摘要
汇率作为一个重要的国际金融变量,其稳定性是关系一国经济可持续健康发展的重要因素。当前,外汇干预已成为世界各国管理汇率的一个重要工具,受到政策制定者和经济学家的广泛关注。研究外汇干预行为特征,探索加强干预有效性的途径与方法,对于构建更加合理的外汇干预机制、提高中央银行外汇干预水平,从而有效影响汇率走势、保障经济的稳定运行具有重要意义。
文中沿理论介绍、定性分析、定量研究的思路展开,在回顾并评述外汇干预的基本理论、研究现状以及国际实践经验基础上,将理论与实证相结合,通过建立非线性模型并引入数据挖掘技术、混沌控制方法以及仿真和计量检验方法等,对外汇干预非线性行为与干预有效性进行深入研究,取得了若干有意义的成果。
首先针对外汇干预反应函数进行研究,它作为描述中央银行外汇干预行为特征的一个重要工具,其模型具有多种不同的表达形式。在总结了现有各种反应函数模型的优势与缺点基础上,从既能体现外汇干预行为的非线性本质特征,又能提高描述精度的角度出发,提出了一种新的非线性FTR模型。基于日本外汇干预数据的实证研究表明,非线性FTR模型具有比线性模型和2-机制TR模型更高的精度,并且,通过对FTR模型估计结果的分析,在揭示日本央行的外汇干预动机、所重点考虑的市场条件因素以及干预目标等行为特征方面取得了有价值的结论。然而,反应函数虽能集中体现外汇干预非线性行为的主要统计特征,却难以全面、具体地反映相关数据集中隐含的所有干预行为信息以及变量间的全部关系规则。为此,接下来引入数据挖掘思想,基于非线性、非参数的粗糙集理论技术,提出一种外汇干预行为规则获取方法。实证研究表明,该方法能够从历史数据中提取出大量有效的、以影响干预行为的市场条件因素为前件、外汇干预行为决策为后件的行为规则,更加全面地描述了外汇干预行为的规律。然后,为进一步探讨至今仍存在争议的外汇干预有效性问题,在分析了争议产生的可能原因基础上,提出一种基于混沌控制的外汇干预有效性仿真分析方法。仿真结果表明,以扩展Dornbusch汇率模型为基础,在自适应混沌控制方法指导下,中央银行可以通过自适应地寻找合理的干预尺度,成功地抑制汇率时间序列的混沌行为,并最终达到稳定汇率的目的。该结果为证明外汇干预有效性问题提供了理论支持,同时也为中央银行外汇干预策略的选择提供了参考依据。最后,为切实提高外汇干预策略的有效性,加强外汇干预效果,从外汇干预策略制定的关键要素出发,探讨了干预的数量、方式、频率、联合干预等要素在外汇干预效力发挥中的作用。实证结果表明,各要素在改变汇率水平和降低汇率波动等干预目标下均具有不同的、重要的作用效果,若能准确把握并合理安排上述要素,对于制定更加有效的外汇干预策略具有积极的帮助作用。
在上述研究成果基础上,结合人民币汇率形成机制的特点以及中国外汇干预的现状,分析了中国外汇干预的未来走向。从外汇市场体制的完善、央行信誉和实力的加强以及外汇干预策略的制定等多方面,为提高中国外汇干预有效性提出了政策建议。
As an important variable in the international financial field, exchange rate and its stability play important parts in sustainable and healthy development of the national economy. Up to now, foreign exchange intervention has become an important tool to manage exchange rate, and been focused widely by policy makers and economists. Research on the behavior and effectiveness of intervention, acquiring its characters and exploring advanced approaches to improve its effectiveness, are significant to upgrading central banks’intervention level and constructing more effective intervention regime, which can guarantee the stability of exchange rate and development of economy.
This paper studies following the way of theory introduction, qualitative analysis and quantitative study. Based on the review of basic theory, related research, and international experience of foreign exchange intervention, this paper combines theoretic and empirical approach, studies the nonlinear behavior and effectiveness of intervention through establishing nonlinear model, introducing data mining technology, chaos control method, simulation and econometric test methods, and acquires several significant conclusions.
