解析澳、美利率平价失衡对中国的启示

发布时间：2018-01-02 11:53

  本文关键词：解析澳、美利率平价失衡对中国的启示　出处：《国际金融研究》2010年09期 　论文类型：期刊论文

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【摘要】：本文以澳元和美元短期存款市场为例,采用TARCH-M模型探讨非抛补利率平价偏离项产生的主要原因,并进一步剖析相关因素对偏离项的解释力度、动态变化及其影响弹性如何。实证表明,在其它条件既定的情况下,风险溢价因素不仅成为引致非抛补利率平价偏离项存在的主动因,而且其随着外部波动的加剧以及利率期限结构的延长带来的边际弹性要大于投资者对"坏消息"过度反应的边际弹性。同时,回归中国利率和汇率两个市场现状,以发达国家的实证经验为鉴,深入探讨其对中国金融市场的启示,以期更好地完善中国汇率、利率互动机制,促进经济在国际市场上向均衡状态收敛。
[Abstract]:Taking the short term deposit market of Australian dollar and US dollar as an example, this paper uses TARCH-M model to explore the main reasons for the deviation of non-supplementary interest rate parity, and further analyzes the explanation of the deviation term by related factors. The empirical results show that the risk premium factor is not only the active factor that leads to the deviation of non-supplementary interest rate parity in the case of other conditions. Moreover, with the aggravation of external volatility and the extension of the term structure of interest rate, the marginal elasticity is greater than that of investors' overreaction to "bad news". At the same time. Return to the current situation of interest rate and exchange rate in China, take the empirical experience of developed countries as a lesson, deeply discuss its inspiration to Chinese financial market, in order to better improve the interaction mechanism of exchange rate and interest rate in China. To promote the convergence of the economy towards equilibrium on the international market.
【作者单位】： 山东大学国际贸易研究所;山东大学经济学院;
【分类号】：F821
【正文快照】： 问题的提出开放经济环境下,利率和汇率是调节宏观经济,维护国家经济安全和稳定的关键因素。特别在中国渐进走向开放的金融运行机制的过程中,这两大重要政策工具引导资源合理配置的杠杆作用也日益明显。因此,对二者联动机制的深入研究,增强利率平价理论调节宏观经济运行的功能，

本文编号：1369093