CAJ | 학술논문

基于汇率决定理论的最新研究进展，本文分析了人民币对美元日汇率的影响因素。研究发现，宏观经济新闻、外汇市场微观因素买卖价差是人民币对美元日汇率的重要影响因素，而中美相对利率并不是人民币对美元日汇率的影响因素。进一步，本文将随机游走模型、新闻变量以及外汇市场微观因素结合起来，构建了人民币对美元日汇率决定理论模型。实证研究发现，人民币对美元日汇率由自身滞后值、中国经济活动方面的新闻和零售市场买卖价差决定。
기우회솔결정이론적최신연구진전，본문분석료인민폐대미원일회솔적영향인소。연구발현，굉관경제신문、외회시장미관인소매매개차시인민폐대미원일회솔적중요영향인소，이중미상대리솔병불시인민폐대미원일회솔적영향인소。진일보，본문장수궤유주모형、신문변량이급외회시장미관인소결합기래，구건료인민폐대미원일회솔결정이론모형。실증연구발현，인민폐대미원일회솔유자신체후치、중국경제활동방면적신문화령수시장매매개차결정。
Abatract: Based on the latest research progress of exchange rate determination theory, this paper analyzes influence factors of the RMB/Dollar daily exchange rate. The research shows that macro economic news and the foreign exchange market micro factor bid-ask spread are important influence factors of the RMB/Dollar daily exchange rate , while the relative interest rate between the U.S. and China is not influence factor of the RMB/Dollar daily exchange rate. Furthermore, this paper combines random walk model, news variables with the foreign exchange market micro factor and constructs the determination theory model of the RMB/Dollar daily exchange rate. Empirical research shows that the RMB/Dollar daily exchange rate was determined by its lagged value , news of China’s economic activities and bid-ask spread of retail market. The RMB/Dollar daily exchange rate determination model constructed in this paper is superior to the traditional random walk model on simulation effect and in and out of sample predictive effect.