暨南学报(哲学社会科学版)

作者：李小林, 司登奎

单位：中国海洋大学经济学院副教授,主要从事国际金融及货币政策理论与实践研究;司登奎,青岛大学经济学院副教授,主要从事货币经济学和国际金融研究。

关键词：混频,三步回归滤波,泰勒规则,汇率预测

对关键经济变量的准确预测不仅能为当局采取合适的政策以实现有效调控提供启示,还能为公众(包括企业)制定投资决策提供参考,因而具有非常重要的理论、现实与政策意义。为避免统计数据信息缺失并提高分析问题的时效性,文章对传统三步回归滤波建模进行拓展,将混频数据抽样模型(MIDAS)建模思想纳入其中以形成混频三步回归滤波模型(MF-3PRF)。基于大样本性质的理论模拟发现,MF-3PRF能够实现参数估计的有效性与一致性,且具有较好的理论预测能效。进一步地,文章基于MF-3PRF模型与备择模型(DMA/DMS、TVP-VAR、BMA)并选取无抛补利率平价、购买力平价、弹性/粘性价格货币模型、巴拉萨—萨缪尔森模型、资产组合模型、泰勒规则等理论模型对人民币汇率进行预测,结果表明MF-3PRF并结合泰勒规则能够较好地捕捉人民币汇率的动态变化特征,因而能为公众在新的汇率形成机制条件下深入认识人民币汇率动态变化与波动成因提供启示。"/>template{display:none;}.mag-rich-xref-fn { cursor: pointer;}//长视频$(document).ready(function(){if($("#showLongArticleVideo") && $("#showLongArticleVideo").length && $("#showLongArticleVideo").length>0){mag_ajax_update({ele_id:'showLongArticleVideo',url:mag_currentQikanUrl() + "/CN/article/showLongArticleVideo.do?id="+$("#articleId").val()});}});$(document).ready(function(){window.metaData = {"journal":{"issn":"1000-5072","qiKanMingCheng_CN":"暨南学报（哲学社会科学版）","id":2,"qiKanMingCheng_EN":"Jinan Journal"},"article":{"keywordList_cn":["汇率预测","混频","三步回归滤波","泰勒规则"],"juan":"42","zhaiyao_cn":"对关键经济变量的准确预测不仅能为当局采取合适的政策以实现有效调控提供启示,还能为公众(包括企业)制定投资决策提供参考,因而具有非常重要的理论、现实与政策意义。为避免统计数据信息缺失并提高分析问题的时效性,文章对传统三步回归滤波建模进行拓展,将混频数据抽样模型(MIDAS)建模思想纳入其中以形成混频三步回归滤波模型(MF-3PRF)。基于大样本性质的理论模拟发现,MF-3PRF能够实现参数估计的有效性与一致性,且具有较好的理论预测能效。进一步地,文章基于MF-3PRF模型与备择模型(DMA/DMS、TVP-VAR、BMA)并选取无抛补利率平价、购买力平价、弹性/粘性价格货币模型、巴拉萨—萨缪尔森模型、资产组合模型、泰勒规则等理论模型对人民币汇率进行预测,结果表明MF-3PRF并结合泰勒规则能够较好地捕捉人民币汇率的动态变化特征,因而能为公众在新的汇率形成机制条件下深入认识人民币汇率动态变化与波动成因提供启示。","endNoteUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=EndNote&id=6361","reference":"","bibtexUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=BibTeX&id=6361","abstractUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2020/V42/I5/72","qi":"5","id":6361,"nian":2020,"bianHao":"2020-5-72","zuoZheEn_L":"LI Xiaolian, SI Dengkui","juanUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2020","shouCiFaBuRiQi":"2020-09-23","qiShiYe":"72","qiUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2020/V42/I5","lanMu_cn":"经济·管理","pdfSize":"1411","zuoZhe_CN":"李小林, 司登奎","risUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=Ris&id=6361","title_cn":"三步回归滤波建模的拓展及其在汇率预测中的应用研究","jieShuYe":"93","keywordList_en":["exchange rate forecasting","mixed frequency","Taylor rule","three-pass regression filter"],"endNoteUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=EndNote&id=6361","zhaiyao_en":"Accurate prediction of key economic variables not only enlightens the authorities to adopt appropriate policies that effectively realize effective regulation, but also provides a reference for the public (including enterprises) to make the right investment decisions. 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来源：2020年第5期

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