摘要
本文选取了近两年来美元/人民币的日汇率样本作为广义事件窗中的样本信息,以2005年7月21日这一日期为时间分界点．分别研究人民币升值前后即广义事件窗中该汇率的各种统计特性,利用非线性时间序列模型的方法,分别对汇率的收益率序列建立合适的模型,用以分析人民币升值前后汇率风险水平的变化,即汇率风险评价．
The exchange ratios of USD/RMB in recent about two years are selected as the samples of the wide event window in this paper.Then the samples are divided into two parts at the date July 21,2005.After that we can obtain the statistical properties of this kind of exchange ratios before and after the RMB is overvalued,using the nonlinear time series models,the models of the return rates of the ratios are built.By doing this,we obtain the change law of the risk of the exchange ratio which is the return ratio risk evaluation after the RMB is overvalued.
出处
《哈尔滨师范大学自然科学学报》
CAS
2006年第6期22-27,40,共7页
Natural Science Journal of Harbin Normal University
