Research On The Dynamic Relationship Between RMB Exchange Rate And Interest Rate Based On Non-parametric

Since Chinese economy is now in a critical period of structural change,the data of structural economic is constantly changing and analysis methods and models also varies from simple to complex style.Parametric modeling methods usually rely on the basic assumptions of the models and those excellent properties of parameters regression often built on the regression residuals known distribution,which brings the application of parameters model some limitations.And Non-parametric models are largely relaxing the assumptions of classical econometric models which makes form of models more flexible and reflects the more true representation of the data generation process and the economic operation rules.Therefore,the research of non-parametric model and estimation methods has important theoretical and practical value.October 30,2015 RMB was added SDR(Special Drawing Rights)basket of currencies,which will strengthen Chinese financial markets and accelerate the degree of integration of world financial markets,meanwhile provides more opportunities for the application of the non-parametric method.Firstly the paper studies window width and kernel,next are the different non-parametric estimation methods which before the study of non-parametric time series model which starts from style formation,the selection the estimation methods and the prediction of model.Empirical analysis section first use the parametric modeling method established the relationship between interest rate and exchange rate of RMB,next use the non-parametric methods for the dynamic relationship between exchange rates and interest rates for further analysis which obtain exchange rate's and interest rate's non-parametric density function estimation and the establishment of non-parametric time series model.And on this basis establish a non-parametric model of the dynamic relationship between exchange rates and interest rates.After the study of non-parameter model estimation methods and reached the following conclusion,Firstly through the research and analysis of the characteristics of commonly used non-parametric estimation method,estimation methods including kernel estimate,local linear estimation k-nearest neighbor estimation,local polynomial estimation and so on.This paper discusses the application of the various estimation methods,which helps others for a reasonable and readily available.Secondly,has established of the RMB exchange rate and interest rate of non-parametric model for the dynamic relationship which aims to study the relationship in terms of the number of variable,thus setting aside the more qualitative factors of influence,and last obtained the variables' interaction relationship in the data level.