金融危机背景下人民币汇率制度改革对我国利率期限结构影响的研究

发布时间：2018-04-25 20:10

本文选题：人民币汇率制度改革 + 利率期限结构　；参考：《中国海洋大学》2015年硕士论文

【摘要】：自从金融危机爆发以来,中国人民银行先后三次宣布扩大人民币汇率的波动幅度,这体现出我国目前处在完善人民币汇率形成机制的快车道上,这是人民币汇率改革政策出台最为密集的一个阶段。与此同时,我国利率市场化改革也取得了显著的成效。我国利率体系由上世纪八九十年代行政干预色彩浓厚的发展模式,逐渐演变为当前以SHIBOR为基础、货币市场和资本市场两翼齐飞的发展模式。利率在国家宏观经济发展中对资金配置起着关键性的指导意义,对国家宏观经济的重要性不可替代。当前面对国际经济形势仍不容乐观、国内经济“新常态”的结构性调整,直接研究人民币汇率制度改革与利率期限结构的联系有助于政府部门在制定相应政策时充分考虑国内经济与对外经济的相互影响,确保经济平稳转型,更好地实现中国经济“新常态”。因此,在金融危机这一背景下,进行人民币汇率制度改革与我国利率期限结构的相关研究具有重要意义。本文从汇率制度改革与利率期限结构的基础理论出发,依次梳理了我国汇率制度的历史变迁历程,阐明了我国现行汇率制度安排,评估了金融危机爆发以来我国利率期限结构状况,然后对于人民币汇率制度改革对我国利率期限结构的影响效应进行了实证分析。并进一步把后者分解为长期、短期与中期等三个因子,研究了人民币汇率制度改革对三者的影响差异。首先,概述了人民币汇率制度现状,总结了人民币汇率制度改革进程；然后,使用HP方法测度了与人民币汇率制度改革相关的汇率波动指数等相关指标。其次,介绍了利率期限结构的有关理论基础,并根据预期均衡理论,从理论上详细分析了人民币汇率制度改革与我国利率期限结构之问的多重效应。对利率期限结构进行概念界定并引入衡量指标,以Nelson-Siegel模型为基础得到国债利率期限结构的水平因子、倾斜度和曲率因子。第三,在马尔科夫区制转换向量自回归模型的基础上,区制转换检验说明,从区制1转入区制2后,国债收益率曲线总体性先平行下降,而收益率曲线也由于倾斜度和曲率因子的变动先变得更为平坦.这和之前的单参数时间序列的研究结论是一致的。而在多参数MS-VAR模型中,人民币汇率波动指标使用的是其原始时间序列,其常数项参数的改变显示了人民币汇率的波动改变情况实质上是在增大的。而脉冲响应分析则表明,人民币汇率与利率期限结构之间在汇率改革环境下存在非对称的两种长期动态均衡关系的状态的特征表现为不稳定的汇率制度环境下,受到冲击时反应强烈却延续时间更短；而稳定的汇率制度环境下,反应较小但延续时间长且显著。最后,进行蒙特卡洛模拟,分析人民币汇率制度改革对我国利率期限结构的长期、中期和短期影响的差异。在汇率制度稳定的区制1下,人民币汇率波动率对于长期、短期和中期的影响为正,这印证了传统的利率平价理论。而在汇率制度改革,汇率波动剧烈,不利于国内利率期限结构稳定的区制2下,人民币汇率波动率对于利率期限结构的影响均为负,这与传统理论的预测有所不同,证明了远期溢价异常情况的存在。论文主要在以下几个方面进行了创新性探讨：第一,以金融危机背景下人民币汇率波幅扩大等重大事件为时间节点,梳理了金融危机爆发以来人民币汇率制度改革的历程,并构建了汇率波动指数来定量描述人民币汇率波动状况。第二,从理论上分析了人民币汇率制度改革与我国利率期限结构之间的多重效应,并结合相关数据进行了实证分析,在此基础上进一步将我国利率期限结构区分为长期、中期和短期三个因子,并比较了对三者影响的差异性。
[Abstract]:Since the outbreak of the financial crisis, the people's Bank of China has announced three times to expand the volatility of the RMB exchange rate, which shows that China is currently in the fast lane to improve the RMB exchange rate formation mechanism. This is the most intensive stage of the reform of the RMB exchange rate policy. At the same time, the reform of China's interest rate marketization has also been achieved. The interest rate system, which is based on the strong color of administrative intervention in 80s and 90s of last century, has gradually evolved into a development model based on SHIBOR, the two wings of the money market and the capital market. The interest rate plays a key guiding significance to the allocation of funds in the national macro-economic development. In the face of the international economic situation, the current situation of the international economy is still not optimistic. The structural adjustment of the "new normal" of the domestic economy and the direct study of the relationship between the reform of the RMB exchange rate system and the term structure of the interest rate will help the government department to fully consider the mutual influence of the internal economy and the foreign economy in the formulation of the corresponding policies, and ensure that the government should make sure that the economic and economic relations between the country and the foreign economy are fully considered. In the context of the financial crisis, it is of great significance to study the relationship between the reform of the RMB exchange rate system and the term structure of our interest rate. This paper, starting with the basic theory of the reform of the exchange rate system and the term structure of interest rate, has combed the exchange rate system in China in turn. The course of historical change illustrates the current arrangement of the exchange rate system in China, evaluates the state of the term structure of interest rate in China since the outbreak of the financial crisis, and then makes an empirical analysis of the effect of the reform of the RMB exchange rate system on the term structure of the interest rate in China, and further decomposes the latter into three factors, such as long term, short term and medium term, and so on. The difference