計量經(jīng)濟 人民幣匯率

1、.：.；假設影響人民幣匯率的要素有，國內(nèi)消費總值，貨幣和準貨幣M2，外匯貯藏三個變量，為方便量化，用貨幣供應量同比增長率來描畫貨幣和準貨幣M2，用與100美圓等值的人民幣數(shù)值來近似描畫人民幣的匯率程度。搜集1991-2007年的數(shù)據(jù)如下：序號工程年份國內(nèi)消費總值億元貨幣和準貨幣M2貨幣供應量同比增長率外匯貯藏(億美圓)人民幣匯率 人民幣元=100美圓)11991532.320250.47.6217.121992551.523134.27.6194.431993576.226364.71121241994861.929813.411516.251995835.133070.51173661996

2、831.436380.4111050.57199782939762.75.78.981998827.942877.45.21449.691999827.846144.62.31546.8102000827.823072.32.31655.7112001827.7107449.72.32121.7122002827.7117208.322864.1132003827.7128958.924032.5142004827.7141964.526099.3152005819.2169996.42.38188.3162006797.2204556.12.310663.4172007760.4249530

3、2.315282.5模型參數(shù)估計對模型進展多次實驗，最終挑選出模型的方式：并對模型進展了參數(shù)估計，結(jié)果如下：Dependent Variable: LOG(EXCHANGE)Method: Least SquaresDate: 12/06/11 Time: 22:44Sample: 1991 2007Included observations: 17VariableCoefficientStd. Errort-StatisticProb. C5.0708000.20790324.390210.0000GDP-3.08E-065.55E-07-5.5482960.0001M220.0001496

4、.45E-052.3084140.0381LOG(RESERVE)0.2392850.0316787.5535960.0000R-squared0.829795 Mean dependent var6.642979Adjusted R-squared0.790517 S.D. dependent var0.158903S.E. of regression0.072729 Akaike info criterion-2.202125Sum squared resid0.068764 Schwarz criterion-2.005775Log likelihood22.71552 F-statis

5、tic21.12611Durbin-Watson stat1.226706 Prob(F-statistic)0.000028經(jīng)過參數(shù)估計的模型方程 模型的檢驗一對模型進展經(jīng)濟意義檢驗：表示當沒有任何經(jīng)濟變量影響的時候，人民幣匯率為5.070800，但數(shù)值本身沒有任何意義；表示每當國內(nèi)消費總值添加一個單位，人民幣匯率的對數(shù)值會相應減少3.08E-06 個單位，國內(nèi)消費總值和人民幣匯率呈現(xiàn)負相關關系；表示每當貨幣供應量同比增長率的平方添加一個單位，人民幣匯率的對數(shù)值會相應增長1.49 E-04 個單位，貨幣供應量和人民幣匯率呈現(xiàn)正相關關系；表示每當外匯貯藏的對數(shù)值添加一個單位，人民幣匯率的對數(shù)值

6、會相應增長0.24個單位，外匯貯藏和人民幣匯率呈現(xiàn)正相關關系。符合經(jīng)濟學知識,模型經(jīng)過經(jīng)濟意義檢驗。1 相關性檢驗擬合優(yōu)度檢驗R2= 0.790517，闡明人民幣匯率中79.05%可由國內(nèi)消費總值，貨幣和準貨幣M2，外匯貯藏解釋，擬合程度比較好。2顯著性檢驗整體線性關系檢驗F檢驗：Prob(F-statistic)=0.0000280.05，整體線性關系顯著?；貧w系數(shù)顯著性檢驗t檢驗：Prob.=0.00010.05，經(jīng)過t檢驗；gdp對log(exchange)線性影響顯著。Prob.=0.03810.05，經(jīng)過t檢驗；m22對log(exchange)線性影響顯著。Prob.=0.0000

7、0.05 未檢驗出存在異方差。進一步進展G-Q檢驗選取在上述OLS結(jié)果中未能經(jīng)過T檢驗的M22進展G-Q檢驗。把M2的數(shù)據(jù)按升序陳列，并將其分成三部分，選取第一部分1991-1997的數(shù)據(jù)和第三部分2001-2007年的數(shù)據(jù)分別按原方程進展回歸。Dependent Variable: LOG(EXCHANGE)Method: Least SquaresDate: 12/17/09 Time: 20:35Sample: 1991 1997Included observations: 7R-squared0.993658 Mean dependent var6.649499Adjusted R-s

8、quared0.987316 S.D. dependent var0.133113S.E. of regression0.014991 Akaike info criterion-5.267110Sum squared resid0.000674 Schwarz criterion-5.298018Log likelihood22.43488 F-statistic156.6808Durbin-Watson stat1.965270 Prob(F-statistic)0.000856Dependent Variable: LOG(EXCHANGE)Method: Least SquaresDa

9、te: 12/17/09 Time: 20:36Sample: 2001 2007Included observations: 6Excluded observations: 1R-squared0.923 Mean dependent var6.647565Adjusted R-squared0.784058 S.D. dependent var0.181469S.E. of regression0.084328 Akaike info criterion-1.873490Sum squared resid0.014222 Schwarz criterion-2.012317Log like

10、lihood9.620469 F-statistic7.051470Durbin-Watson stat0.689236 Prob(F-statistic)0.126725SSR的比值為SSR2/SSR1=0.014222/0.000674=21.10F0.05(3,3)=9.28，回絕原假設，i存在異方差。對原方程進展加權(quán)數(shù)1/abs(e)，消除異方差，并進展回歸。Dependent Variable: LOG(EXCHANGE)Method: Least SquaresDate: 12/17/09 Time: 19:22Sample(adjusted): 1991 2007Included

11、 observations: 17 after adjusting endpointsWeighting series: 1/ABS(E)VariableCoefficientStd. Errort-StatisticProb. C5.1230750.19571326.176500.0000GDP-3.00E-063.62E-07-8.2976280.0000M220.0001561.94E-058.0619410.0000LOG(RESERVE)0.2315770.0284238.1476230.0000Weighted StatisticsR-squared1.000000 Mean de

12、pendent var6.712539Adjusted R-squared1.000000 S.D. dependent var14.87848S.E. of regression0.005674 Akaike info criterion-7.303547Sum squared resid0.000419 Schwarz criterion-7.107497Log likelihood66.08015 F-statistic24.33806Durbin-Watson stat1.308886 Prob(F-statistic)0.000013Unweighted StatisticsR-sq

13、uared0.826616 Mean dependent var6.642979Adjusted R-squared0.786605 S.D. dependent var0.158903S.E. of regression0.073405 Sum squared resid0.070048Durbin-Watson stat1.184263再一次進展WHITE檢驗:White Heteroskedasticity Test:F-statistic0.372977Probability0.905799Obs*R-squared6.025270Probability0.7373870.7373870.05，接受原假設，懷特檢驗經(jīng)過且結(jié)果較消除異方差前更為