This paper first studies the foreign exchange intervention reaction function. As an important tool to describe intervention behavior of central banks, the reaction function has many different models. This paper summarizes the advantages and defects of these models, from the view of the need to explaining the nonlinear character of intervention, and acquiring higher precision simultaneously, provides a new nonlinear FTR model. Experimental results based on Japanese intervention data demonstrate that, comparing with linear model and two-regime TR model, the FTR model provided by this paper has higher precision. Besides, through analyzing the estimation results of FTR model, this paper acquires valuable conclusion about the characters of intervention behavior such as intervention motivation, important market factors in considering, intervention target, and so on. However, reaction function can acquire statistical characters of intervention behavior only, but can’t mine all the rules concretely. So this paper continues the research by introducing data mining idea, and proposes a rule acquiring method based on nonlinear rough set theory. Experimental results demonstrate that, this method can mine a great deal of effective rules, which take the related market factors as antecedent, and take the intervention decision as consequent. This method describes intervention behavior more completely. Then this paper focuses on the research of intervention effectiveness. As everybody knows that the effectiveness of foreign exchange intervention has always been considered as a controversial problem in financial area for many years. In order to discuss the problem deeply, this paper analyzes the causation and proposes a new simulation analysis approach based on chaos control. Simulation results demonstrate that, based on the expanded Dornbusch exchange rate model, under the guidance of self-adaptive chaos control method, the central bank can through seeking the suitable intervention degree self-adaptively, control the chaos behavior of exchange rate, and stabilize it finally. This result provides not only theoretical support for effectiveness of intervention, but also reference for intervention policies making. At last, in order to improve the effectiveness of practical intervention, this paper starts from the key factors of intervention policy, and tests the relationship between effectiveness and these factors, including intervention quantity, manner, frequency, and uniting with other countries. Empirical results demonstrate that, these factors above can influence the intervention effect directly, and each factor has different functions under different targets of changing exchange rate level and reducing exchange rate volatility. The results can provide reference for central bank to master these factors better and make more effective intervention policies.
Based on above studies, this paper analyzes the features of RMB exchange rate formation mechanism, discusses the actuality and prospect of intervention in China, at last provides advices for upgrading intervention effectiveness from the aspects of completing exchange rate market, enhancing central bank's capability and authority, making suitable intervention strategies, and so on.
引文
[1] Dominguez K M. Central bank intervention and exchange rate volatility. Journal of International Money and Finance, 1998, 17(1): 161-190
[2] Gnabo J Y, Teiletche J. Foreign-exchange intervention strategies and market expectations: insights from Japan. Journal of International Financial Markets, Institutions and Money, 2009, 19(3): 432-446
[3] Zhou S. Fundamental equilibrium exchange rates and exchange rate dynamics. Open Economies Review, 1994, 4(2): 189-209
[4] Clark P B, MacDonald R. Exchange rates and economic fundamentals: a methodological comparison of BEERs and FEERs. IMF Working Paper No.98/67, 1998