in the influence of the RMB exchange rate system reform on the three parties is investigated. First, the current situation of the RMB exchange rate system is summarized, and the reform process of the RMB exchange rate system is summarized. Then, the relative indexes of the exchange rate fluctuation index related to the reform of the RMB exchange rate system are measured by the HP method. Secondly, the relevant theories of the term structure of the interest rate are introduced. On the basis of the expected equilibrium theory, the multiple effects of the RMB exchange rate system reform and the interest rate term structure in China are analyzed in detail. The term structure of the interest rate is defined and the measure index is introduced. The level factor of the term structure of the national debt interest rate, the inclination and the curvature cause are obtained on the basis of the Nelson-Siegel model. Third, on the basis of the transformation vector autoregressive model of the Markoff region system, the region system conversion test shows that the total of the yield curve of the national debt is first parallel down, and the yield curve becomes even more flat since the change of the slope and curvature factor. This and the previous single parameter time series study The conclusion is consistent. In the multi parameter MS-VAR model, the RMB exchange rate fluctuation index uses its original time series. The change of its constant parameter shows that the fluctuation of the RMB exchange rate is substantially increasing. And the impulse response analysis shows that the exchange rate reform ring between the RMB exchange rate and the interest rate term structure is in the exchange rate reform ring. Under the environment of unstable exchange rate system, the characteristics of the state of asymmetric two long-term dynamic equilibrium relationships are characterized by intense reaction and shorter duration, while the stable exchange rate regime has a smaller response but longer duration and significant. Finally, the Monte Carlo simulation is carried out to analyze the exchange rate system of the RMB. The influence of the reform on the long-term, medium-term and short-term interest rate structure of our country is different. Under the stability of the exchange rate system, the effect of the RMB exchange rate volatility on the long-term, short-term and medium-term is positive, which confirms the traditional theory of interest rate parity. In the reform of the exchange rate system, the exchange rate fluctuates violently, which is not conducive to the stability of the domestic interest rate. Under the fixed area system 2, the exchange rate of RMB exchange rate has negative influence on the term structure of interest rate, which is different from the traditional theory, and proves the existence of the abnormal rate of the forward premium. The thesis is mainly discussed in the following aspects: first, the enlargement of the RMB exchange rate under the background of the financial crisis is an important event. As a time node, it combs the course of the reform of the RMB exchange rate system since the outbreak of the financial crisis, and constructs the exchange rate fluctuation index to quantitatively describe the fluctuation of the RMB exchange rate. Second, the multiple effects of the RMB exchange rate system reform and the term structure of the interest rate of our country are analyzed theoretically, and the relevant data are carried out in the light of the relevant data. Based on the evidence analysis, we further divide the term structure of interest rates into three factors in the long term, the medium term and the short term, and compare the differences between the three factors.

【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.6

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