> **来源：[研报客](https://pc.yanbaoke.cn)** # 宏观专题 # 宏观经济深度研究 # 区间有序、路径难测 混沌演化视角下的人民币汇率再探索 本文构建了一套遵循时间序列约束的人民币汇率分析框架。基于2010年以来的月度数据，通过引入随机森林模型，对美元兑人民币汇率的对数变化率进行建模，并采用时间序列分割与逐期扩展窗口两种样本外回测方式，对模型预测能力进行系统检验，同时以随机游走作为比较基准。实证结果显示，在宏观月度信息集下，随机森林模型难以在样本外稳定优于随机游走，预测序列呈现出低振幅的特征。这一结果并不意味着模型失效，而是表明宏观变量对人民币汇率的作用方式主要体现在中枢约束与区间塑造层面，而非对短期波动路径的精确刻画，反映出人民币汇率短期波动仍以不可预测成分为主。在此基础上，本文进一步给出一条12个月的条件性预测路径，预测结果显示，在既定宏观约束下，人民币汇率未来运行中枢表现为温和升值。结合混沌演化视角，人民币汇率的运行更符合区间内有序、路径上不可预测的特征，这一判断为理解汇率波动边界、引导市场预期以及把握宏观政策节奏提供了重要参考。 模型方法与技术框架。本文认为，在汇率这一典型的高噪声、强非线性问题中，模型价值很难体现在对历史波动的精细拟合，而更强调其在样本外环境下能否保持一定的稳定性。由于人民币汇率的波动往往受到内外部因素的同步影响，其传导路径随宏观环境变化而不断重塑，单一、稳定的线性结构难以在不同阶段持续有效。基于这一判断，本文引入随机森林模型，对美元兑人民币汇率的变化进行建模，重点关注模型在时间序列约束下的稳健性。随机森林作为一种非参数的集成学习模型，不依赖预设函数形式，能够在多重变量共同作用下刻画潜在的非线性关系及其交互结构。 在具体模型设定上，本文以美元兑人民币汇率的对数变化率作为预测目标变量，以降低汇率水平序列中趋势性与非平稳性对估计结果的干扰。通胀水平、工业品价格、外汇储备规模、中美两国国债收益率、进出口相关指标以及美元指数等核心宏观金融变量以1-3个月的多期滞后形式纳入特征集合，确保预测仅使用当期可得信息集。随机森林通过对样本和特征的反复抽样构建多棵决策树，有效分散个别历史区间或单一变量对预测结果的影响，使模型在不同宏观状态下能够形成差异化的信息组合，从而提升整体预测的稳健性。 在模型验证层面，本文同时采用时间序列分割与逐期扩展窗口样本外回测两种方法，并以随机游走作为明确的基准模型进行对比。这一设计的核心目的，在于区分统计意义上的样本内拟合与经济意义上的真实预测能力，避免因样本切分方式不当而高估模型效果。 宏观变量约束中枢而非波动。回测结果清晰表明，宏观变量对人民币汇率的作用主要体现在中枢约束层面，而非对短期波动路径的精确刻画。从时间序列分割回测图像可以看到，模型预测序列的振幅显著低于实际汇率波动，这一现象并非模型能力不足的简单体现，而是对人民币汇率运行机制的重要刻画。外汇储备、利差与物价环境等宏观变量，更多通过影响汇率预期、政策方向与跨境资本配置方向等，对汇率形成中长期约束，但难以解释短期由风险偏好切换、预期扰动或外部冲击引发的尖峰波动。 进步观察回测图像可以发现，模型在中低波动阶段对汇率变化具备一定的方向性跟随能力，而在市场情绪或突发冲击主导的阶段，对实际变化的刻画明显不足。这一特征与经济机制高度一致。外汇储备的变化主要作用于汇率预期与政策空间，中美国债收益率通过资本流动影响汇率方向，但上述变量本身并不决定短期资金博弈的节奏。因此，回测图像本身构成了一条重要的实证证据，即 2026年2月4日 程实，博士 (852) 2206 8049 shi.cheng@icbc.com.cn 徐婕，博士 (852) 2683 3777 jessica.xu@icbci.com # 相关研究： 2/2/2026：《全球生产网络与绕不开的中国——“经纬之间纵横其链”中国价值链系列研究之三》 1/30/2026：《分位数视角下的美元指数走势》 1/29/2026：《独立性承压下的货币政策路径——2026年1月美联储议息会议点评》 1/26/2026：《以历史主动精神应对混沌演化——变局世界与潜能中国系列研究之二》 1/22/2026：《人工智能重塑劳动力市场的理论认知》 1/14/2026：《从银价波动看“变乱交织、动荡加剧”》 1/7/2026：《价值链攀升的中国坐标——“经纬之间纵横其链”中国价值链系列研究之二》 1/6/2026：《人工智能时代的中国比较优势》 1/5/2026：《如何充分挖掘经济潜能？