| 摘要: |
| 为了研究企业债券市场，并针对汇率波动对企债市场的影响，提出建立LSTM和GRU两种神经网络模型;首先证明了它们对于企业债券市场收益的研究具有良好的拟合和预测效果，再将人民币兑美元的汇率数据作为神经网络的输入变量之一，验证人民币汇率对企债市场收益的影响，并比较两种模型的预测效果;结果显示:加入汇率指标后，两种模型不仅能捕捉收益趋势，同时都在数值上也更加精准可靠。实证研究表明，目前在研究我国企业债券市场时，人民币汇率是不可忽略的影响因素，并且相较而言GRU模型的结果更为精准。 |
| 关键词: 汇率 上证企债指数 对数收益率 LSTM GRU |
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| Study on the Influence of RMB Exchange Rate on Enterprise Bond Yield Based on Neural Network |
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ZHOU Ying, MU Nian-guo
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| Abstract: |
| In order to study the corporate bond market and deal with the impact of exchange rate fluctuations on the corporate bond market, we propose to establish two neural network models of LSTM and GRU, first demonstrating that they have a good fit and prediction effect on the research of corporate bond market returns. Using the exchange rate data of RMB against the US dollar as one of the input variables of the neural network, we verify the impact of the RMB exchange rate on the corporate bond market returns and compare the prediction effects of the two models. The results show that after adding the exchange rate indicator, the two models can not only capture the yield trend, but also the value is more accurate and reliable. Empirical studies show that the RMB exchange rate is a non-negligible factor in the study of China's corporate bond market, and the results of the GRU model are more accurate. |
| Key words: exchange rate SSE corporate bond index logarithmic yield LSTM GRU |
