RMB Exchange Rate Determination Model Based On Behavioral Heterogeneity And Its Empirical Researc

With the acceleration of the internationalization process of RMB and the continuous advancement of the market-oriented reform of the exchange rate micro-formation mechanism,the flexible fluctuation space of the RMB exchange rate is gradually increasing.However,due to the different amount of information held by traders in the foreign exchange market,the difference in beliefs held by different information,different educational backgrounds and different investment experience,the behavioral characteristics of traders are not completely homogeneous.And small fluctuations in exchange rates often produce large fluctuations under the help of traders’ heterogeneity expectations.The management of RMB exchange rate expectations will become the focus of foreign exchange management,and it is necessary to strengthen the guidance and management of RMB exchange rate expectations.However,the premise of guiding and managing the RMB exchange rate expectations is to have an in-depth understanding of the formation mechanism of the RMB exchange rate and an in-depth study of the fluctuations of the RMB exchange rate.Therefore,studying the formation mechanism of the RMB exchange rate from the perspective of traders is conducive to the foreign exchange administration to understand the micro factors affecting the formation of the exchange rate,and then formulate effective exchange rate expectation management strategies to maintain the stability of the foreign exchange market.The traditional theoretical model is not satisfactory in explaining and describing the exchange rate fluctuations,while the heterogeneous exchange rate model of investor behavior from the perspective of behavioral finance not only takes into account the influence of the macro economy,but also takes into account the difference of investors’ behavior,so that this model can better understand the "vision" in the foreign exchange market.Therefore,this paper from the trader behavior heterogeneity theory to build the RMB exchange rate decision model,select the yuan against the dollar exchange rate from October 2006 to November 2020 monthly data,with the help of the sample technology measured the fundamental exchange rate level,followed by the nonlinear least squares(NLLS)for empirical study of RMB exchange rate decision model.Further,in order to further study the heterogeneity of China’s foreign exchange market,this paper also explores whether there is any heterogeneity of trader behavior in the foreign exchange market under the impact of external events.The results of this paper show that the exchange rate of RMB against the US dollar is determined by the exchange rate expectations of fundamental traders and the exchange rate expectations of technical traders,and the trading behavior of traders in the RMB foreign exchange market shows significant heterogeneity characteristics,and the heterogeneity of traders’ behavior can better describe the fluctuation of RMB exchange rate.The proportion of technical traders and fundamental traders in the RMB foreign exchange market is changing,and it is impossible for any type of trader to dominate for a long time;The impact of indirect external events will not have an impact on the heterogeneity of the foreign exchange market,and under the impact of direct external events,there is no heterogeneity of trader behavior in the foreign exchange market.