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MS-AR model based dynamic identification of RMB appreciation pressure

机译：基于MS-AR模型的人民币升值压力动态识别

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It has practical significance to the effective identification and dynamic assessment of RMB appreciation pressure. In this study nonlinear MS-AR model with the assumption that residual obeys T distribution is used to do empirical analysis on the spot exchange rate of RMB/USD in the period of 2005.7.22–2012.12.12. The results show that there are three regimes including appreciation with high volatility, appreciation with low volatility and stability with small depreciation. Appreciation with high volatility appeared after two RMB exchange rate regime reforms, which indicates that exchange rate regime reform released partial pressure of RMB appreciation. Appreciation with low volatility was found in the period of America subprime crisis, because People's Bank of China narrowed exchange rate fluctuation region. Stability with small depreciation witnessed that the outbreak of sovereign debt crisis in European countries, that increased the demand for USD, in turn led to the small depreciation of RMB. All the above results demonstrate that the accumulated period and dynamic change characteristics of RMB appreciation pressure.
机译：这对于人民币升值压力的有效识别和动态评估具有现实意义。在本研究中，以残留服从T分布的非线性MS-AR模型为基础，对2005.7.22–2012.12.12期间的人民币/美元即期汇率进行了实证分析。结果表明，存在三种制度：高波动性升值，低波动性升值和小折旧稳定。在两次人民币汇率制度改革之后出现了高波动性升值，这表明汇率制度改革释放了人民币升值的部分压力。在美国次贷危机时期，人民币升值幅度较小，原因是中国人民银行缩小了汇率波动区域。小幅贬值的稳定见证了欧洲国家主权债务危机的爆发，这增加了对美元的需求，进而导致人民币小幅贬值。以上所有结果表明，人民币升值压力的累积周期和动态变化特征。

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