[5] Dunaway S, Leigh L, Li X M. How robust are estimates of equilibrium real exchange rates: the case of China. IMF Working Paper No.06/220, 2006
[6] Belloc M, Federici D. A two-country NATREX model for the euro/dollar. Journal of International Money and Finance, 2010, 29(2): 315-335
[7] Fama E F. Efficient capital markets: a review of theory and empirical work. Journal of Finance, 1970, 25(5): 383-417
[8] Figlewski S. Market "efficiency" in a market with heterogeneous information. Journal of Political Economy, 1978, 86(4): 581-597
[9] Dornbush R. Expectations and exchange rate dynamics. Journal of Political Economy, 1976, 84(6): 1161-1176
[10] Krugman P. A model of balance of payments crises. Journal of Money, Credit and Banking, 1979, 11(3): 311-325
[11] Edison H J. Do indicators of financial crises work? An evaluation of an early warning system. International Journal of Finance and Economics, 2003, 8(1): 11-53
[12] ?zlaleü, Metin-?zcan K. An alternative method to measure the likelihood of a financial crisis in an emerging market. Physica A, 2007, 381(4): 329-337
[13] Cassel G. Abnormal deviation in international exchanges. Economic Journal, 1918, 28(2): 413-415
[14] Mundel R A. Capital mobility and stabilization policy under fixed and flexible exchange rates. Canadian Journal of Economics and Political Science, 1963, 15(4):87-103
[15] Fleming J M. Domestic financial policies under fixed and under floating exchange rates. IMF Staff Papers, 1962, 9 (3): 369-79
[16]马德功.中央银行外汇市场干预研究: [四川大学博士学位论文].成都:四川大学经济学院, 2005, 40-42, 70-72
[17] Frenkel J A. A monetary approach to the exchange rate: doctrinal aspects and empirical evidence. Scandinavian Journal of Economics, 1976, 78(2): 200-224
[18] Mussa M. The role of official intervention. Occasional Paper No.6, New York: Group of Thirty, 1981
[19] Kouri P J K. The exchange rate and the balance of payments in the short run and in the long run-a monetary approach. Scandinavian Journal of Economics, 1976, 78(2): 280-304
[20] Dornbusch R, Fischer S. Exchange rates and the current account. American Economic Review, American Economic Association, 1980, 70(5): 960-71
[21] Almekinders G J, Eijffinger S C W. A friction model of daily Bundesbank and Federal Reserve intervention. Journal of Banking and Finance, 1996, 20(8): 1365-1380
[22] Jun J. Nonlinearity in central bank intervention: evidence from DM/USD market: [Doctoral Dissertation of Michigan State University]. East Lansing: Michigan State University, 2004, 58-92
[23] Pinar O, Artem P. Modeling central bank intervention as a threshold regression: evidence from Turkey. Journal of Economic and Social Research, 2008, 10(2): 1-23
[24] Gartner M. Intervention policy under floating exchange rates: an analysis of Swiss case. Economica, 1987, 54(216): 439-453
[25] Baillie R T, Osterberg W P. Why do central banks intervene?. Journal of International Money and Finance, 1997, 16(6): 909-919
[26] Frenkel M, Stadtmann G. Intervention reaction functions in the dollar-deutschmark market. Financial Markets and Portfolio Management, 2001, 15(3): 328-343
[27] Frenkel M, Pierdzioch C, Stadtmann G. Japanese and U. S. interventions in the yen/U.S. dollar market: estimating the monetary authorities’reaction functions. The Quarterly Review of Economics and Finance, 2005, 45(4-5): 680-698
[28]刁锋.中国央行外汇市场干预目标的实证分析.南开经济研究, 2001, (6): 56-59, 78
[29] Humpage O F. U.S. intervention: assessing the probability of success. Journal of Money, Credit and Banking, 1999, 31(4): 731-747
[30] Neely C J. The temporal pattern of trading rule returns and exchange rate intervention: Intervention does not generate technical trading profits. Journal of International Economics, 2002, 58(1): 211-232
[31] Kim S J, Sheen J. The determinants of foreign exchange intervention of central banks: evidence from Australia. Journal of International Money and Finance, 2002, 21(4): 619-649
[32] Ito T, Yabu T. What prompts Japan to intervene in the Forex market? A new approach to a reaction function. Journal of International Money and Finance, 2007, 26(2): 193-212