——变局世界与潜能中国系列研究之一》 12/30/2025：《纵横捭阖：全球价值链重构与中国产业体系突破——“经纬之间纵横其链”中国价值链系列研究之一》 12/23/2025：《中等发达国家的丰富内涵与政策指向》 12/16/2025：《每一代人都有自己的Labubu——从新需求×新供给看中国消费新格局》 12/12/2025：《格物致知，成势在人——投资于物和投资于人的时代逻辑》 12/11/2025：《利率下行，风险上行——2025年12月美联储议息会议点评》 12/5/2025：《人工智能浪潮中的真实与泡影》 宏观变量并未失效，其作用方式表现为稳定中枢，而非主导短期路径。 将时间序列分割与逐期扩展窗口回测结果结合来看，人民币汇率的可预测边界进一步得到验证。两种验证方式在不同样本结构下均呈现出高度一致的特征。模型能够提取低频结构信息，却系统性低估实际汇率变化中的尖峰与快速反转。这种跨验证框架反复出现的结果，意味着预测能力的边界并非由样本切分或技术设定所致，而是源于汇率运行本身的性质。在宏观月度信息集下，人民币汇率的短期波动仍以不可预测成分为主，预测能力存在清晰且稳定的上限。 在此基础上，本文进一步给出了一条12个月条件性预测路径。需要强调的是，该预测没有对通胀、利差或美元指数等宏观变量进行线性外推，而是基于宏观环境维持最近一期水平的假设前提下，刻画历史结构所隐含的汇率演化趋势。其意义在于揭示人民币汇率在宏观约束下的可预测边界，而非为了提升短期点位的命中概率。从结果来看，美元兑人民币未来12个月的运行中枢相对收敛，条件预测路径所对应的中枢带大致落在6.9附近，人民币温和升值并未呈现单边快速升值或贬值特征。 图1：时间序列分割样本外回测结果 资料来源：Wind、工银国际测算 图2：逐期扩展窗口样本外回测结果 资料来源：Wind、工银国际测算 图3：美元兑人民币12个月条件性预测结果（2026年1月至12月） 资料来源：Wind、工银国际测算（注：图中所给出的条件性预测路径旨在刻画在既定宏观约束条件下，人民币汇率可能收敛的中枢水平，不适合用于短期点位判断。） 区间内有序，路径上不可预测。上述预测结果表明，人民币汇率运行呈现出典型的混沌演化特征，即在既定约束下形成有序区间，但对具体时点路径缺乏可预测性。从混沌系统的视角看，汇率并非线性可外推对象，其演化过程同时包含规律性与不确定性。随机森林模型在样本外预测中对尖峰波动的系统性低估，正是这一特征的直观体现。宏观变量更容易约束汇率的中枢区间，却难以解释短期波动的幅度与节奏。将条件预测结果与历史走势对照可以发现，在当前宏观条件下，人民币汇率更可能围绕中枢温和升值，而非进入单边行情。这一特征与人民币汇率长期以来的运行逻辑高度一致。 从时间维度看，这种区间内有序、路径不可预测的运行状态，为宏观调控提供了更具弹性的政策空间。一方面，国内低通胀约束逐步缓解，经济基本面稳中有进，叠加美联储进入降息周期，共同为人民币汇率中枢的稳定提供了支撑。另一方面，短期波动本身具有较强的不可预测性，也意味着决策既无必要、也难以对每一次市场扰动作出即时回应。由此，在多重约束共同作用下，人民币汇率更可能以区间形态演化，其长期有序性来源于宏观结构，其短期不确定性则是混沌系统的内在属性。这一判断为理解汇率运行机制、引导市场预期以及把握政策节奏，提供了更为稳健的分析基础。 # 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