行为金融视角下的汇率波动特征研究

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1、厦门大学博士学位论文行为金融视角下的汇率波动特征研究姓名：魏英辉申请学位级别：博士专业：金融学指导教师：李晓峰20090401计并进行仿真模拟，可以更为深入地研究汇率波动的内在机理。当然，受限于时间与精力以及能力等因素，本文还存在很多不足，可能的不足及未来研究方向是，构建具有人民币市场特征的特定模型或寻找人民币汇率准确特征参数，以更好刻画人民币汇率动态变化的特征，研究更为有效而具体的央行干预策略。关键词：行为金融；汇率波动；模拟AbstractThetraditionalexchangeratetheorybasingonthe

2、hypothesesofefficientmarketandrationalexpectationshasinrecentyearsbeenthevictimofpeople’Sdoubtsandchallenges．Challengingthevalidityofthetwomajortheoreticalpremise一-‘t}leassumptionsofefficientmarketandrationalexpectationsoftraditionalexchangeratetheory,Behavioralfinan

3、cetheoryofexchangeratetakesthecomplexityofforeignexchangemarketandtradingbehaviorheterogeneityasthebreakthroughpoint，andcarriesoutmodeling，quantitativeandsimulationanalysisonforeignexchangetransactions．WhichishelpfulforUStogaintheknowledgeofnon—rationalfluctuationoff

4、oreignexchangemarketandthecentralbankmoderateinterventionthatcaneliminateorsmooththeexchangerateexpectationaffectedbyshort-termeconomicfluctuationhavingeffectontheexchangerate．Whichisanimportanttheoreticalinnovation．Since2002，theintemationalcommunitybegantovoicetheap

5、preciationoftheRMB，followedbytheU．S．governmentpositivepressure，theappreciationvoicegraduallytumedintothestrongexpectationofRMBappreciationathomeandbroad．TheappreciationofRMBthenembarkedonthecourseofrealitysincetheexchangeratesystemreformonJuly212005，thereaftertheRMBe

6、xchangerateagainsttheU．S．dollarshasexperiencedmorethanthreeyearscourseofcontinuedappreciation，thecumulativeappreciationexceeded20％meanwhile，butappreciationexpectationofRMBintheinternationalmarkethasnotdisappeared．Sincethe3rdquarterof2008，subjecttothesub—loancrisisint

7、heUnitedSatesintotheglobalfinancialcrisis，theexportsofChinaarefacingseverechallenges，accordinglytherelativelystrongdevaluationexpectationofRMBburstoutintheinternationalmarket．Formationandreversaloftheexpectedbehaviorofatypicalfinancialstudyonthesignificanceofherdingc

8、haracteristics，inthiscontext，theresearchontheexchangeratefluctuationsandthecentralbankinterventionstrategiesfrombehavioralfinancepe