[33] Hall Y, Kim s J. What drives Yen interventions in Tokyo?:Do off-shore foreign exchange markets matter more than Tokyo market?.Pacific-Basin Finance Journal, 2009, 17(2): 175-188
[34] Jun J. Friction model and foreign exchange market intervention. International Review of Economics and Finance, 2008, 17(3): 477-489
[35] Beine M, Lecourt C. Reported and secret interventions in the foreign exchange markets. Finance Research Letters, 2004, 1(4): 215-225
[36] Ghosh A R. Central bank secrecy in the foreign exchange market. European Economic Review, 2002, 46(2): 253-272
[37] Beine M, Bernal O. Why do central banks intervene secretly? Preliminary evidence from the BoJ. Journal of International Financial Markets, Institutions and Money, 2007, 17(3): 291-306
[38]许罕多.关于外汇干预理论的几个重要问题.当代经济研究, 2006, (5): 22-24
[39]孟昊.外汇干预行为及其有效性研究[南开大学博士学位论文].天津:南开大学经济学院, 2005, 57-58, 71-81
[40]丁剑平,俞君钛,张景煜.从外汇市场微观结构视角看中央银行入市交易效果.管理世界, 2006, (7): 15-21
[41] Beine M, Janssen G, Lecourt C. Should central bankers talk to the foreign exchange markets?.Journal of International Money and Finance, 2009, 28(5): 776-803
[42] Barnett R C, Ozerturk S. The advantage of showing your hand selectively in foreign exchange interventions. European Journal of Political Economy, 2007, 23(1): 228-244
[43] Dominguez K M. The market microstructure of central bank intervention. NBERWorking Paper No.7737, 1999
[44] Frankel J, Froot K A. Understanding the U. S. Dollar in the eighties: the expectation of chartists and fundamentals. Ecnomic Record, Supplement, 1986, 97 (10): 24-38
[45] Meese R A. An empirical assessment of nonlinear times in models of exchange rate determination. Review of Economic Studies, 1991, 58(3): 603-619
[46] Morel C, Te?letche J. Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004. Journal of Empirical Finance, 2008, 15(2): 211-231
[47] Danker D J, Haas R A, Henderson D. Small empirical models of exchange market intervention: applications to Germany, Japan, and Canada. Journal of Policy Modelling, 1987, 9(1): 143-173
[48] Ghosh A R. Is it signalling? Exchange intervention and the Dollar-Deutsche-mark rate. Journal of International Economics, 1992, 32(3-4): 201-220
[49] Engel C, Rodrigues A P. Tests of international CAPM with time-varying covariances. Journal of Applied Economitries, 1989, 4(2): 119-138
[50] Frankel J A. In search of the exchange risk premium: a six currency test assuming mean-variance optimization. Journal of International Money and Finance, 1982, 1(3): 255-274
[51] Obstfeld M. Exchange rates, inflation, and the sterilization problem: Germany, 1975-1981. European Economic Review, 1983, 21(1-2): 161-189
[52] Kearney C, MacDonald R. Intervention and sterilisation under floating exchange rates: the UK 1973-1983. European Economic Review, 1986, 30(2): 345-364
[53] Natividad F, Stone J A. A general equilibrium model of exchange market intervention with variable sterilization. Journal of International Economics, 1990, 29(1-2): 133-145
[54]管华雨,张晓田.论发展中国家的货币冲销政策.金融研究, 2000, (7): 101- 108
[55]刁锋.中国外汇市场干预资产组合渠道有效性实证检验.南开经济研究, 2002, (3): 31-35
[56]桂詠评.中国外汇干预有效性的协整分析:资产组合平衡渠道.世界经济, 2008, (1): 13-22
[57] Lewis K K. Are foreign exchange interventions and monetary policy related, and does really matter? Journal of Business, 1995, 68(2): 185-214
[58] Kaminsky G L, Lewis K K. Does foreign exchange intervention signal futuremonetary policy? Journal of Monetary Economics, 1996, 37(2): 285-312
[59] Fatum R, Hutchison M. Is intervention a signal of future monetary policy? Evidence from the federal funds market. Journal of Money, Credit and Banking, 1999, 31(1): 54-69
[60] Sarno L, Taylor M P. Official intervention in the foreign exchange market: is it effective, and, if so, how does it work? Journal of Economic Literature, 2001, 39(3): 839-868
[61] Paolo V. Foreign exchange intervention: how to signal policy objectives and stabilise the economy. Journal of monetary economics, 2003, 50(4): 841-870
