考虑结构突变的人民币远期外汇市场无偏性研究
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上海财经大学学报 2012 年 第 14 卷第 04 期, 页码：74 - 81
摘要
参考文献
摘要
本文考察我国汇改后的美元/人民币、欧元/人民币、日元/人民币的即期汇率和远期汇率之间的协整关系以及对应远期市场的无偏性。FMOLS估计结果表明,回归模型中变量间关系存在结构突变。允许结构突变的协整模型估计结果表明:美元/人民币远期市场的无偏性模型存在多个结构突变点,对应市场的无偏性在某些时段成立;日元/人民币远期市场的无偏性模型也存在多个结构突变点,对应市场的无偏性在整个考察期内均不成立;欧元/人民币远期市场的无偏性模型不存在结构突变,对应市场的无偏性在整个考察期内不成立。
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[3]田凤平,李仲飞,刘京军.人民币远期外汇市场的有效性检验——基于半参数估计方法[J].山西财经大学学报,2011,(3).
[4]Bai,J.Estimation of a change point in multiple regression models[J].Review of Economics and Statistics,1997,79,551-563.
[5]Baillie,R.T.,Bollerslev,T.The forward premium anomaly is not as bad as you think[J].Journal of In-ternational Money and Finance,2000,19,471-488.
[6]Bartley,W.A.,Lee,J.,Strazicich,M.C.Testing the null of cointegration in the presence of a structural break[J].Economics Letter,2001,73,315-323.
[7]Crowder,W.Foreign exchange market efficiency and common stochastic trends[J].Journal of International Money and Finance,1994,13,551-564.
[8]Diebold,F.X.,Inoue,A.Long memory and regime switching[J].Journal of Econometrics,2001,105,131-159.
[9]Engel,C.The forward discount anomaly and the risk premium:a survey of recent evidence[J].Journal of Empirical Finance,1996,3,123-192.
[10]Gadea,M.D.,Sabate,M.,Serrano,J.M.Structural of breaks and their trace in the memory inflation rate series in the long-run[J].Journal of International Financial Markets,Institutions and Money,2004,14,117-134.
[11]Gregory,A.W.,Hansen,B.E.Residual-based tests for cointegration in models with regime shifts[J].Journal of Econometrics,1996(a),70,99-126.
[12]Gregory,A.W.,Hansen,B.E.Tests for cointegration in modles with regime and trend shifts[M].Ox-ford Bulletion of Economics and Statistics,1996(b),58,555-560.
[13]Hai,W.,Mark,N.,Wu,Y.Understanding forward and spot exchange rate regressions[J].Journal of Applied Econometrics,1997,12,715-734.
[14]Kutan,A.M.,Zhou,S.Has the link between the spot and forward exchange rates broken down?Evi-dence form rolling cointegration tests[J].Open Economics Review,2003,14,369-379.
[15]Phillips,P.C.B.,Hansen,B.E.Statistical inference in instrumental variables regression withI(1)proces-ses[J].Review of Economic Studies,1990,57,99-125.
[16]Villanueva,O.M.Spot-forward cointegraton,structural breaks and FX market unbiasedness[J].Journal of International Money and finance,2007,17,58-78.
[17]Voronkova,S.Equity market integration in Central European emerging markets:a cointegration analysis with shifting regimes[J].International Review of Financial Analysis,2004,13,633-647.
引用本文
田凤平, 李仲飞. 考虑结构突变的人民币远期外汇市场无偏性研究[J]. 上海财经大学学报, 2012, 14(4): 74–81.
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