基于時間序列模型的歐元兌人民幣匯率波動趨勢研究.pdf

1、中南大學碩士學位論文基于時間序列模型的歐元兌人民幣匯率波動趨勢研究姓名：肖紫瓊申請學位級別：碩士專業(yè)：金融學指導教師：周浩明20090125中南人學碩上學位論文ABSTRACTABSTRACTTheEuropeanUnioniSoneofthemaioreconomicentitiesintheworldandthecountriesoftheEurozoneareimportantpartnersintradeandinvestmen

2、tThefluctuatingoftheEUROexchangeratehasrelationshiptoourcountry’Slong—standingdevelopmentThispaperanalyzedtheshortandlongtermtrendoffluctuationoftheEUR0tMBexchangeratewiththenormativeandempiricalanalysisAccordingtotheres

3、earchwhichdomesticandforeignscholarsconcerningwith，thispaperfoundthatthetimeseriesmodelofthequantitativeanalysismethodshasitsownadvantageovertheothersSothispapersystematicanalyzedtheEUROtoItMBexchangeratefluctuationtrend

4、bythetimeseriesmodelFirstofall，thetrendoftheexchangeratewasreviewedandanalyzedfrom1999BasedontheconclusionthefluctuationfeatureoftheEUR0tMBexchangerateiSanalyzedbytheGARCHmodel，thetrendofexchangeratewasforecastedbytheMar

5、kovmodelandthemostpossiblerangewasconfirmedThenweusedtheANNmodeltoforecasttheexchangeratewhichiSintherangetoprovethatthemodeliSexactthenweusetheANNmodeltoforecasttheexchangeratewhichiSintherangeSothedeclinetrendoftheEURO

6、toRMBwasfoundAccordingtotheconclusionofempiricalresearch，combinedwiththeunstablefactorssuchasthefinancialandeconomicsituationofEuropeanUnionthepolicyselectionoftheEuropeanCentralBankandwhethertheGrateBritainPoundwouldioi

7、ntheEurozone，theEUROtMBexchangeratewasforecastedWreconsideredthefactorscontainingthebalanceofpayments，moneysupplyeconomicgrowthrate，interestrate，foreignexchangereserveCentralBankpowerintheexchangeratefluctuationinChinaar

8、ebetterthantheEuropeanSOwethinktheEUROtoRMBexchangeratewillbefluctuatinginhighlevelintheshorttermfutureandthentumdownin3to5yearsFinallybasedontheresultofaboveanalysisandforecast，thispaperpointedoutthatthedecreaseofl洲Bexc