利率平价理论在中国的实现形式

发布时间：2018-02-14 23:10

本文关键词： 利率平价人民币升值压力外汇储备　出处：《金融研究》2012年07期 　论文类型：期刊论文

【摘要】：利率平价理论是最重要的汇率决定理论之一。但在我国,人民币汇率经常偏离利率平价所描述的均衡状态,而这种偏离程度可以用来衡量人民币所面临的升值或贬值压力。为此,本文基于利率平价理论构建了人民币升值压力指标P,并对人民币升值压力与人民币即期汇率、我国外汇储备变动之间的关系进行了实证研究。结果显示:人民币升值压力不能显著地解释人民币即期汇率的变动,但可以在一定程度上预测和解释我国外汇储备的变化。这表明,利率平价在我国不是以汇率自由浮动的形式表现,而是以外汇储备积累速度的变化来体现。同时,由于中外利差变动对我国外汇供应产生影响,表明我国资本账户已处于事实上的准开放状态。
[Abstract]:The theory of interest rate parity is one of the most important exchange rate determination theories, but in our country, the RMB exchange rate often deviates from the equilibrium state described by the interest rate parity. The degree of deviation can be used to measure the pressure of appreciation or depreciation of RMB. Therefore, based on the theory of interest rate parity, this paper constructs the index of appreciation pressure of RMB, and the pressure of appreciation of RMB and the spot exchange rate of RMB. An empirical study on the relationship between the changes in China's foreign exchange reserves has been carried out. The results show that the appreciation pressure of the RMB cannot explain the change of the spot exchange rate of the RMB significantly. But to some extent, we can predict and explain the change of China's foreign exchange reserve, which shows that interest rate parity is not expressed in the form of free floating exchange rate in China, but in the form of the change in the rate of accumulation of foreign exchange reserves. At the same time, Because of the influence of the change of interest rate between China and foreign countries on China's foreign exchange supply, the capital account of our country has been in a de facto quasi-open state.
【作者单位】：中国人民银行;
【分类号】：F832.6

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