Autocorrelation Regression Model Analysis and Selection of Cross-Border RMB Settlement From 2011 to 2020

Abstract

With China's continuous opening to the outside world, changes in the international environment and the operation of the cross-border RMB settlement system (CIPS), the scale of cross-border RMB settlement has fluctuated continuously. In response to this phenomenon, the authors collected and sorted out the total amount of RMB cross-border settlement and payments from 2011 to 2020 time sequence data in China, then use five AR models including ARMA, GARCH(1.1), EGARCH(1.1), PARCH(1.1), and CARCH(1.1) to fit. The experimental results show that the four autocorrelation models all prove that the cross-border RMB settlement has autocorrelation relationship, and the long-term trend continues to grow up. According to the precision and accuracy of the five models, the ARMA model equation is one optimal prediction equation. On the basis of the ARMA model equation, and the establishment of the VENSIM system dynamics simulation model, the scale of China's cross-border RMB settlement in the next 10 years is predicted.