我国利率平价偏离值的实证分析

发布时间：2018-05-28 18:21

本文选题：汇率 + 利率　；参考：《学术交流》2011年05期

【摘要】：随着我国经济体制改革的深入,汇率与利率之间的联动效应引起人们的广泛关注。但由于我国现阶段汇率、利率没有完全市场化和资本自由流动的有限性,利率平价理论的基本假设不能充分满足,因此,利率平价理论在我国应用时必须进行修正,即在利率平价方程的右侧加上摩擦系数。通过对摩擦系数值的研究发现,修正的利率平价模型中,摩擦系数值就是利率平价偏离值,对利率平价偏离值的考察就是对摩擦系数的大小、变化规律的考察。结合1981年到2008年中美汇率、利率每日数据,从图示法、统计学、计量经济学三个方面对利率平价理论在我国的偏离值序列的研究得出:我国利率平价偏离值整体上有缩小的趋势,利率平价偏离值的持续性缩小潜藏着套利风险,外汇市场潜在的套利和投机风险会越来越大。
[Abstract]:With the deepening of China's economic system reform, the linkage effect between exchange rate and interest rate has attracted wide attention. However, since the exchange rate in our country is not completely market-oriented and the free flow of capital is limited at present, the basic hypothesis of interest rate parity theory cannot be fully satisfied. Therefore, the interest rate parity theory must be revised when it is applied in our country. The friction coefficient is added to the right side of the interest rate parity equation. Through the study of the friction coefficient value, it is found that the friction coefficient value is the interest rate parity deviation value in the modified interest rate parity model, and the investigation of the interest rate parity deviation value is the investigation of the friction coefficient and the law of variation. From 1981 to 2008, the exchange rate, interest rate daily data, from the graphic method, statistics, Three aspects of econometrics on the theory of interest rate parity in China, the study of the series of deviations: China's interest rate parity deviation on the whole has a tendency to shrink, the sustained reduction of interest rate parity deviation value hidden arbitrage risk. The potential arbitrage and speculative risks in the foreign exchange market will increase.
【作者单位】：哈尔滨工业大学人文学院;
【分类号】：F832.6

【共引文献】