An Empirical Study of Long memory Features of USD/CNY Rate Based on R/S Approach

机译：基于R / S方法的美元兑人民币汇率长期记忆特征的实证研究

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In this paper, we investigate the long memory prosperities of USD/CNY rate based on the central parity from July 21, 2005 to October 29, 2010. Calculating the Hurst exponent, which is 0.5501, we find long-term memory exists in this market. Given the financial crisis of 2008, we make a comparative study of pro-crisis and post-crisis. The results show that in the latter period, the long memory features of USD/CNY rate are stronger but the length of cycle remains the same. Some suggestions on the foreign exchange market management are also discussed.

机译：在本文中，我们基于2005年7月21日至2010年10月29日的中间价调查了美元兑人民币汇率的长期记忆性。计算Hurst指数0.5501，我们发现该市场存在长期记忆性。鉴于2008年的金融危机，我们对危机前和危机后进行了比较研究。结果表明，在后期美元/人民币汇率的长记忆特征较强，但周期长度不变。还讨论了有关外汇市场管理的一些建议。

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《FRCFM;International conference on financial risk and corporate finance management》|2011年|p.186-190|共5页
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LIU Zhiwei; ZHAO Yongqin;
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中图分类公司;公司;
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Keywords:R/S analysis; Hurst exponent; long-term memory; foreign exchange risk management;

机译：关键词：R / S分析;赫斯特指数;长期记忆;外汇风险管理;

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An Empirical Study of Long memory Features of USD/CNY Rate Based on R/S Approach

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