现阶段我国人民币利率—汇率联动机制的实证研究

发布时间：2018-05-05 08:31

本文选题：利率 + 汇率　；参考：《复旦大学》2013年硕士论文

【摘要】：利率是一国货币在本国货币市场的价格体现,汇率是本国货币在外汇市场上的价格体现。这两个变量均可做为表现一个国家宏观经济运行状态的核心金融指标,对于判断资源是否进行有效配置、观测投资活动的实际收益情况、调整内部和外部经济均衡都有着相当重要的作用。二者都是央行实行政策干预的有效手段,也都是维护经济稳定以及金融安全的重要工具。长期以来,由于国内对经济发展的认识过多的停留在国内生产总值的高速增长之上,使得政府对贸易顺差和招商引资的看重程度都很高,引发了长期的“双顺差”。同时,加入WTO后的中国不可能再长期处于资本流动严格管制的保护之下,由于一直以来采取的强制结售汇制度和为了维护出口贸易免受冲击而维持汇率的稳定的央行冲销操作,使得国内面临着较大的物价上涨压力,央行货币政策的独立性受到了牵制。为此,我国加快了汇率改革和利率改革的步伐,以期用市场的敏感性和主动性来逐步代替政府的权威,实现本来难以同时实现的内部均衡和外部均衡。在这个过程中,关注汇率-利率联动作用是较为重要的一环。汇率-利率的联动性从某种程度上说代表了政策与市场相互影响的传导机制的顺畅程度,联动作用越明显,商品、货币、外汇等市场割裂的程度就越轻,也意味着市场有较大的可能自行从偏离均衡的位置回归,从而可以使得政府的有形的手从调节繁杂的一系列中间目标中解脱出来,避免了政策指向不明确造成的效率低下。本文试图从经典的汇率决定理论入手,分析距今较为接近的、较有代表意义的2005年汇改前后,汇率-利率联动作用所发生的变化,从而可以判断目前汇率、利率改革的程度和力度,为进一步的改革提出有意义的建议和意见。改革始终是面临着风险的,不改革也难以保证没有风险。面对着可能引发的风险,吸取其他国象在汇率改革和利率改革中的成功经验与失败教训就显得尤为重要。本文挑选了一些在汇率改革或利率改革过程中较有代表性的国家或地区,对其成功与失败原因进行剖析,找出对我国的汇率改革和利率改革可以起到借鉴作用的因素。最后,对于对正在进行中的汇率改革和利率改革,本文从汇率、资本流动、利率、实体经济4个方面提出相应的政策性意见。总之,既要积极推进汇率和利率制度改革,使汇率-利率联动性的提高为我国经济发展起到积极的作用,同时也要防范采用错误的方法或不合国情的做法可能会带来的各种风险。
[Abstract]:Interest rate is the price of a country's currency in the domestic currency market, and the exchange rate is the price of a country's currency in the foreign exchange market. These two variables can be used as the core financial indicators to represent the state of a country's macroeconomic operation. They can be used to determine whether resources are effectively allocated and to observe the actual returns of investment activities. Adjustment of internal and external economic balance has a rather important role. Both are effective means for the central bank to carry out policy intervention, as well as important tools for maintaining economic stability and financial security. For a long time, the recognition of economic development in China has stayed on the high speed of GDP growth, which makes the government attach great importance to the trade surplus and attracting investment, which leads to the long-term "double surplus". At the same time, after China's entry into the WTO, it is unlikely that China will be under the protection of strict controls on capital flows for a long time, thanks to the system of compulsory foreign exchange settlement and sale and the central bank's sterilisation operations that maintain the stability of the exchange rate in order to maintain export trade against shocks. Make domestic face bigger price rise pressure, the independence of central bank monetary policy is restrained. Therefore, China has quickened the pace of exchange rate reform and interest rate reform in order to gradually replace the authority of the government with the market sensitivity and initiative, and to realize the internal and external equilibrium which is difficult to realize simultaneously. In this process, it is more important to pay attention to the exchange rate-interest rate linkage. To some extent, the linkage of exchange-interest rates represents the smoothness of the transmission mechanism of the interaction between policies and markets. The more obvious the linkage is, the less fragmented markets are, such as commodities, currencies, foreign exchange, etc. It also means that the market is more likely to return from deviation from the equilibrium position, thus freeing the tangible hand of the government from a series of intermediate goals of adjustment, thus avoiding inefficiencies caused by unclear policy direction. Based on the classical exchange rate determination theory, this paper attempts to analyze the changes of the exchange-interest rate linkage before and after the exchange rate reform in 2005, which is relatively close and more representative, so as to judge the current exchange rate. The degree and intensity of interest rate reform, and put forward meaningful suggestions and suggestions for further reform. Reform is always facing risks, and it is difficult to guarantee that there is no risk without reform. In the face of possible risks, it is particularly important to learn from the successes and failures of other countries in exchange rate reform and interest rate reform. This paper selects some representative countries or regions in the process of exchange rate reform or interest rate reform, analyzes the reasons for its success and failure, and finds out the factors that can be used for reference in China's exchange rate reform and interest rate reform. Finally, for the reform of exchange rate and interest rate, this paper puts forward some policy suggestions from four aspects: exchange rate, capital flow, interest rate and real economy. In short, it is necessary to actively promote the reform of the exchange rate and interest rate system so that the increase of the exchange-interest rate linkage will play a positive role in the economic development of our country. There is also a need to guard against the risks of using the wrong or inappropriate approach.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6

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