基于综合集成方法的人民币汇率分析与预测研究

With a deepening of the renminbi (RMB) internationalization, the international influence of RMB is increasing and the fluctuations of the RMB against to the US dollar have a markedly enhanced trend. Based on a comprehensive analysis of the characteristics of the RMB exchange rate pricing mechanism, the fluctuation structure and the factors affecting the RMB exchange rate fluctuations, a multi-variable framework is firstly developed for analyzing the fluctuations of RMB exchange rate in this project. Further, a new methodology for the RMB exchange rate analyzing and forecasting is proposed to improve the analysis and forecasting performance. First, starting from the analysis of China's exchange rate pricing mechanism, deconstructing and quantifying the fluctuations of the RMB exchange rate, the characteristics of the RMB exchange rate is grasped accurately. Second, a multi-variable framework for analyzing the fluctuations of the RMB exchange rate is developed to dissect the influencing degrees and the influencing period of various factors on the RMB exchange rate fluctuations. Third, by integrating the high frequency data-based forecasting methods, the high-dimensional data-based forecasting methods and the decomposition and ensemble forecasting methods, a new comprehensive integrated forecasting approach is proposed for the RMB exchange rate. The research achievements will provide scientific methods for the formulation and adjustment of China's exchange rate policy, which are of great significance in both theoretical and practical aspects.

随着我国人民币国际化进程的不断深入，人民币国际影响力与日俱增，人民币汇率波动性呈现出明显增强的趋势。本项目基于对人民币汇率运行机制特点、波动构成和影响人民币汇率波动的因素展开综合剖析，首次构建多变量人民币汇率波动分析框架，形成一套新的综合集成的人民币汇率分析与预测方法，进一步提高对人民币汇率分析与预测的准确性。研究内容主要包括：1）从分析我国汇率运行机制入手，准确把握人民币汇率数据特征，将人民币汇率波动进行解构和量化；2）构建多变量人民币汇率波动分析框架，剖析各个因素对人民币汇率波动的影响程度及周期长短；3）基于高频汇率数据、高维数据和分解集成三种预测方法，构建一套新的综合集成的人民币汇率预测方法。本项目的研究成果将为我国汇率政策的制定与调整提供科学的依据和方法，具有重要的理论意义和现实意义。

汇率市场是一个典型的复杂系统，数据具有非平稳性、高波动性和不规则性等特征，受到多种内外因的共同作用。如何准确分析和预测汇率走势，并对汇率政策效果进行有效的评估，不仅有很大的研究难度，也关系到国家的金融和经济安全。本项目构建了一套新的综合集成的人民币汇率分析与预测方法，具体研究内容包括：（1）首次构建了多变量人民币汇率波动分析框架，全面地将影响汇率波动的驱动因素纳入汇率预测建模；（2）首次提出了基于聚类的非线性集成学习方法；（3）首次提出了多尺度分解集成方法（VMD-SVNN-SVNN）；（4）构建了一套新的综合集成的人民币汇率分析与预测方法；（5）构建了基于综合集成预测方法的交易策略；（6）开展了复杂系统的风险网络建模研究，首次将分解集成的思想融入复杂系统的风险网络建模研究，分析了不同资产之间的波动溢出机制以及它们在全球波动传输系统中各自的作用，包括比特币、原油、黄金、股票、外汇和天然气市场。本项目所提出理论方法及其应用将进一步提高对人民币汇率分析与预测的准确性，为我国汇率政策的制定与调整提供科学的依据和方法，这对稳步推进人民币国际化和维护我国国家金融安全有重大的理论意义和现实意义，直接服务于国家重大需求和经济主战场。