汇率与利率之间交互影响的研究

发布时间：2018-05-24 16:25

本文选题：汇率 + 利率　；参考：《北京理工大学》2015年硕士论文

【摘要】：汇率是本国货币在外国汇率市场的价格表现,利率是货币在本国货币市场的价格反映。二者均为宏观经济的重要指数,同时也是政府规范市场和资源分配的重要工具。因此,研究汇率与利率之间的交互影响就十分具有理论意义与实际应用价值。本文通过两个方面进行研究,理论研究和实证分析。理论部分研究了经典理论利率平价理论、购买力平价理论和蒙代尔-弗莱明模型,讨论了利率与汇率之间的传导机制。实证分析部分主要研究美国利率与美元兑人民币汇率之间的交互影响。通过建立VAR模型和VEC模型得到了利率与汇率之间是同向变化的。通过协整检验得出利率与汇率之间存在长期稳定的关系。
[Abstract]:The exchange rate is the price performance of the local currency in the foreign exchange rate market, and the interest rate is the price reflection of the currency in the domestic currency market. Both are important indexes of macro-economy and important tools for government to regulate market and resource allocation. Therefore, the study of the interaction between exchange rate and interest rate is of great theoretical significance and practical application value. This article carries on the research through two aspects, the theory research and the demonstration analysis. In the theoretical part, the classical theory of interest rate parity, the purchasing power parity theory and the Mondal-Fleming model are studied, and the transmission mechanism between interest rate and exchange rate is discussed. The empirical analysis mainly studies the interaction between US interest rate and US dollar / RMB exchange rate. By establishing the VAR model and the VEC model, it is found that the interest rate and exchange rate change in the same direction. Cointegration test shows that there is a long-term stable relationship between interest rate and exchange rate.
【学位授予单位】：北京理工大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F831.6

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