CAJ | 학술논문

针对目前人民币汇率的自身特点,新的汇率预测模型既要关注汇率理论的定性研究,又要关注历史走势的定量研究,还要注重政策出台时对汇率的影响。采用非线性自回归神经网络——NARX网络,对人民币汇率进行了预测,并使用无本金交割远期外汇NDF作为NARX网络的外部输入,以此来改善预测模型在面对突发政策和消息时的预测性能。通过实证检验发现,引入了NDF的NARX网络,在推广性能上远远优于没有NDF参与的NAR网络,并且在训练数据选择时,选择更大范围、包含影响汇率变化事件的历史数值会很大程度上影响网络的推广性能。
침대목전인민폐회솔적자신특점,신적회솔예측모형기요관주회솔이론적정성연구,우요관주역사주세적정량연구,환요주중정책출태시대회솔적영향。채용비선성자회귀신경망락——NARX망락,대인민폐회솔진행료예측,병사용무본금교할원기외회NDF작위NARX망락적외부수입,이차래개선예측모형재면대돌발정책화소식시적예측성능。통과실증검험발현,인입료NDF적NARX망락,재추엄성능상원원우우몰유NDF삼여적NAR망락,병차재훈련수거선택시,선택경대범위、포함영향회솔변화사건적역사수치회흔대정도상영향망락적추엄성능。
Based on the characteristics of the current RMB exchange rate, a new forecasting model should take into account the qualitative studies of exchange rate theories, the quantitative research of historical tendencies and the impact elicited by policy issuing. The nonlinear auto regressive model with exogenous inputs, NARX for short, was adopted to forecast RMB exchange rate, and the non-deliverable forward exchange rate, known as NDF, was selected as an external input of the NARX model to improve the forecasting performance in face of sudden policy and news. By empirical testing, it was found that the NARX model with NDF performs much better than the NARX model without NDF. Moreover, selecting the training data from a wide range and with the historical values impacting exchange rate tends to affect the model＇s generalization performance to a large extent.