CAJ | 학술논문

本文选取影响人民币汇率波动的有关结构变量,分别通过线性MA模型和基于遗传算法改进的GABP神经网络模型,对人民币汇率波动进行模拟和预测.通过比较发现,汇率缺乏弹性时期,逐月MA模型的历史拟合和样本外预测效果最优;随着汇率改革的不断推进和汇率弹性化的增强,GABP神经网络模型在汇率波动的模拟和预测方面均有最优表现,故汇率波动预测模型应随汇率弹性及其波动特性不同因时制宜.同时结果表明,汇率弹性化能够加深汇率波动及其结构变量间的均衡关系,利率市场化改革应与汇率市场化改革协调推进.
본문선취영향인민폐회솔파동적유관결구변량,분별통과선성MA모형화기우유전산법개진적GABP신경망락모형,대인민폐회솔파동진행모의화예측.통과비교발현,회솔결핍탄성시기,축월MA모형적역사의합화양본외예측효과최우;수착회솔개혁적불단추진화회솔탄성화적증강,GABP신경망락모형재회솔파동적모의화예측방면균유최우표현,고회솔파동예측모형응수회솔탄성급기파동특성불동인시제의.동시결과표명,회솔탄성화능구가심회솔파동급기결구변량간적균형관계,리솔시장화개혁응여회솔시장화개혁협조추진.
This article selects the structural variables related with RMB exchange rate volatility to simulate and forecast the exchange rate volatility through linear MA,GABP neural network model improved on genetic algorithm respectively. By comparison,when there is a lack of exchange rate elasticity,the history matching and sample fore-casting performance of monthly MA model are optimal. Along with the promotion of exchange rate reform and increase in its elasticity,GABP network model has done a good job both in simulation of exchange rate volatility and its fore-cast. Therefore,different forecasting models of exchange rate volatility should be adopted according to the features of the elasticity in different periods. Meanwhile,the model results show that the exchange rate elastification can deepen the equilibrium between exchange rate volatility and its structural variables. And the interest rate liberalization reform should coordinate with the liberalization of exchange rate reform.