人民币汇率专题：“811汇改”八周年观察之人民币的韧性与底色

20238118811 811CHOW811CCK 20111290 Z0017101 1.“811.........................................................................1 1.1..............................................................................................11.2..............................................................................................4 2.:“811.........................................................7 2.1......................................................................................72.2....................................................................................122.2.1.Big Player Theory..................................................122.2.2.CHOW.................................................152.2.3.CCK.................................................19 3..........................................................................................................21 1.1.1:1957................................................11.1.1:20057212015811..............................................................................................................................21.1.2:811.................21.1.3:20142016PMI%..31.1.4:20142015%............................41.1.5:2015811..............................................................................................................................51.1.6:...................................51.1.7:2017............................................62.1.1:.........................................................72.1.2:20151211CFETSBISSDR.................................................................................................................................82.1.1:....................................................................92.1.3:.................................................................................102.1.2:CNY&CNH20152022%...............................................................................................................................102.1.4:.............................112.1.5:2015.............................................................................................................112.2.1:Hurts.........................................................................152.2.2:...........152.2.3:...........162.2.4:...........16 2.2.5:........162.2.6:Granger172.2.7:Chow.............................................................................172.2.8:........182.2.9:Granger...............................................................................................................................182.2.10:......182.2.11:Granger........................................................................................................................192.2.12:CHOW.........................202.2.13:..................................................................................20 1.811 20238118811811811 1.1. 1. 200572120158112006201240.520140.5%20151.5%811 2. 8112014 1.2. 811 20158 11 20158132017210-20201714 2.:811 2.1. 1. 20152005 1 201512 11201722415 2 20175++ 20172‘’ =[/-1-] = 2. 2017 2.2. 811: 2.2.1.Big Player Theory 811 1. Koppl Rescaled Range AnalysisHurstMandelbrot1972 1975MandelbrotWallis 1969Lo1991Hurst20057 2220238 1120158 1120058 2220158 1020158 1120238 11811 2. 2.2.12.2.2811811 HurstH0.50<H<0.50.5<H<12.1.1Simple Hurst0.5Simple Hurst0.6375Simple Hurst0.5377Simple HurstSimple Hurst 2.2.2.CHOW 20057 2220238 1120158 1120058 2220158 1020158 1120238 11 1.20057 2220238 11Granger 20057 2220238 1120058 2220158 1020158 1120238 11 2.2.3: 2.2.4: E-GECM0.048 GrangerGranger 2.2.6:Granger 2.811 811Chow20158 11Chow811 3.811811811Granger811 81120057 2220158 10201581120238 11Granger811GrangerGranger1.18118110.35GrangerGranger811 2.2.8: Date:10/11/23 Time: 13:42Series:Sample: 7/22/2005 8/11/2015Included observations: 2523Null hypothesis: Series are not cointegratedCointegrating equation deterministics: CAutomatic lags specification based on Schwarz criterion (maxlag=26) 2.2.10: Date:10/11/23 Time: 13:44Series:Sample: 8/11/2015 8/11/2023Included observations: 1947Null hypothesis: Series are not cointegratedCointegrating equation deterministics: CAutomatic lags specification based on Schwarz criterion (maxlag=25) 2.2.3.CCK 1. CCKCCKCCK 𝑅𝑖,𝑡t𝑅𝑎,𝑡tCFETS CAPM 𝐶𝑆𝐴𝐷𝑡𝑅𝑚𝐶𝑆𝐴𝐷𝑡𝑅𝑚ChangCheng𝑅𝑎,𝑡2𝛽2 𝛽20𝛽2𝛽2 2. 20057 2220228 112.2.12CHOWCHOW 2.2.1320057 2220175 26𝛽2𝛽2202281120188 2420228 11𝛽2 3. [1], &. (2016).8.11SDR.(12), 4. [2],玥, &. (2021).:., 30(1), 177-183. [3],, &. (2020)..(4), 12. [4]. (2021).8.11.(2), 9. [5], &. (2021).8.11. (2020-11), 63-74. [6]. (2022)..(19), 6. [7], &. (2019).8.11.(8), 13. [8], &. (2017).8.11.(5), 9. [9], &. (2016).8.11.(11), 4. [10]. (2018). 8.11., 000(001), 20-24. [11]. (2017).8.11.(11), 4. [12]. (2018).8.11.,000(007), 102,101. [13]. (2012).. (Doctoraldissertation,). [14]. (2022)..(4), 4. [15].8.11. IMI2017. [16].8.11. (Doctoral dissertation,). [17]. (2018).:2001-2017. (Doctoraldissertation,). [18]. (2012).