日本外汇市场平衡操作与美国“长期利率之谜”及其对中国的启示

发布时间：2018-01-08 09:32

本文关键词：日本外汇市场平衡操作与美国“长期利率之谜”及其对中国的启示　出处：《社会科学战线》2011年08期 　论文类型：期刊论文

【摘要】：文章对2000年到2004年日本外汇市场平衡操作与美国长期利率之间的动态关联和因果关系进行了实证研究。研究结果发现:日本外汇市场平衡操作对美国长期利率的影响是暂时性的且其影响力度沿驼峰形态趋势曲线下降;除资产组合平衡效应和流动性效应外,在对美国长期利率受日本外汇储备投资影响而形成的下降规模和时间长度进行解释时还应考虑诸如噪声交易者、从众心理、货币政策立场、投资者信心和中国对美国国债的持有等因素。通过研究日本当年利用外汇储备投资美国国债给美国长期利率带来的影响,为次贷危机后面对巨大本币升值压力和巨额外汇储备的中国提供一定的经验参考与历史借鉴。
[Abstract]:This paper makes an empirical study on the dynamic correlation and causality between the equilibrium operation of Japanese foreign exchange market and the long-term interest rate of the United States from 2000 to 2004. The results show that:. The influence of Japanese foreign exchange market equilibrium operation on American long-term interest rate is temporary and its influence intensity decreases along the trend curve of hump shape. In addition to portfolio equilibrium and liquidity effects, such as noise traders should also be taken into account in explaining the size and duration of the decline in long-term interest rates in the United States as a result of Japan's foreign exchange reserve investment. By studying the influence of Japan's use of foreign exchange reserves on the long-term interest rate of the United States, this paper studies factors such as crowd psychology, monetary policy stance, investor confidence and China's holdings of US Treasuries. It provides some experience and historical reference for China, which is faced with huge pressure of local currency appreciation and huge foreign exchange reserve after the subprime mortgage crisis.
【作者单位】：长春理工大学经济管理学院;
【基金】：国家社会科学基金重点项目(08GJA001)
【分类号】：F831.52;F832.6
【正文快照】： 引言自2002年到次贷危机爆发前,大量资金从全球流入美国,也就是在此期间,美国出现了“长期利率之谜”。“长期利率之谜”这一概念最初由前美联储主席格林斯潘提出,具体指美联储自2004年6月至2005年11月通过连续12次加息将联邦基金利率从1%提高至4%,而与此同时,美国10年期的国

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