次贷危机前后中美利率联动机制的实证研究

发布时间：2018-06-26 02:23

本文选题：利率政策 + 溢出效应　；参考：《国际金融研究》2010年09期

【摘要】：经济全球化使得一国经济与世界经济变动的关联度越来越大,国际间利率传导呈现不断增强的趋势。本文采用多元非对称VAR-MVGARCH(1,1,1)-ABEKK模型实证研究了次贷危机前后中美两国利率的联动机制。结果表明,中美利率之间存在显著的波动溢出效应;美国利率上升或下降对中国利率波动性以及中美利率协动性的影响具有非对称效应;危机以后中美利率联动进一步加大,这也从侧面体现出危机后国际货币政策协调性的增强。据此,本文认为,我国应当进一步完善人民币汇率形成机制,增强利率调控的独立性;同时积极促进国际间货币政策合作,在中美利率协调中争取更多的话语权与主动性,尽量减少美国利率变动带来的的负面冲击和不确定性,维护国家经济利益。
[Abstract]:Economic globalization makes a country's economy more and more related to the changes of the world economy, and the international interest rate transmission shows an increasing trend. This paper empirically studies the linkage mechanism of interest rates between China and the United States before and after the sub-prime mortgage crisis by using the multivariate asymmetric VAR-MVGARCH (1) -ABEKK model. The results show that there are significant volatility spillover effects between Chinese and American interest rates, asymmetric effects on interest rate volatility and interest rate synergism between China and the United States when interest rates rise or fall in the United States, and further increase of interest rate linkage between China and the United States after the crisis. This also reflects the strengthening of the coordination of international monetary policy after the crisis. Based on this, this paper argues that China should further improve the RMB exchange rate formation mechanism, enhance the independence of interest rate control, actively promote international monetary policy cooperation, and strive for more voice and initiative in the interest rate coordination between China and the United States. To minimize the negative impact and uncertainty caused by interest rate changes in the United States, and to safeguard the national economic interests.
【作者单位】：西安交通大学经济与金融学院金融系;西安交通大学经济与金融学院;
【分类号】：F821

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