中文摘要：

长期以来,与人民币汇率相关的问题一直是经济金融领域讨论的热点。近几年发布的复旦人民币汇率指数综合反映了人民币汇率对中国对外贸易竞争力的影响,已受到经济学界的广泛关注。本文首次运用MF-DFA方法,研究复旦人民币汇率指数收益率序列的波动特征,同时应用VaR模型测度其风险大小。结果表明,复旦人民币汇率指数收益率序列具有多重分形特征,且实际有效汇率的多重分形强度略高于名义有效汇率的多重分形强度。VaR模型适用于对其风险进行度量,且发现,在不同的置信水平下,所得的VaR值不同,置信水平越高,所测的市场风险值越大。

英文摘要：

For a long time,the related problems of RMB exchange rate have always been the hot spot of the economic and financial fields. The Fudan RMB exchange rate indices announced in recent years have reflected synthetically the affection of RMB exchange rate to the competiveness of China foreign trade,which has been paid expansive attention in economics field.This paper first uses MF-DFA method to analyze volatility characteristics of the time series of Fudan RMB exchange rate indices,and also applies VaR model to measure their risk. The empirical results show that the returns of the Fudan RMB exchange rate indices possess multifractal characteristics and the multifractal strength of real effective exchange rate great slightly than that of nominal exchange rate. The VaR model is suitable to measure their risk,and it is found that the VaR values are different under the different confidence levels. The higher the confidence level,the greater the risk of the measuring market.