基于MS-MIDAS模型的人民币汇率预测研究

s becoming a member of Special Drawing Rights(SDR) basket, RMB is becoming more and more appreciated by the international market and the real effective exchange rate (REER) of RMB ,which can be regard as a leading indicatorhas of the value of RMB, has attracted the attention of the whole world. this paper adds Markov regime switching to MIDAS model and establish MS-MIDAS model to forecast RMB real effective exchange rate. In order to simplify the model, this paper uses the weighted method of combination MIDAS model to change multivariable model to combination model. The results show that combination MIDAS model can greatly simplify the modeling degree; In series of MS-MIDAS models, MSIH(2)-MIDAS model has obtained more effective prediction effect and its predictive effect is vastly superior to the base model; we can regard combinated exchenge rate data as a reference standard for REER, and monitor REER with MS-MIDAS model.