[62] Post E. Foreign exchange market interventions as monetary policy. Working Paper of Uppsala University, Department of Economics with No.2006: 21, 2006
[63] Mello L, Moccero D, Gnabo J Y. Interdependencies between monetary policy and foreign exchange intervention under inflation targeting: the case of Brazil and the Czech Republic. OECD Economics Department Working Papers with No.593, 2008
[64]元惠萍,陈浪南,黄洵.外汇干预传导的预期途径分析.预测, 2002, 21(6): 36-40, 31
[65]谢赤,张媛媛,丁晖.外汇市场干预信号渠道与投机头寸相关性研究.财经研究, 2008, 34(3): 28-37
[66] Evans M D D, Lyons R K. Order flow and exchange rate dynamics. Journal of Political Economy, 2002, 110(1): 170-180
[67] Payne R K. Informed trade in spot foreign exchange markets: an empirical investigation. Journal of International Economics, 2003, 61(2): 307-329
[68] Breedon F, Vitale P. An empirical study of liquidity and information effects of order flow on exchange rates. European Central Bank Working Paper No.424, 2004
[69] Scalia A. Is foreign exchange intervention effective? Some micro-analytical evidence from the Czech Republic. Bank of Italy Economic Research Paper No. 579, 2006
[70] Taylor M P. The economics of exchange rates. Journal of Economic Literature, 1995, 33(1): 13-47
[71] Sarno L, Taylor M P.汇率经济学.何泽荣(主译).成都:西南财经大学出版社, 2006, 251-252
[72] Wadhwani S. The Exchange Rate and the Monetary Policy Committee: What Can We Do? Speech to the Senior Business Forum at the Centre for EconomicPerformance, 2000
[73] Taylor M P. Is official exchange rate intervention effective?. Economica, 2004, 71(281): 1-11
[74] Taylor M P. Official foreign exchange intervention as a coordinating signal in the dollar-yen market. Pacific Economic Review, 2005, 10 (1): 73-82
[75] Reitz S, Taylor M P. The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis. European Economic Review, 2008, 52(1): 55-76
[76] Fatum R. On the effectiveness of sterilized foreign exchange intervention. Working Paper of European Central Bank with No.10, 2000
[77] Fatum R, Hutchison M. Is sterilized foreign exchange intervention effective after all? An event study approach. The Economic Journal, 2003, 113(4): 390-411
[78] Fatum R, Hutchison M. Effectiveness of official daily foreign exchange market intervention operations in Japan. Journal of International Money and Finance, 2006, 25 (2): 199-219
[79] Ito T. Is foreign exchange intervention effective? The Japanese experiences in the 1990s. NBER working paper with No.8914, 2002
[80] Fratzscher M. How successful are exchange rate communication and interventions? Evidence from time-series and event-study approaches. ECB Working Paper with No.528, 2005
[81]干杏娣,杨金梅,张军.我国央行外汇干预有效性的事件分析研究.金融研究, 2007, (9): 82-89
[82] Egert B, Komarek L. Foreign exchange interventions and interest rate policy in the Czech Republic: Hand in glove?. Economic Systems, 2006, 30(2): 121-140
[83] Baillie R, Humpage O. Post-Louvre intervention: did target zones stabilise the dollar?. Federal Reserve Bank of Cleveland Working Paper with No.9203, 1992
[84] Dominguez K. Does central bank intervention increase the volatility of foreign exchange rates?. NBER Working Paper with No.4532, 1993
[85] Connolly R A, Taylor W M. Volume and intervention effects of yen/dollar exchange rate volatility, 1977-1979. Advances in Financial Planning and Forecasting, 1994, 5: 181-200
[86] Frenkela M, Pierdzioch C, Stadtmanna G. The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility. International Review of Economics and Finance, 2005, 14(1): 27-39
[87] Wieland C, Westerhott F H. Exchange Rate Dynamics, Central Bank Interventionsand chaos Control Methods. Journal of Economic Behavior and Organization, 2005, 58(1): 117-132
[88] Toshiaki W, Kimie H. Effects of the Bank of Japan’s intervention on yen/dollar exchange rate volatility. Journal of the Japanese and International Economies, 2006, 20(1): 99-111
