人民币利率与汇率联动机制研究

发布时间：2018-03-23 13:48

本文选题：利率　切入点：汇率　出处：《东北财经大学》2013年硕士论文

【摘要】：在开放经济环境下,利率市场和汇率市场的高效运行是一国经济发展状况及资源配置效率的综合反映。利率、汇率作为货币价格的两种表现形式,相互联系、相互影响,是国家实现宏观调控、保障经济安全、维护金融稳定的重要政策手段。利率政策是实现内部经济均衡的基础,汇率政策是实现外部经济均衡的关键。利率、汇率间关系的存在状态对于利率政策和汇率政策的调节功能、协调作用和执行效率的充分发挥有着决定性作用,对推动经济实现内外均衡也有着重要影响。随着金融开放与经济外向度的提高,理论界和实务界对于我国推进利率市场化,建立富有弹性的汇率形成机制均已达成共识,但对两者的相关关系认识仍不够充分,研究也还不够深入,而真正的危机恰恰隐藏于此。因此,如何避免利率—汇率联动机制对国内经济的冲击,探究人民币利率—汇率的联动机制及其现实影响,对于构建健全、稳定、高效的利率、汇率市场化运行机制,促进我国金融市场的改革有着重要的现实意义。本文认为利率和汇率作为重要的经济杠杆,对宏观经济与微观经济的运行有着极其重要的调节作用。因此,研究两者之间的关系对判断我国宏观经济形势,预测我国宏观经济走势有非常重要的意义。主要表现在以下几个方面：第一,利率和汇率的联动关系不仅影响着我国宏观经济政策的传导效率,也影响着中央银行制定有关协调内外均衡的货币政策；其次,利率和汇率在资本市场中对资本价格的影响均起到举足轻重的作用,分析并掌握利率和汇率的联动关系,对投资者规避投资风险,获得稳定收益具有重要意义；最后,利率和汇率的联动关系也会影响实体经济部门的运行。此外,研究利率和汇率间的联动关系还具有较强的理论意义。一方面,利率和汇率作为货币政策的重要变量,在货币政策传导过程中发挥着重要的作用,探讨利率和汇率的联动关系对实现我国货币政策内外均衡有着重要的指导意义。另一方面,通过对利率、汇率间关系的实证研究,可以验证利率平价理论、购买力平价理论等经典理论在我国的适用性。鉴于我国市场化改革的现实状况,利率平价、国际收支等传统模型和理论在我国的适用性受限,导致在研究人民币利率、汇率关系时,既要考虑一般理论的影响,又要兼顾我国经济转轨的特殊国情。因而,本文遵循从理论到实践、理论联系实际的研究思路,采用规范研究和实证研究相结合的分析方法：基于经典模型和传统理论对利率—汇率联动机制多角度的理论分析,结合我国经济运行中实行的政策措施和利率、汇率间关系的现实表现,通过实证检验,分析利率、汇率及其他变量间的关系,提出增强我国利率—汇率联动机制效应的设想。本文的写作架构由以下五个章节构成：第一章为绪论。介绍了本文的选题背景及意义、国内外的研究现状、采用的研究方法和写作框架及本文的创新和不足之处。第二章为利率—汇率联动性的理论分析和影响因素分析。在理论分析方面,从利率平价理论、国际收支说、货币模型、资产组合分析法、蒙代尔—弗莱明模型和麦金农—大野健模型六个角度展开分析,在多重框架下探寻人民币利率和汇率间的关系。在影响因素分析中,首先是影响利率—汇率联动性的政策与制度因素,在政策因素中介绍了人民币利率、汇率政策改革的进程,我国利率、汇率政策的冲突及影响利率—汇率联动性的制度因素；其次是市场因素,涵盖导致利率、汇率传导机制失效的两方面市场因素。最后是其他因素,主要包括理性预期、信息充分性及市场稳定性因素和政治因素。第三章为人民币利率—汇率联动机制的实证分析。主要是基于向量自回归模型、协整检验、脉冲响应函数、方差分解、门限协整和向量误差修正模型等经济计量学方法,对比分析人民币利率、汇率间影响关系的不同。第四章为完善人民币利率—汇率联动机制的政策措施。针对目前我国利率、汇率联动关系的现状及实证结果,提出完善人民币利率—汇率联动机制的政策建议。第五章为结论,主要对本文的主要观点进行总结,并指出存在的问题,以后研究的方向等。本文的研究特色有四点：一是注重理论与实践相结合。本文不仅在阐述相关理论的基础上对利率—汇率传导机制进行更加严密的分析,还结合各理论的功能对相关理论进行系统的分类与归总；二是在实证分析的指标选取中,采用利率、汇率的名义指标。规避了人为统计因素的影响和时间序列出现负值无法取对数的情况；三是在实证分析中引入货币供应量、外汇储备和外国利率三个.指标,使分析结果更全面、更具说服力；四是引入门限协整的方法。证实了利率、汇率间的非线性协整关系。本文也存在许多不足之处,一是本文选取的是利率、汇率名义指标,可能在对经济实质的把握上有失偏颇；二是在利率—汇率联动机制的实证中,还有诸如通货膨胀率、国内生产总值等重要因素未加入到模型中；三是政策措施的相关建议不够全面与深入。
[Abstract]:In the open economic environment, the efficient operation of the interest rate market and exchange market is a comprehensive reflection of a country's economic development and the efficiency of resource allocation. The interest rate, the exchange rate as the two forms of currency prices, mutual connection, mutual influence, is the national implementation of macroeconomic regulation and control, safeguard economic security, an important policy tool to maintain financial stability the interest rate policy is based. The internal economic equilibrium, the exchange rate policy is the key to realizing the external economic equilibrium. The interest rate, exchange rate between the existing state for regulating function of the interest rate policy and exchange rate policy, has a decisive role play fully the role of coordination and execution efficiency, to promote the economy to achieve internal and external balance has important effect. Along with the financial liberalization and export-oriented economy increase, the circles of theory and practice to promote the interest rate market of our country, establishing the flexible exchange rate formation mechanism have been reached Become a consensus, but the understanding of the correlation between them is not enough, the study also is not deep enough, but the real crisis is hidden. Therefore, how to avoid the impact of interest rate and exchange rate linkage mechanism of domestic economy, the RMB interest rate and exchange rate linkage mechanism research and its practical effect, to build a sound, stable and efficient. The interest rate, exchange rate market operation mechanism, has important practical significance to promote the reform of China's financial market.
This paper argues that the interest rate and exchange rate as an important economic lever, it plays an important role in the macroeconomic and microeconomic operation. Therefore, the research of the relationship between the two to determine China's macroeconomic situation and forecast of China's macro economy has very important significance. Mainly in the following aspects: first, the linkage between interest rate and exchange rate not only affects the transmission efficiency of China's macroeconomic policies, but also affect the central bank to formulate monetary policy coordination of the internal and external balance; secondly, the interest rate and exchange rate in the capital market impact on the price of capital have played an important role, analyze and grasp the linkage between interest rate and exchange rate, the investors to avoid investment risk, is of great significance to get a stable income; finally, the linkage between interest rate and exchange rate will also affect the real economy operation. In addition, research The relationship between interest rate and exchange rate also has a strong theoretical significance. On the one hand, the interest rate and exchange rate as an important variable of monetary policy, plays an important role in the monetary policy transmission process, to explore the linkage between interest rate and exchange rate has an important guiding significance to achieve balanced international monetary policy in China in the other. On the one hand, the interest rate, an empirical study on the relationship between exchange rate and interest rate parity theory can be verified, the classical theory of purchasing power parity theory and its application in China.
