人民币利率和汇率联动关系实证研究

发布时间：2018-07-28 15:28

【摘要】：利率是一国货币市场的重要指标,是一国最重要的货币政策工具；而汇率则是一国外汇市场上最重要的指标,影响着一国国际收支均衡。这两个指标又同时受我国中国人民银行货币政策调控,对促进我国经济内外均衡具有重要作用,同时这二者在实体经济中会通过许多途径相互传导、相互影响。凯恩斯、蒙代尔和弗莱明等许多经济学家已经通过构建利率平价模型和蒙代尔弗莱明模型等经典理论模型分析了利率和汇率二者之间的关系。从全球宏观经济同步的大背景上看,目前我国经济不断融入世界经济体系,发生在2007年的次贷危机导致许多国家经济衰退,国际贸易保护主义势力强烈批判我国的巨额经常账户顺差,而经常账户持续顺差导致我国外汇储备规模持续增加,国际上人民币汇率升值压力不断,我国货币政策独立性受到严重挑战；同时人民币单边升值的现实情况也吸引了许多国际游资进入我国无风险套利,这就导致我国资本账户一样出现顺差,造成了我国国际收支的双顺差格局。在这种全球宏观经济情况下,可以看出我国处于利率市场化改革和汇率市场化改革的关键时刻,此时研究利率和汇率二者之间的相关关系,将对指导我国利率政策和汇率政策执行和协调配合,逐步推进利率市场化改革和汇率市场化改革有着十分重要的理论意义和实际意义。本文首先阐述了利率平价理论、蒙代尔弗莱明模型、汇率超调模型等描述利率与汇率联动关系的经典理论。其次,通过经常项目、资本项目、资产转换等传导渠道来分析利率和汇率二者之间的相互传导渠道。再次,本文按照时间顺序分别介绍我国利率政策和汇率政策衍变的过程。紧接着,本文以2005年7月人民币汇率市场改革为关键点,选取了2005年7月至2012年12月共90个月的月度数据,变量包括人民币实际有效汇率、人民币7天银行同业拆借市场实际加权平均利率、广义货币供应量M2、外汇储备规模和中美实际利差。通过综合运用ADF单位根检验、EG两步法协整检验、向量自回归模型(VAR)、脉冲响应函数(IRF)和方差分解等计量方法,来研究当仅有利率、汇率两个变量和引入广义货币供应量M2、外汇储备规模和中美实际利差多变量情况下我国利率和汇率二者的相关关系,同时对计量分析的结果作出分析。最后本文根据之前分析的结果,系统的提出改善我国利率和汇率联动关系的政策建议并作出全文总结。
[Abstract]:Interest rate is an important index of a country's money market and the most important monetary policy tool of a country, while the exchange rate is the most important index in a country's foreign exchange market, which affects a country's balance of payments. These two indexes are controlled by the monetary policy of the people's Bank of China at the same time, which play an important role in promoting the internal and external equilibrium of our country's economy. At the same time, they will transmit and influence each other through many ways in the real economy. Many economists, such as Keynes, Mondale and Fleming, have analyzed the relationship between interest rate and exchange rate by constructing interest rate parity model and classical theoretical model such as Mondale Fleming model. From the background of global macroeconomic synchronization, at present, China's economy has been continuously integrated into the world economic system, which occurred in 2007 when the subprime mortgage crisis led to the economic recession in many countries. The forces of international trade protectionism strongly criticize China's huge current account surplus, which leads to a continuous increase in the scale of China's foreign exchange reserves, and the international pressure on the appreciation of the RMB exchange rate. The independence of China's monetary policy is seriously challenged, and the reality of unilateral appreciation of the RMB has also attracted many international hot money to China's risk-free arbitrage, which has led to a surplus in China's capital account. Caused our country balance of payments double surplus pattern. In this global macroeconomic situation, we can see that our country is in the key moment of interest rate marketization reform and exchange rate marketization reform. At this time, we study the correlation between interest rate and exchange rate. It will be of great theoretical and practical significance to guide the implementation and coordination of interest rate policy and exchange rate policy, and to promote the reform of interest rate marketization and exchange rate marketization step by step. In this paper, the classical theories of interest rate parity theory, Mondale Fleming model and exchange rate overshoot model are introduced to describe the relationship between interest rate and exchange rate. Secondly, the transmission channel between interest rate and exchange rate is analyzed by means of current account, capital account, asset conversion and so on. Thirdly, this paper introduces the evolution of interest rate policy and exchange rate policy in chronological order. Then, taking the reform of RMB exchange rate market in July 2005 as the key point, this paper selects the monthly data from July 2005 to December 2012 for 90 months, including the real effective exchange rate of RMB. The real weighted average interest rate in the 7-day interbank lending market, the broad money supply M2, the size of foreign exchange reserves and the real spread between China and the United States. By synthetically applying ADF unit root test / EG two-step cointegration test, vector autoregressive model (VAR), impulse response function (IRF) and variance decomposition and other metrological methods, we study when the interest rate is the only one. The relationship between interest rate and exchange rate in the case of two variables of exchange rate and the introduction of generalized money supply M _ 2, the size of foreign exchange reserves and the actual interest rate of China and the United States is analyzed. At the same time, the results of econometric analysis are analyzed. Finally, according to the results of the previous analysis, this paper systematically puts forward some policy suggestions to improve the linkage between interest rate and exchange rate, and makes a summary of the whole paper.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F822.0

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