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人民币兑美元汇率长期趋势分析及预测
引用本文:王丹,肖春来,王晨曦.人民币兑美元汇率长期趋势分析及预测[J].数学的实践与认识,2014(11).
作者姓名:王丹  肖春来  王晨曦
作者单位:北方工业大学基金管理学院;北方工业大学理学院;天津科技大学国际学院;
基金项目:北京高等学校青年英才计划项目(YETP1439)
摘    要:旨在研究人民币汇率在相对较长时间内的趋势及更优的预测模型.基于时间序列分解原理将人民币兑美元汇率的时间序列分解为长期趋势及随机波动两部分,采用Logistic曲线拟合长期趋势,建立了包含长期趋势的复合预测模型.实证检验结果表明此预测模型的预测效果优于单一的ARIMA模型,根据分离的长期趋势,可以判定,人民币尚处于一个升值过程中,其未来的升值极限在5.5左右.

关 键 词:长期趋势  Logistic曲线  ARIMA模型

Forecasting and Analysis of Long-term Trend of RMB Exchange Rate
Abstract:This paper is aimed at the long-term trend of RMB exchange rate and better forecasting model.The time series of RMB to USD exchange rate was decomposed into the product of long-term trend and random fluctuations,Logistic Curve was adopted to characterize long-term trend,a new composite forecasting model including long-term trend was set up.The test result showed that this model is better than single ARIMA model.According to the long-term trend,it can be determined that RMB is still in the process of appreciation,the ultimate value in the future will be around 5.5.
Keywords:long-term trend  logistic curve  ARIMA model
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