| 基于Markov链的人民币汇率分析与预测 |
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| 引用本文： | 吴诣民,成明峰. 基于Markov链的人民币汇率分析与预测[J]. 统计与信息论坛, 2008, 23(2): 78-80 |
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| 作者姓名： | 吴诣民 成明峰 |
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| 作者单位： | 西安交通大学,经济与金融学院,陕西,西安,710061 |
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| 摘 要： | 选取2006年5月25日--2007年5月25日人民币兑欧元的50个周汇率数据,通过建立Markov链模型对人民币汇率的波动特征及其走势进行分析与预测。结果表明,人民币汇率在短期内会保持相对稳定,中长期存在小幅升值的可能。
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| 关 键 词： | 人民币汇率 Markov链 汇率预测 |
| 文章编号： | 1007-3116(2008)02-0078-03 |
| 修稿时间： | 2007-07-15 |
The Analysis and Prediction of RMB Exchange Rate Based on Markov Chain |
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| WU Yi-min,CHENG Ming-feng. The Analysis and Prediction of RMB Exchange Rate Based on Markov Chain[J]. Statistics & Information Tribune, 2008, 23(2): 78-80 |
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| Authors: | WU Yi-min CHENG Ming-feng |
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| Affiliation: | (School of Econornics ＆ Finance, Xi＇an Jiaotong University, Xi＇an 710061, China) |
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| Abstract: | Based on the 50 weekly data of RMB Exchange Rate from May 25th, to May 25th, 2007, this paper analyzes the fluctuation characteristic of the RMB Exchange Rate and predicted its trend by building a Markov chain model. The conclusion is that RMB Exchange Rate will maintain relatively stationary in short time, which will rise slighdy in the long run. |
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| Keywords: | RMB Exchange Rate Markov chain prediction |
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