VOLATILITY OF NOMINAL EXCHANGE RATE OF RMB BASED ON STAR/SETAR-GARCH MODEL

摘要：

　　In this paper, the daily nominal exchange rates of RMB to USD from July 1, 2010 to Oct.25, 2011 have studied based on STAR-GARCH and SETAR-GARCH model.We have concluded that the volatility of nominal exchange rates of RMB to USD possesses nonlinear characteristics.Moreover,between the two STAR models LSTAR and ESTAR models, asymmetric LSTAR-GARCH model is more suitable to describe the characteristics of the exchange rate than the symmetric ESTAR-GARCH model, which implies that nominal exchange rate of RMB depends on both extent and direction of deviation from the mean.This is plausibly brought about by the managed floating exchange rate system in China.In addition, the conclusions also show that the SETAR-GARCH model has better performance than the STAR-GARCH model on describing nominal exchange rate of RMB, which implies that the transition of nominal exchange rate between different regimes follows a sudden rather than smooth process.

关键词： STAR-GARCH Model SETAR-GARCH Model Threshold Autoregressive Model Nonlinear

作者: Jiping Yang Runhai Qiao Zhen Liu

作者单位: School of Economics and Management, Beihang University, Beijing 100191, China Shanxi Branch, Industrial and Commercial Bank of China, Taiyuan 030001, China

会议类型: 国际会议

会议名称: The 11th International Conference on Industrial Management(第十一届工业管理国际会议)

会议地点: 日本

会议语种:英文

页码: 698-702

在线出版日期: 2012-08-29（万方平台首次上网日期，不代表论文的发表时间）