人民币利率与汇率的关系研究

发布时间：2019-06-24 21:32

【摘要】：改革开放至今,中国的经济发生了翻天覆地的变化,世界经济的发展早已离不开中国。三十多年来,我国经济对外开放程度不断扩大,与世界各国贸易往来密切,从1978年算起,进出口总额增长了600多倍,国内生产总值(GDP)增长了约156倍,实现年均增长率15.5%,这在世界经济发展展上都是一个奇迹。中国经济的飞速发展得益于多方面的因素,其中经济制度的改革与发展为中国经济的腾飞提供了支持与保障,而“利率”与“汇率”又是经济制度中最为核心的两个因素。利率与汇率是宏观调控体系中最为重要的两个经济杠杆,二者的有效联动在控制通货膨胀、引导资源配置、实现经济内外均衡、推动经济可持续发展等方面发挥着举足轻重的作用。基于此,深入研究利率与汇率相互影响的传导机制,探讨进一步实现利率市场化和人民币国际化的路径对于我国经济的长远发展具有重大意义。本文从西方经典经济学理论出发,从“利率传导汇率”、“汇率传导利率”两个不同方向探讨利率与汇率的相互影响方式。同时,本文选取了1995年1月至2013年12月的人民币实际有效汇率(REER)和人民币利率、美元利率等变量的月度数据,应用Eviews软件建立了向量自回归模型,实证分析了人民币实际有效汇率与中美利差之间的关系。研究结果表明,利率与汇率之间具有长期稳定的均衡关系,并且利率对汇率的解释力略强于汇率对利率的解释力,但二者在短期内的联动关系并不显著,主要原因可能是人民币利率、汇率的市场化不完全,“二率”的波动没有充分反映市场意愿,所以解决利率、汇率传导不畅的最好方法是实现人民币利率市场化和人民币国际化。本文在最后就以上问题提出了政策建议：放开存贷款利率上下限管制、实现企业发债利率市场化；实现人民币资本项目下自由兑换、人民币区域化带动人民币国际化。
[Abstract]:Since the reform and opening up, China's economy has undergone earth-shaking changes, the development of the world economy has long been inseparable from China. Over the past 30 years, China's economic opening to the outside world has been expanding, and its trade with other countries has been close. Since 1978, the total amount of imports and exports has increased by more than 600 times, the gross domestic product (GDP) has increased by about 156 times, and the average annual growth rate has been 15.5 percent. This is all a miracle in the development of the world economy. The rapid development of China's economy has benefited from many factors, among which the reform and development of the economic system has provided support and protection for the take-off of the Chinese economy, and "interest rate" and "exchange rate" are the two most core factors in the economic system. Interest rate and exchange rate are the two most important economic levers in the macro-control system. The effective linkage between the two plays an important role in controlling inflation, guiding the allocation of resources, realizing the internal and external balance of the economy, and promoting the sustainable development of the economy. Based on this, it is of great significance for the long-term development of China's economy to deeply study the transmission mechanism of the interaction between interest rate and exchange rate, and to explore the way to further realize the marketization of interest rate and the internationalization of RMB. Based on the western classical economic theory, this paper discusses the interaction between interest rate and exchange rate from two different directions: "interest rate transmission exchange rate" and "exchange rate transmission interest rate". At the same time, this paper selects the monthly data of RMB real effective exchange rate (REER), RMB interest rate, dollar interest rate and other variables from January 1995 to December 2013, and establishes a vector autoregression model by using Eviews software, and empirically analyzes the relationship between the real effective exchange rate of RMB and the interest rate difference between China and the United States. The results show that there is a long-term stable equilibrium relationship between interest rate and exchange rate, and the explanatory power of interest rate to exchange rate is slightly stronger than that of exchange rate to interest rate, but the linkage relationship between them is not significant in the short term, which may be due to the incomplete marketization of RMB interest rate, the fluctuation of "second rate" does not fully reflect the market will, so the interest rate is solved. The best way to transmit the exchange rate is to realize the marketization of RMB interest rate and the internationalization of RMB. Finally, this paper puts forward some policy suggestions on the above problems: liberalizing the upper and lower limit control of deposit and loan interest rate, realizing the marketization of enterprise bond issuing interest rate, realizing the free convertibility under RMB capital account, and promoting the internationalization of RMB by regionalization of RMB.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.2;F832.6

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