The Prediction Research Of RMB Exchange Rate Changes Based On VAR Model

Adopted a policy of financial regulation in our country, through the government of the two after the reform of RMB exchange rate, more and more experts and scholars have focused on the RMB exchange rate changes.This paper, the factors using empirical analysis and qualitative analysis method, the first to return to previous history of exchange rate, and out of the M2, GDP, FER, CPI, GI/GE and FDI influence factors such as the influence of the RMB rate to do the regression model, explain the relationship between them.According to the actual circumstance of national structure analysis and regression analysis of related factors, finally left China’s foreign exchange reserves and the consumer price index of the two important factors.According to the country’s foreign exchange reserves and the consumer price index, the two variables VAR model is set up,then for each variable time series unit root test, because in the cointegration test is the premise of must ensure that each time series is stable, and then do the cointegration test,granger causality test, finally establish vector autoregressive model.The model can be concluded that China’s foreign exchange reserves growth, the appreciation of the RMB exchange rate decline;The consumer price index growth,devaluation of the RMB exchange rate rise.Finally, because the model prediction effect is very good also, based on the VAR model have been made a forecast, the 2014 yuan forecast results for when there is $100,the convertibility of RMB 616.17, in fact, in 2014 the given data shown as if you have$100, the convertibility of RMB 614.77.Results show that the actual value and thepredicted results from 1.4 yuan, the model prediction results are good, to a certain extent, the model can provide a reference for policy.