基于時(shí)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(xué)碩士學(xué)位論文基于時(shí)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(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：周浩明20090125中南人學(xué)碩上學(xué)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