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On the "Elasticity" of Volatility of Renminbi Exchange Rate
Author(s): 
Pages: 19-26
Year: Issue:  2
Journal: JOURNAL OF SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS

Keyword:  人民币汇市ARCH模型汇市弹性波动持续性结售汇制度;
Abstract: 冲击对汇市波动产生的影响持续有多长,可以知道汇市的弹性的强弱.本文通过自回归条件异方差(ARCH)模型证明了亚洲金融危机后中国汇市在干预下的弹性.中央银行出于多种原因还在频繁地进入汇市.可以说中国干预外汇市场是成功的,但是这不能一直照搬下去.政府与企业的角色要换位.要逐步让企业承担汇市波动的风险.企业要"走出去"以获得更多的信息.这样企业在汇市上的运作才能消化冲击,促使汇市趋于平稳.
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