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1、1摘 要自 2005 年 7 月 21 日开始，我国开始正式施行依托市场基本配置以及市场供需关系为基础、对照一篮子货币基本概念进行整体调节的有良效管理机制的浮动性基本汇率制度。在这种背景之下，我国的汇率市场的变化与波动程度开始呈现出了较强的变化，其波动开始呈现出了较强的弹性特征。在经济学中，汇率是处在整个经济运行过程中相对较为核心地位的重要变量之一在经济学范畴的各类宏观性以及微观性的因素，都会对汇率本身的值造成较大的影响，同时，汇率本身的变动亦会对上述经济变量产生极为重要的影响。在发展过程中，值得注意的是，我国的经济增长在很大程度上是依赖进出口而呈现的，是一种贸易依赖性的增长，故而，我国的经济
2、发展与国际贸易息息相关，这就意味着，汇率的波动对我国的整体经济具有极为重要的影响。同时，由于汇率的波动性，它会对外币币值具有较为直接的影响，进而直接对外来投资和国内资本流动产生波及而作为我国拉动经济增长的“三驾马车”之一，投资对于我国的经济增长具有极为重要的作用，而不当的资本流动，则会导致引发金融危机的风险。故而，实现对于人民币汇率波动的实例性研究，对于我国的经济发展具有极为重要的意义，能够帮助我国经济处在可控范围之内，更能使我国的国际贸易业务有效地规避风险。本文之中，笔者将借助 GRACH 模型对于我国的人民币汇率波动特征进行深入细致的研究，以期能够实现对于人民币汇率变动的基本掌握，规避金融
3、危机，并未相关行业的从事者、相关领域的研究者提供较为详实的参考资料。关键词：GRACH 模型 人民币汇率 波动 实例研究2AbstractSince July 21, 2005, our country began with the formal implementation relying by the basic configuration market and market supply and demand relations as the foundation, the control of basic concepts to a basket of currencies to th
4、e whole regulation has good effect of the management mechanism of basic floating exchange rate system. In this context, changes in Chinas exchange market and volatility began to show strong variations, and the wave also began to show strong elastic characteristics. In economics, the exchange rate is
5、 one of the most important variable Economicsin relatively by the core position of the whole economic operation process- in all kinds of macroscopic and microscopic factors in economic, all of the factors will lead to a greater impact on the exchange rate itself, the value at the same time, the exch
6、ange rate changes itself will have a great influence on the economic variables. In the process of the development, it is worth noting that, the economic growth of our country relies greatly on the import and export, it is a kind of trade dependent growth, therefore, the economic development has grea
7、t relation with the international trade of our country closely, this means that, the overall economy of exchange rate volatility has an important influence on Chinas economic. At the same time, because of the volatility of the exchange rate, it will have a more direct impact on foreign currency, and
8、 then directly to foreign investment and domestic capital flows- as one of the three carriages in the Chinas economic growth driven , investment plays an important role in Chinas economic growth, man must say that the wrong capital flows improper the risk, it will lead to financial crisis. Therefore
9、, the study of the realization of examples of the RMB exchange rate fluctuations has a very important significance for our countrys economic development, to help the economy of our country is in the controllable range, and it can also make our countrys international trade business effectively evade
10、the risk. In this paper, the author will use the famous GRACH model to conduct the thorough careful research to the RMB exchange rate fluctuations characteristic of our country, to realize the basic grasp of the RMB exchange rate change in order to avoid the financial crisis, and the researchers did
11、 not related industries engaged in related fields, providing a more detailed reference.Keywords: GRACH model RMB exchange rate volatility case study 3目 录1. 引言 .11.1 选题背景 .11.2 研究目的与意义 .41.3 研究方法 .41.4 研究内容 .51.5 文献综述 .52. 人民币汇率波动的基本知识 .62.1 影响人民币汇率波动的基本因素 .62.1.1 经济性因素 .72.1.2 其他因素 .72.2 汇率波动对我国社会的影
12、响 .92.2.1 对我国进出口贸易的影响 .92.2.2 对我国货币政策的影响 .92.2.3 对我国吸引外资的影响 .102.3 我国几次重要的汇率波动回顾分析 .113. GARCH 模型实例理论介绍 .123.1 基于实例研究的 ARCH 模型 .133.1.1 实例一：GARCH 模型 .133.1.2 实例二：EGRACH 模型 .143.1.3 实例三：TGRACH 模型 .153.2 选取样本数据及其特征 .154. 模型搭建及数据分析 .164.1 均值性方程及其 ARCH 检验 .184.2 GRACH（1，1）模型及其检验 .194.3 非对称效应的检验 .205. 实验总结 .2145.1 数据 结论分析 .215.1.1 人民币汇率波动具有集群性和波动性的特征 .215.1.2 汇率的波动存在一定的杠杆性效应 .225.2 相关对策建议 .225.2.1 稳步推进人民币国际化 .225
