 2005 levels of the RMB exchange rate imbalance graphics, and the combination of China's exchange rate system was its analysis.(5) A comprehensive summary of the current exchange rate at home and abroad as forecasting methods, including: generalized autoregressive heteroscedastic model, system conversion model, the artificial neural network model and the comprehensive integration of nonlinear model. These methods primarily on the RMB exchange rate forecasts used in the feasibility study.(6) Using EGARCH model, STAR model and ANN model fitting and forecasting RMB exchange rate, and comparing the three model's fitting and forecast results, the conclusion is: Although EGARCH model has better accuracy, but almost has no predictive ability, and the ANN model is in the best prediction.(7) The introduction of the RMB exchange rate system analysis, summarized the current economic circles of the emerging economies of the new consensus exchange rate system, RMB exchange rate issue on the current international political and economic relations against the background of research, respectively, through analysis of China and the United States interest groups and the government The RMB exchange rate impact, and concluded: At present, the RMB revaluation pressure remains high. China should further speed up the exchange rate formation mechanism reform, so as to reduce the RMB revaluation pressure.These research results provides a theoretical and empirical basis for the long-term trend of the exchange rate; allows us to analyze the special circumstances based on the Western exchange rate decision theory; chose for the analysis of the RMB exchange rate equilibrium model to analyze the degree of deviation from the historical value of the RMB exchange rate and the future movements of the exchange rate of RMB. What is more important in this paper is that we carry out a detailed inspection of short-term trend of RMB exchange rate forecasting methodologies; and chose a fitted model that can forecast with high prediction accuracy for the RMB exchange rate forecasting based on empirical research which has important practical significance.