�?�时性自适应高维�?济基本�?�建模与汇率预测分�? (Real Time High Dimensional Adaptive Economic Basics Modeling with Application in Exchange Rate Forecasting)

Abstract

Chinese Abstract: 在人民�?国际化�?断推进�?人民�?汇率�?��?�波动加强的背景下，构建具有优良预测能力的汇率预测模型愈�?��?�?。我们�?�现�?�数模型对汇率预测的能力�?仅�?�决于模型设定是�?�正确，还�?�决于模型一方�?�能�?�迅速探测模型�?�数的结构性�?�化以使用最佳信�?�估计模型�?�数，�?�一方�?�能�?��?�时识别模型解释�?��?以实用最佳�?��?��?对汇率进行预测。该算法�?仅能实时检测模型�?�数的结构性�?�化，探测�?�数的�?�质区间，�?�时还能对�?��?进行实时识别以选择最为�?�适的模型解释�?��?以�??高模型的预测能力。在样本外�?��?1至24个月的汇率预测�?用中，自适应�?�元算法能显著超越�?机游走�?马尔科夫机制转�?�模型�?误差修正模型与其他�?济基本�?�模型包括：弹性货�?模型�?购买力平价模型�?利率平价模型�?泰勒规则模型�?�??移泰勒规则模型�?�其，在美元兑人民�?汇率中长期（1至24个月）预测中。从�?��?选择的结果中我们�?�以看到，“811�?汇改以�?�，美元在人民�?汇率走势中的�?对性作用被打破，欧元的�?�?性�?�?显现出�?�，�?济基本�?�因素决定了人民�?汇率走势，中国与其他�?�达�?济体包括欧元区�?日本与英国的�?济基本�?�差异则�?�样能够决定美元兑人民�?汇率的走�?�。从政策角度�?�看，稳定人民�?汇率预期，首先需�?稳定利差�?收入差与货�?供给差异。�?�外，自“811�?汇改之�?�，人民�?汇率预期相比于“811�?汇改之�?更易�?�到外部冲击的影�?，�?��?�的人民�?汇率预期监管�?然需�?�?赖于实行有管�?�的浮动汇率制度，防止汇率风险。 English Abstract:To develop an outstanding Renminbi exchange rate forecasting model based on the background of Renminbi internationalization and the increased two-way volatility becomes much more important. The forecasting ability of a parameter model depends not only on whether it is correctly specified but also on one hand the efficiency of whether it can detect the structure changes and using the effective observations to estimate the parameters and on the other hand on the ability of selecting the proper covariates that can be used in forecasting. In order to solve these required problems, we developed the penalize adaptive method with can adaptively select the covariates and detect the structure changes. The developed model can outperform the multiplier adaptive method and the other methods that mentioned above in exchange rate predictions. In the USD against RMB exchange rate regime, we find out that the newly developed methods can manage of increasing the forecasting accuracy in MAE arrange from 30% to 50% compared with the second-best model. We also find that after the “811�? exchange rate reform, the economic fundamentals will be significantly improved in determining the exchange rate expectation. By constructing the longest homogeneous intervals, we can find that before the “811�? exchange rate reform, investors care more about the middle and the long run risk, but after “811�? exchange rate reform, investors care more about the short-term risk. Which can also be concluded as that after the “811�? exchange rate reform, RMB are become more sensitive to the exogenous sharks. Among these fundamentals the difference between interest rate plays the most important role in shifting the exchange rate. To stabilize the RMB exchange rate, government should focus on stabilizing the interest rate, the real income of the whole country, and also to stabilize the inflation of the country. Moreover, after 2011, the exchange rate of USD against RMB itself does not decide alone by itself. It is also decided heavily (nearly 37%) by the other currencies’ exchange rates such as JPY, GBP and JPY against RMB. The manageable floating exchange rate system is also crucial in preventing the exchange rate risk.