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 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 证券研究 宏观专题 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 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 ...

Group 1: Macroeconomic Environment - The global economic system is entering a chaotic evolution phase characterized by non-linearity, bidirectionality, and high sensitivity due to intensified great power competition[1] - The global growth baseline remains resilient, supported by the acceleration of the Fourth Industrial Revolution and industrial transformation[1] - Global trade elasticity has been declining, with trade expansion significantly lagging behind GDP growth since the 2008 financial crisis, dropping below 1[3] Group 2: Security and Uncertainty - National security considerations are increasingly influencing resource allocation, with global military spending projected to reach $2.72 trillion in 2024, a 9.4% year-on-year increase, marking the highest level since the Cold War[3] - The World Uncertainty Index has risen significantly since 2018, indicating that global uncertainty has evolved from temporary fluctuations to a structural norm[4] Group 3: Asset Performance and Investment Strategy - In a critical chaos phase, both risk assets and safe-haven assets can yield positive returns, reflecting a dual pricing structure[7] - Despite rising macro uncertainty, risk assets still have a strong return potential, as evidenced by the MSCI Global Index achieving returns significantly above global GDP growth rates of around 3% from 2020 to 2025[7] - Safe-haven assets like gold continue to hold value, driven by multiple risk factors, indicating that hedging demand will persist in chaotic environments[8] - The asset allocation logic has shifted from a zero-sum game to a scenario where both risk and safe-haven assets can thrive simultaneously, necessitating a dynamic adjustment to investment strategies[11]