汇率均值回复的非线性STAR模型

多数研究表明，由于交易成本的存在，汇率偏离均值回复呈现非线性特征。基于非线性时间序列STAR模型对人民币、港币、日元以及英镑四种汇率进行建模，发现四种汇率均呈现均值回复，并且通过检验发现，除人民币外其他三种货币汇率服从对称制度的ESTAR模型，因此有管理的浮动制人民币汇率的动态行为的确有别于浮动汇率，并对人民币浮动制改革有一定的参考作用。

Nonlinear STAR Model of Exchange Rate in Mean Reverting

Most research shows that as the presence of transactions costs,exchange may follow a nonlinear process that is mean reverting.This paper models exchange rate of RMB,Hong Kong dollar,Japanese Yen,Pound based on nonlinear time series analysis and smooth transition auto-regression.And the study result is that four exchange appear a nonlinear characteristic,the test shows that the there exchanges obey ESTAR model,but REB exchange obeys LSTAR model.Thus the dynamic behavior of REB exchange under the managed floating exchange rate system is different from floated rate of exchange system,and it is useful to the reform of RMB exchange system.