[89] Suardi S. Central bank intervention, threshold effects and asymmetric volatility: evidence from the Japanese yen-US dollar foreign exchange market. Economic Modeling, 2008, 25(4): 628-642
[90] Hillebrand E, Schnabl G, Ulu Y. Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility. Journal of International Financial Markets, Institutions and Money, 2009, 19(3): 490-505
[91] Bonser-Neal C, Tanner G. Central bank intervention and the volatility of foreign exchange rates: evidence from the options market. Journal of International Money and Finance, 1996, 15(6): 853-878
[92] Murray J, Zelmer M, McManus D. The effect of intervention on Canadian dollar volatility. In: Proceedings of Exchange Rates and Monetary Policy. Ottawa, 1997, 311-357
[93] Galati G, Melick W, Micu M. Foreign exchange market intervention and expectations: the yen/dollar exchange rate. Journal of International Money and Finance, 2005, 24(6): 982-1011
[94] Frankel J A. No single currency regime is right for all countries or at all times. NBER Working Paper with No.7338, 1999
[95] Levy-Yeyati E, Sturzenegger F. Exchange rate regimes and economic performancee. IMF Staff Papers, 2001, 47(Special Issue): 62-98
[96]于泽雨,王益.官方外汇市场操作制度安排比较分析——以美国、欧盟、英国和日本为例.国际金融研究, 2006, (12): 45-51
[97]郭凯.发达经济体外汇干预体系的实践与启示.中国外资, 2008, (11): 39-40
[98]潘宏胜.官方外汇干预的理论与实践.经济社会体制比较, 2007, (6): 40-44
[99] Brandner P, Grech H. Why did central banks intervene in ERM1? The post-1993 experience. IMF Staff Papers, 2005, 52(1): 1-15
[100]刘燕,庄起善.中央银行直接干预外汇市场效果的比较研究.上海金融, 2001, (10): 16-18
[101] Calvo G A, Reinhart C M. Fear of floating. Quarterly Journal of Economics, 2002, 117(2): 379-408
[102] Canales-Kriljenko J I. Foreign exchange intervention in developing and transition economies: results of a survey. IMF Working Paper with No.03/95, 2003
[103] Tong H. On a threshold model in Pattern Recognition and Signal Processing. In C.H. Chen (ed.), Amsterdam: Sijthoff and Noordhoff Press, 1978, 575-586
[104] Hansen B E. Testing for linearity. Journal of Economic Surveys, 1999, 13(5): 551-576
[105] Fayyad U, Uthurusamy R. Data mining and knowledge discovery in database. Communications of the ACM, 1996, 39(11): 204-211
[106] Fayyad U, Shapiro G and Smyth P. The KDD process for extracting useful knowledge from volumes of data. Communications of the ACM, 1996, 39(11): 27-34
[107]邵峰晶,于忠清.数据挖掘原理与算法.北京:中国水利水电出版社, 2003, 5-10
[108] Pawlak Z. Rough sets. International Journal of Computer and Information Sciences, 1982, 11(5): 341-356
[109] Slowinski R. Rough set approach to decision analysis. AI Expert Magazine, 1995, 10(3): 18-25
[110] Aijun A. Discovering rules for water demand prediction-an enhanced rough set approach. Engineering Applications of Artificial Intelligence, 1996, 9 (6): 645-653
[111] Jaroslaw S, Katarzyna K. Hybrid classifier based on rough sets and neural networks. Electronic Notes in Theoretical Computer Science, 2003, 82(4): 1-11
[112] Tsumoto S. Mining diagnostic rules from clinical databases using rough sets and medical diagnostic model. Information Sciences. 2004, 162(2): 65-80
[113] Golan R, Ziarko W. A methodology for stock market analysis utilizing rough set theory. In Proceedings of IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, New York, 1995, 32-40
[114]王国胤. Rough集理论与知识获取.西安:西安交通大学出版社, 2001, 102- 148
[115] Wroblewski J. Finding minimal reducts using genetic algorithms. In: Proceedings of the Second Annual Join Conference on Information Sciences, 1995, 186-189
[116]任永功,王杨,闫德勤.基于遗传算法的粗糙集属性约简算法.小型微型计算机系统, 2006, 27(5): 862-865
[117] Frenkel M, Pierdzioch C, Stadtmann G. On the determinants of“small”and“large”foreign exchange market interventions: the case of the Japanese interventions in the 1990s. Review of Financial Economics, 2004, 13(3): 231-243
[118] Marites A K. The application of chaos theory in the Philippine foreign exchange market. Khanser, 1999, 42(1): 12-25
[119] Weston R, Premachandran P. A chaotic analysis of the NewZealand exchange rate 1985-2004. Emerging Financial Markets and Services Conference, 2004, 22(5): 261-268
