| 基于自适应混沌控制的外汇干预有效性研究 |
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| 引用本文： | 张在美,谢赤,孙柏,韩峰.基于自适应混沌控制的外汇干预有效性研究[J].运筹与管理,2011,20(5). |
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| 作者姓名： | 张在美 谢赤 孙柏 韩峰 |
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| 作者单位： | 1. 湖南大学工商管理学院,湖南长沙,410082
2. 湖南大学工商管理学院,湖南长沙410082;湖南大学金融与投资管理研究中心,湖南长沙410082 |
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| 基金项目： | 国家社会科学基金重点项目(07AJL005); 全国高校青年教师奖励基金资助项目(教人司2002[123)]; 教育部人文社科规划项目(10JA790028),教育部博士点专项科研基金资助项目(20070532027) |
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| 摘 要： | 中央银行外汇干预的有效性一直是金融领域研究和争论的热点问题,并且至今尚未达成一致的结论,寻找科学的理论与方法对其做进一步的探讨具有重要意义。针对该问题提出一种新的解决方案,即在扩展Dorn-busch汇率模型基础上,运用自适应混沌控制方法指导外汇干预策略,试图通过检验干预是否能够控制汇率时间序列的混沌行为并最终达到稳定汇率的目的,来论证外汇干预的有效性。仿真结果表明,通过自适应地寻找合理的干预尺度,外汇干预行为最终能够成功地将汇率稳定在系统均衡水平上。研究成果不但为外汇干预有效性给出了理论支持,还为中央银行外汇干预策略的制定提供了参考。
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| 关 键 词： | 金融工程 外汇干预有效性 自适应混沌控制 汇率 Dornbusch模型 |
A Research on Effectiveness of Foreign Exchange Intervention Based on Self-adapting Chaos Control |
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| ZHANG Zai-mei,XIE Chi,SUN Bo,HAN Feng.A Research on Effectiveness of Foreign Exchange Intervention Based on Self-adapting Chaos Control[J].Operations Research and Management Science,2011,20(5). |
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| Authors: | ZHANG Zai-mei XIE Chi SUN Bo HAN Feng |
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| Institution: | ZHANG Zai-mei1,XIE Chi1,2,SUN Bo1,HAN Feng1(1.College of Business Management,Hunan University,Changsha 410082,China,2.Center of Finance and Investment Management,China) |
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| Abstract: | The effectiveness of central bank foreign exchange intervention has always been considered as a controversial problem in financial area for many years.Although empirical literatures study a lot about it,there is still no consistent conclusion.So the further discussion in more scientific way is necessary and significant.Aiming at the problem,this paper proposes a new approach to solve it.Based on the expanded Dornbusch exchange rate model,this paper introduces self-adaptive chaos control method to guide the ... |
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| Keywords: | financial engineering effectiveness of foreign exchange intervention self-adapting chaos control exchange rate dornbusch model |
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