In view of the actual situation, China's market-oriented reform of interest rate parity, international payments and other traditional models and theories in limited applicability in China, resulting in the study of the RMB interest rate, exchange rate, it is necessary to consider the influence of the general theory, but also take into account the special national conditions of China's economic transition. Therefore, this paper follows from theory to practice and research of theory and practice, using standard analytical methods and empirical research: analysis of the classical theory model and the traditional theory of interest rate and exchange rate linkage mechanism based on multi angle, combined with the implementation of China's economic operation of policy measures and interest rates, real exchange rate relationship between performance, through empirical testing analysis of the interest rate, the relationship between exchange rate and other variables, is proposed to enhance the vision effect of exchange rate linkage mechanism of interest rate in our country.
The writing architecture of this article is composed of five chapters:
The first chapter is the introduction. It introduces the background and significance of this topic, the research status at home and abroad, the research methods and writing framework, and the innovation and shortcomings of this paper.
The second chapter is the analysis of factor analysis and the effect of interest rate and exchange rate linkage theory. In the theoretical analysis, from the theory of interest rate parity, international balance, monetary model, portfolio analysis method, analyze the Mundell Fleming model and Mackinnon Ono Ken model in six aspects, to explore the relationship between RMB interest rate and exchange rate in the multi frame. Analysis of the impact factors, the first is the impact of the policy and system of exchange rate of interest rate factors, policy factors in introduces the RMB interest rate, exchange rate policy reform process, China's interest rate and exchange rate policy conflicts and influence interest rate and exchange rate linkage system factors; the second is the market factors, including interest rates two, the market failure factors of the exchange rate transmission mechanism. Finally, other factors, including the rational expectations, full information and market stability factors and political factors.
The third chapter is the empirical analysis of RMB interest rate and exchange rate linkage mechanism is mainly based on VAR model, cointegration test, impulse response function, variance decomposition method, threshold cointegration and vector error correction model and econometric analysis, the RMB interest rate, the relationship between different exchange rate.
The fourth chapter is to improve the policy and measures of RMB interest rate and exchange rate linkage mechanism. Aiming at the current situation and empirical results of China's interest rate and exchange rate linkage, we put forward policy recommendations to improve RMB interest rate exchange linkage mechanism.
The fifth chapter is the conclusion, mainly to summarize the main points of this article, and point out the existing problems, the future research direction and so on.
This research has four points: one is to pay attention to the combination of theory and practice. This paper not only on the basis of related theory analysis more closely to the interest rate and the exchange rate transmission mechanism, combining with each theory to classify the features and classify system of relevant theories; two is the interest rate in the empirical analysis of the index selection in the nominal exchange rate. The index, to avoid the influence of human factors and statistical time series cannot be negative logarithmic; three is introduced in the empirical analysis of money supply, foreign exchange reserves and foreign interest rates. Three indicators, make the results more comprehensive, more persuasive; four is to introduce the method of threshold cointegration the whole. That interest rates, nonlinear cointegration between the exchange rate.
This paper also has many deficiencies, one is the nominal exchange rate is the interest rate, index, may be in the economic substance of the grasp on the biased; two is in the positive interest rate and exchange rate linkage mechanism, as well as the rate of inflation, the important factors such as gross domestic product was added to the model; three relevant recommendations policy measures is not comprehensive and in-depth.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6

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