[120] Das A, Das P. Chaotic analysis of the foreign exchange rates. Applied Mathematics and Computation, 2007, 185(1): 388-396
[121] Scarlat E I, Stan C, Cristescu C P. Chaotic features in Romanian transition economy as reflected onto the currency exchange rate. Applied Mathematics and Computation, 2007, 185(5): 388-396
[122] Bask M. Long swings and chaos in the exchange rate in a DSGE model with a Taylor rule. Bank of Finland Research Discussion Papers No. 19/2007, 2007, 1-28
[123]谢赤,杨妮,孙柏.汇率时间序列混沌动力学特征及实证.系统工程理论与实践, 2008, 28(8): 118-122
[124]邹恩,李祥飞,陈建国.混沌控制及其优化应用.长沙:国防科技大学出版社, 2002, 1-10
[125] Day R H, Huang W. Bulls, bears and market sheep. Journal of Economic Behavior and Organization, 1990, 14(3): 299-329
[126] Athanasiou G, Kotsios S. An algorithmic approach to exchange rate stabilization. Economic Modelling, 2008, 25(6): 1246-1260
[127] De Grauwe P, Dewachter H. Chaos in the Dornbusch model of the exchange rate. Chaos, Kredit und Kapital, 1992, 25(1): 26-54
[128] De Grauwe P, Dewachter H, Embrechts M. Exchange rate theory: chaotic models of foreign exchange markets. Oxford and Cambridge, MA: Blackwell, 1993
[129] Silva S D. The Dornbusch Model with Chaos and Foreign Exchange Intervention. Paper provided by EconWPA in its series International Finance with No. 0405017, 2004
[130] Ott E, Grebogi C, Yorke J A. Controlling chaos. Phys Rev Lett, 1990, 64(11): 1196-1199
[131] Huberman B A, Lumer E. Dynamics of adaptive systems. IEEE Transactions on Circuits and Systems, 1990, 37(4): 547-550
[132] Pyragas K. Continuous control of chaos by self-controlling feedback. Physics Letters A, 1992, 170(6): 421-428
[133] Chen L Q. An open-plus-closed-loop control for discrete chaos and hyperchaos. Physics Letters A, 2001, 281(5): 327-333
[134] Salarieh H, Alasty A. Chaos control in an economic model via minimum entropy strategy. Chaos, Solitons & Fractals, 2009, 40(2): 839-847
[135] Marston R C. Stabilizatin policies in open economies. NBER Working Paper with No.W1117, 1985
[136] Frenkel M, Pierdzioch C, Stadtmann G. Modeling the intensity of foreign exchange intervention activity. Economics Letters, 2004, 85(3):347-351
[137] Hoshikawa T. The effect of intervention frequency on the foreign exchange market: the Japanese experience. Journal of International Money and Finance, 2008, 27 (4): 547-559
[138] Brandner P, Grech H and Stix H. The effectiveness of central bank intervention in the EMS: The post 1993 experience. Journal of International Money and Finance, 2006, 25(4): 580-597
[139] Hansen P R and Lunde A. A forecast comparison of volatility models: does anything beat a GARCH(1,1) model?. Journal of Applied Econometrics, 2005, 20(7): 873-889
[140] Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 1986, 31(3): 307-327
[141]朱庆.外汇干预理论与我国的实践.南方金融, 2007, (2): 34-36
[142]彭黎,李科.我国外汇干预传导机制的实证分析.投资研究, 2009, (5): 34-38
[143]徐虹.我国中央银行外汇干预研究: [南开大学硕士学位论文].天津:南开大学经济学院, 2006, 16-17
[144]李平,董曦明,李家美.人民币汇率干预的理论选择与策略研究.南开学报, 1999, (4): 63-71
[145]王维安,陶海飞.我国外汇干预机制有效性探讨.浙江大学学报(人文社会科学版), 2005, 35(1): 135-142
[146]桂詠评.外汇干预问题研究——历史、理论和实证: [华东师范大学博士学位论文].上海:华东师范大学商学院, 2008, 156-164
[147]林欣.试论新兴市场国家央行对其外汇市场的干预.海南金融, 2006, (11): 66-67, 80
[148]余永定.人民币汇率制度改革的历史性一步.世界经济与政治, 2005, (10): 7- 13
[149] John W. The choice of exchange rate regime: the relevance of international experience to China’s decision. China & World Economy, 2005, 13(3): 17-33
[150]徐晟,唐齐鸣.中国参考盯住篮子货币干预的实证研究.国际金融研究, 2008, (9): 68-72.
[151]丁剑平,于群.论人民币汇率波动的弹性.上海财经大学学报, 2003, 5(2): 19- 26
[152] Neely C J. Central bank authorities' beliefs about foreign exchange intervention. Journal of International Money and Finance, 2008, 27(1): 1-25
[153]宋文兵.外汇市场干预的理论分析与国际比较.世界经济, 1998, (6): 43-47
[154] Driffill J, Sola M. Target zones for exchange rates and policy changes. Journal of International Money and Finance, 2006, 25(6): 912-931
[155]郭田勇,陈佳.我国中央银行对外汇市场干预效力分析.国际金融研究, 2006, (7): 57-61