【作者】 马国栋；

【导师】 伍??；

【作者基本信息】 青岛大学 ， 金融学， 2007， 硕士

【摘要】 在开放经济中，汇率作为核心经济变量，其调整和联系着各种宏观和微观经济因素，并且影响着各国经济的对内对外的均衡。外汇市场效率及汇率波动基本特性之研究，是外汇市场研究中基础与核心问题。随着外汇市场的开放和管制的不断放松，传统的汇率理论已不足以解释现代汇率的运动规律和波动特征。人们开始将货币看成一种特殊金融资产来研究，并将资本市场的许多核心方法融合到外汇市场汇率模型中。以有效市场假说为主对外汇市场效率进行的研究一直为线性范式所主宰，随着研究的深入，人们意识到动态非线性模型也能较好的反映外汇市场客观现实，分形市场假说即其代表，国外实证研究充分证明了它的优越性与可信性。人民币汇率改革以来，人民币汇率形成机制发生根本性的变化。可以预见，随着一系列改革和相关政策的出台，商业银行将被赋予更多的外汇／人民币市场参与度和经营自主权。本文利用FMH范式，提出“相对效率”概念，对我国“汇改”前后人民币汇率形成机制进行分形分析，得出中国外汇市场横向比较相对效率仍然较低的结论，并通过对人民币汇率与美元指数以及人民币NDF市场相关性研究，对人民币汇率进行预测。并对完善中国外汇市场及实现人民币完全可自由兑换提出建议。更多还原

【Abstract】 In the open economy, Exchange Rate which is regard as the core economicvariable, regulates and links with various macro and micro economicfactors, also influences the balance of countries’ economy both domesticand oversea. The investigation of the efficiency in the exchange marketand the basic characteristics of fluctuation in exchange are the core andessence issues in the study of exchange market. With the opening ofexchange market and the gradually release of the control, the traditionaltheories are not comprehensive to interpret the movement and thefluctuation characters of modern exchange rate. People begin to study thecurrency as a kind of special financial assets, and fuse many core methodsof capital market into models of exchange market. The study of Efficiencyof Foreign Exchange Market, to which the Efficient Market Hypothesis givespriority, was dominated by linearity model all along. With lucubrating,people realize that dynamic non-linearity model, which is representativeby Fractal Market Hypothesis can reflect the objective reality of foreignexchange market either. Foreign demonstration investigations havealready fully proved its superiority and creditability. After the reformof the RMB exchange rate, the RMB Exchange Rate Forming System was changedradically. We can foresee that, along with the coming of a series ofreforms and related policies, commercial banks will be endowed with moremarket participated opportunities and managerial autonomy.In the article, author uses the FHM model and concept of "RelativeEfficiency" to fractal analyze the RMB Exchange Rate Forming Systembefore and after "Reform" and draw the conclusion that the RelativeEfficiency of the China Foreign Exchange Market is still inferior throughtransverse compared. Author also dopes out the RMB exchange rate throughrelative study about RMB exchange rate, US dollar index and RMB NDF market,meanwhile, raise the proposal on how to perfect the China foreign exchangemarket and how to make the RMB to be completely convertibility currency.更多还原