文档介绍：人民币汇率的独立成分分析
摘要
汇率波动无论对国内的经济增长还是对对外贸易都有重要影响。适当的汇
率水平有利于国内经济的发展。中国从改革开放至今历经四次汇率制度改革,
最终于 2005年 7月建立起有管理的浮动汇率制度,成功地由紧钉住美元过渡到
钉住一揽子货币。在这种新的汇率制度下,汇率水平受市场因素的影响比以往
时期更为强烈,如果能够成功识别出汇率波动背后的决定因素,对于我国汇率
管理和经济决策必然具有重要的现实意义。
为了达到对汇率决定因素进行研究的目的,本文尝试采用一种新的分析方
法??ICA 方法。ICA 是一种基于信息理论主要是熵及其他与熵有关的概念
的分析潜变量的方法。这种分析方法的目的是把混合信号分解为相互独立的潜
变量成分,它能够抑制高斯噪声,并能分解出相互独立的非高斯信号,因而在
潜变量研究方面具有其他统计分析方法所不可比拟的优点。
通过对人民币对美元等五个币种的汇率的中间价时间序列数据的分析,得
到对五种汇率共同起作用的三个独立潜变量:市场预期、汇率政策以及季节因
素。
关键词: 汇率;ICA;信息理论;潜变量
Abstract
Exchange rate has significant influence upon both domestic economic growth
and international trade. Appropriate exchange rate is propitious to domestic
economic growth and important lever of the international trades. Although it is the
comparison of two country's currency, it does reflect the strength of different
have been four innovations in foreign exchange domain in China since
reform and opening, and eventually supervised floating rate system was set up in
July 2005, achieving the transition from nailing up dollar to pinning up total
currency successfully. Under this new system, the exchange rate of RMB is
determined by market factors to much more extent than before, which asks for more
subtle analysis of the determinants of RMB exchange rates.
In this paper, the author uses a new kind analytical tool, ICA, to look for latent
factors determining the rate of RMB. Based on information theory, esp. entropy
and other concepts relative to entropy, ICA can decompose observed variables and
get the independently latent variables, with strong advantages over other traditional
statistical analyzing time series data of RMB vs dollar etc with ICA, it is found that
expectation, exchange system and seasonal factors are three main latent factors
determining the rate of RMB.
Key Words: exchange rate; ICA; information theory; latent variables目 录
前 言. 1
第1 章 ICA 方法及信息理论介绍 3
ICA概