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基于贝叶斯平滑转移模型的汇率非线性协整关系研究
引用本文:朱慧明,周峰,曾昭法,李荣,游万海.基于贝叶斯平滑转移模型的汇率非线性协整关系研究[J].运筹与管理,2015,24(4):225-232.
作者姓名:朱慧明  周峰  曾昭法  李荣  游万海
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 金融与统计学院,湖南 长沙 410079
基金项目:国家自然科学基金创新研究群体项目(71221001);国家自然科学基金资助项目(71171075,71031004)
摘    要:针对平滑转移模型参数估计不确定性导致的协整检验方法相对复杂问题,提出基于平滑转移模型的贝叶斯非线性协整分析。通过模型的统计结构分析,选择参数先验分布,结合参数的后验条件分布特征设计Metropolis-Hasting-Gibbs混合抽样方案,据此估计平滑转移模型的参数,并对回归残差进行贝叶斯单位根检验,解决参数估计过程中遇到的参数估计不确定性及协整检验复杂的问题;利用人民币对美元汇率与中美两国的利率数据进行实证分析。研究结果表明:MH-Gibbs抽样方案能够有效估计平滑转移模型的参数,中美汇率波动和利差之间存在平滑转移协整关系。

关 键 词:平滑转移模型  非线性协整  贝叶斯分析  MH-Gibbs抽样  汇率波动  
收稿时间:2013-10-02

Nonlinear Cointegration Analysis of Exchange Rate Based on Bayesian Smooth Transition Regression Model
ZHU Hui-ming,ZHOU Feng,ZENG Zhao-fa,LI Rong,YOU Wan-hai.Nonlinear Cointegration Analysis of Exchange Rate Based on Bayesian Smooth Transition Regression Model[J].Operations Research and Management Science,2015,24(4):225-232.
Authors:ZHU Hui-ming  ZHOU Feng  ZENG Zhao-fa  LI Rong  YOU Wan-hai
Institution:1.College of Business Administration, Hunan University, Changsha 410082, China;2.College of Finance and Statistics, Hunan University, Changsha 410082, China
Abstract:In the method of testing smooth transition cointegration, estimating parameters are uncertain and the problem of cointegration test is complex. This paper proposes a smooth transition regression model and conducts a Bayesian nonlinear cointegration analysis. Based on the selection of parameters prior of the model and the characteristics of the posterior conditional distributions of the parameters, Metropolis-Hasting within Gibbs sampling algorithm is designed to estimate the parameters and bayesian unit root test is utilized to test the stationarity of regression residual, addressing the uncertainty of parameters estimation and the complexity of cointegration test. At the same time, the research applies exchange rate of RMB against U.S. dollar and interest rate differential between China and U.S. to conduct an empirical analysis. The research outcome indicates that MH-Gibbs can effectively a estimate the parameters of the smooth transition model, and we find there is smooth transition cointegration relationship between exchange rate fluctuation and interest rate differential.
Keywords:transition regression model  nonlinear cointegration  Bayesian analysis  MH-gibbs sampling  exchange rate fluctuation  
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