중국 위안화의 환율예측력 분석에 관한 비교연구

• 영문명: An Empirical Study on Prediction of Chinese Yuan Exchange Rate
• 발행기관: 한국동북아경제학회
• 저자명: 최 문(Wen Cui) 윤기관(Ki-kwan Yoon) 장동현(Dong-Xian Zhang)
• 간행물 정보: 『동북아경제연구』東北亞經濟硏究 第21卷 第2號, 203~230쪽, 전체 28쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2009.08.31

영문 초록

This paper surveys the different exchange rate systems under the socialistic planned economy system, economic structure reformative phase, and the market economic system of China since the foundation of the People’s Republic of China, and then it introduces the history of Chinese Yuan exchange rate system and the general change of Chinese Yuan’s exchange rate system. Authors of this study forecast Chinese Yuan currency exchange rate from April 2009 to May 2009 with ARIMA models and GARCH models, using the CNY/USD exchange rates which daily time series data from July 21st 2005 to March 21th 2009 under the floating exchange rate, then we compared it with the real exchange rate. After the analysis, it is found that GARCH (1,1) model is better than ARIMA (2,1,0) model on Mean Error (ME), Mean Absolute Error (MAE) and Root Mean Square Error (RMSE). Therefore, we could confirm that the GARCH (1,1) model is very effective in prediction of the Chinese Yuan currency exchange rate and its prediction capability is excellent.

목차

Ⅰ. 서 론

Ⅱ. 건국 이후 중국의 환율제도와 위안화 환율

Ⅲ. 위안화 환율의 시계열특성과 환율예측 분석모형

Ⅳ. 위안화 환율예측에 관한 실증분석과 예측력 비교

Ⅴ. 결 론

키워드

위안화 환율예측 ARIMA모형 GARCH모형 예측오차 Chinese Yuan Currency Prediction of Exchange Rate Garch Model Arima Model Error of Prediction