基于自适应混沌控制的外汇干预有效性研究

运筹与管理 ›› 2011, Vol. 20 ›› Issue (5): 128-134.

基于自适应混沌控制的外汇干预有效性研究

张在美¹, 谢赤^1,2, 孙柏¹, 韩峰¹

1.湖南大学工商管理学院,湖南长沙 410082;
2.湖南大学金融与投资管理研究中心,湖南长沙 410082

收稿日期:2010-04-05 出版日期:2011-10-25
作者简介:张在美(1981-),女,山东临沂人,博士研究生,研究方向为金融工程与风险管理。
基金资助:
国家社会科学基金重点项目(07AJL005);全国高校青年教师奖励基金资助项目(教人司2002[123]);教育部人文社科规划项目(10JA790028);教育部博士点专项科研基金资助项目(20070532027)

A Research on Effectiveness of Foreign Exchange Intervention Based on Self-adapting Chaos Control

ZHANG Zai-mei¹, XIE Chi^1,2, SUN Bo¹, HAN Feng¹

1. College of Business Management, Hunan University, Changsha 410082, China;
2. Center of Finance and Investment Management, Hunan University, Changsha 410082, China

Received:2010-04-05 Online:2011-10-25

摘要/Abstract

摘要： 中央银行外汇干预的有效性一直是金融领域研究和争论的热点问题,并且至今尚未达成一致的结论,寻找科学的理论与方法对其做进一步的探讨具有重要意义。针对该问题提出一种新的解决方案,即在扩展Dornbusch汇率模型基础上,运用自适应混沌控制方法指导外汇干预策略,试图通过检验干预是否能够控制汇率时间序列的混沌行为并最终达到稳定汇率的目的,来论证外汇干预的有效性。仿真结果表明,通过自适应地寻找合理的干预尺度,外汇干预行为最终能够成功地将汇率稳定在系统均衡水平上。研究成果不但为外汇干预有效性给出了理论支持,还为中央银行外汇干预策略的制定提供了参考。

关键词: 金融工程, 外汇干预有效性, 自适应混沌控制, 汇率, Dornbusch模型

Abstract: The effectiveness of central bank foreign exchange intervention has always been considered as a controversial problem in financial area for many years. Although empirical literatures study a lot about it, there is still no consistent conclusion. So the further discussion in more scientific way is necessary and significant. Aiming at the problem, this paper proposes a new approach to solve it. Based on the expanded Dornbusch exchange rate model, this paper introduces self-adaptive chaos control method to guide the intervention policies, and tries to check if the intervention can control the chaos behavior of exchange rate, and stabilize it finally. Simulation results demonstrate that, through seeking the suitable intervention degree self-adaptively, the intervention policies can stabilize the exchange rate on its equilibrium level successfully. The results of our paper provide not only theoretical support for effectiveness of intervention, but also reference for intervention policies making.

Key words: financial engineering, effectiveness of foreign exchange intervention, self-adapting chaos control, exchange rate, dornbusch model

中图分类号:

F830.92

张在美, 谢赤, 孙柏, 韩峰. 基于自适应混沌控制的外汇干预有效性研究[J]. 运筹与管理, 2011, 20(5): 128-134.

ZHANG Zai-mei, XIE Chi, SUN Bo, HAN Feng. A Research on Effectiveness of Foreign Exchange Intervention Based on Self-adapting Chaos Control[J]. Operations Research and Management Science, 2011, 20(5): 128-134.

参考文献

[1] Pilbeam K. The relative effectiveness of sterilized and nonsterilized foreign exchange market interventions[J]. Journal of Policy Modeling, 2005, 27(3): 375-383.
[2] Reitz S, Taylor M P. The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis[J]. European Economic Review, 2008, 52(1): 55-76.
[3] Fatum R, Pedersen J. Real-time effects of central bank intervention in the euro market[J]. Journal of International Economics, 2009, 78(1): 11-20.
[4] Watanabe T, Harada K. Effects of the Bank of Japan’s intervention on yen/dollar exchange rate volatility[J]. Journal of the Japanese and International Economies, 2006, 20(1): 99-111.
[5] Morel C, Tei letche J. Do interventions in foreign exchange markets modify investors’ expectations? the experience of Japan between 1992 and 2004[J]. Journal of Empirical Finance, 2008, 15(2): 211-231.
[6] 谢赤,杨妮,孙柏.汇率时间序列混沌动力学特征及实证[J].系统工程理论与实践,2008,28(8):118-122.
[7] Resende M, Zeidan R M. Expectations and chaotic dynamics: empirical evidence on exchange rates[J]. Economics Letters, 2008, 99(1): 33-35.
[8] 邹恩,李祥飞,陈建国.混沌控制及其优化应用[M].长沙:国防科技大学出版社,2006.
[9] Wieland C, Westerhoff F H. Exchange rate dynamics, central bank interventions and chaos control methods[J]. Journal of Economic Behavior & Organization, 2005, 58(1): 117-132.
[10] Athanasiou G, Kotsios S. An algorithmic approach to exchange rate stabilization[J]. Economic Modelling, 2008, 25(6): 1246-1260.
[11] Dornbush R. Expectations and exchange rate dynamics[J]. Journal of Political Economy, 1976, 84(6): 1161-1176.
[12] Ott E, Grebogi C, Yorke J A. Controlling chaos[J]. Phys Rev Lett, 1990, 64(11): 1196-1199.
[13] Huberman B A, Lumer E. Dynamics of adaptive systems[J]. IEEE Transactions on Circuits and Systems, 1990, 37(4): 547-550.
[14] Pyragas K. Continuous control of chaos by self-controlling feedback[J]. Physics Letters A, 1992, 170(6): 421-428.
[15] Chen L Q. An open-plus-closed-loop control for discrete chaos and hyperchaos[J]. Physics Letters A, 2001, 281(5): 327- 333.
[16] Salarieh H, Alasty A. Chaos control in an economic model via minimum entropy strategy[J]. Chaos, Solitons & Fractals, 2009, 40(2): 839-847.
[17] De Grauwe P, Dewachter H. Chaos in the dornbusch model of the exchange rate[J]. Chaos, Kredit und Kapital, 1992, 25(1): 26-54.
[18] De Grauwe P, Dewachter H, Embrechts M. Exchange rate theory: chaotic models of foreign exchange markets[M]. Oxford and Cambridge, MA: Blackwell, 1993.
[19] Silva S D. The dornbusch model with chaos and foreign exchange intervention[R]. Econ WPA in its series International Finance with No.0405017, 2004.
[20] Marston R C. Stabilizatin policies in open economies[R]. NBER Working Paper with No.W1117, 1985.