美元对英镑均衡汇率分析.docx

美元对英镑均衡汇率分析建立模型：Yt=»+卩2 X2+卩3X3+卩4X4+卩5X5+卩6Yt-l+yt 其中，Yt——美元对英镑的汇率，Yt二exchange rate (us/uk)X2---两国利率比率 x2=us rate/uk rateX3---两国物价指数比率 x3=us cpi/uk cpiX4---两国出口比率 x4=us export/uk exportX5---两国 GDP 比率 x5=us gdp/uk gdpYt-1--- 一阶滞后相关数据exchangerate(us/uk)UKEXPORT UKGDPUKCPIUKRATEUSEXPORTUSGDPUSCPIUSRATE2000.011.59565.9202.52.3665.99668.73.462000.021.51267.5204.63.1667.59857.63.56.52000.031.4772.2208.12.1672.29937.63.56.52000.041.49273.4209.12.1673.410027.93.46.52001.011.42674.7210.11.95.7574.710141.73.452001.021.40473.4211.32.35.2572.410202.63.43.752001.031.4771.22122.44.7571.210224.92.732001.041.4570212.22.147010253.21.81.752002.011.469.3212.52.4469.310313.11.21.752002.021.571.4213.71.9471.410376.91.31.752002.031.671.6216.21.5471.610506.21.61.752002.041.665.8249.22.6465.810588.82.21.252003.011.5869.4256.12.13.75173.510744.62.91.252003.021.6567.92572.53.75174.6108842.212003.031.6668.5259.31.93.5178.311116.72.212003.041.7869.5272.22.43.75186.911270.91.912004.011.8470.9275.11.74193.911472.61.812004.021.8171.92772.24.5199.311657.52.81.252004.031.8172.1277.82.34.75204.611814.92.71.752004.041.9272.9279.13.14.75208.611988.93.42.252005.011.8973.3279.83.24.75213.812198.832.752005.021.7976.3281.234.75215.712373.12.93.25生成新序列x2x3x4x5Yt-111.4782609147.7466671.08333331.1290323148.1798631.5121.08333331.6666667147.7539641.471.08333331.6190476147.9574371.4920.86956521.7894737148.2708231.4260.71428571.47826090.98637648.2849031.4040.63157891.125148.230661.470.43750.8571429148.3185671.450.43750.5148.5322351.40.43750.6842105148.5582591.50.43751.0666667148.594821.60.31250.8461538142.4911721.60.33333331.38095242.541.9547051.580.26666670.882.571428642.3501951.650.28571431.15789472.602919742.8719631.660.26666670.79166672.689208641.4066861.780.251.05882352.734837841.7033811.840.27777781.27272732.771905442.0848381.810.36842111.1739132.837725442.5302381.810.47368421.09677422.86145442.9555711.920.57894740.93752.916780443.5982841.890.68421050.96666672.826998744.0010671.79一、先检验时间序列的平稳性：1、长期协整性检验（1）、作图：判断是什么性质的随机游走YT 带一定趋势同理可得，X2, X3, X4, X5也是带一定趋势的随机游走 (2)、做单位根检验ADF Test Statistic -2.587484 1% Critical Value* -4.50005% Critical Value -3.659110% Critical Value -3.2677*MacKinnon critical values for rejection of hypothesis of a unit root.Augmented Dickey-Fuller Test EquationDependent Variable: D(YT) Method: Least SquaresDate: 12/13/05 Time: 20:24 Sample(adjusted): 2000:3 2005:2In eluded observatio ns: 20 after adjust ing en dpo intsVariable Coefficient Std. Error t-Statistic Prob.YT(-1)-0.482275 0.186388 -2.587484 0.0198D(YT(-1))0.1152640.2324450.4958780.6267C0.6384490.2463802.5913170.0197@TREND(2000:1)0.0131960.0054442.4241170.0276R-squared0.303443Mean dependent var0.013900Adjusted R-squared0.172839S.D. dependent var0.063982S.E. of regression0.058190Akaike info criterion-2.673335Sum squared resid0.054178Schwarz criterion-2.474189Log likelihood30.73335F-statistic2.323379Durb in-Wats on stat1.713732Prob(F-statistic)0.113745Yt 序列是非平稳的同理，x2,x3,x4,x5也是非平稳的检查是否具有协整性ADF Test Statistic-2.8839991% Critical Value*-3.85725% Critical Value-3.040010% Critical Value-2.6608*MacKinnon critical values for rejection of hypothesis of a unit root.Augmented Dickey-Fuller Test EquationDependent Variable: D(E)Method: Least SquaresDate: 12/13/05 Time: 20:28Sample(adjusted): 2001:1 2005:2Included observations: 18 after adjusting endpointsE(-1)-1.0468070.362971 -2.8839990.0114D(E(-1))0.0426030.256461 0.1661200.8703C-0.0533250.366713 -0.1454140.8863R-squared0.507074Mean dependent var-0.029991Adjusted R-squared0.441351S.D. dependent var2.080603S.E. of regression1.555102Akaike info criterion3.871971Sum squared resid36.27512Schwarz criterion4.020366Log likelihood-31.84774F-statistic7.715281Durb in-Wats on stat2.024573Prob(F-statistic)0.004964VariableProb.Coefficient Std. Error t-Statisti。