人民币汇率对利率影响的机制研究

发布时间：2018-05-09 06:53

本文选题：人民币汇率 + 利率　；参考：《西南大学》2017年硕士论文

【摘要】：汇率与利率的关系一直是学者们关注的热点。汇率与利率并不是俩个完全独立的变量,其关系还受到进出口额、外汇储备等其他经济变量的影响,由于汇率对利率以及利率对汇率的传导渠道多样性,这必然构成了一个复杂的动态反馈系统。迄今为止,国内利率与汇率的影响机制的研究多集中在2010年之前,对于2010年汇改之后的汇率与利率关系的研究相对较少,且许多文献都倾向于研究利率对汇率的传导机制,认为汇率对利率的传导渠道不完全。本文就2006年到2016年期间的人民币汇率与利率的关系以及人民币汇率对利率影响机制进行研究分析,并提出相关的政策建议。首先,本文对利率与汇率关系的相关文献进行梳理,借鉴利率平价学说、麦金农大野建一的理论模型分析利率与汇率的关系,并采用动态建模思想,在进行平稳性检验和协整检验的基础上,通过建立向量自回归模(VAR)验证两者的互动关系,并对人民币名义汇率与利率的短期动态关系进行论证。同时,通过中介效应的实证检验方法来具体探讨汇率对利率的影响机制。本文研究结果显示,在我国目前市场体制下人民币名义有效汇率与名义利率的互动关系并非完全被割断,且并未形成完全有效的影响机制。具体结论:(1)人民币名义有效汇率与名义利率存在着较弱的负向长期均衡关系,二者的互动关系需要经过较长的时滞才能反映出来。通过ADF检验,名义有效汇率和利率等变量都是一阶单整序列,各变量可以进行协整检验,由Johensen协整检验得出二者之间存在着长期均衡关系。由LNNEER的VEC模型可以看出:名义利率、进出口、外汇储备三个变量滞后一期的变化量对于当期名义有效汇率为负向影响,滞后二期的变化量对于当期名义有效汇率是正向影响。即外商直接投资、名义利率、进出口、外汇储备滞后一期反映了负向修正机制。而名义利率、进出口、外汇储备滞后二期反映了正向修正机制。由LNNR的VEC模型可知:第一,滞后1期的名义利率对其自身的当期水平有负向的影响,滞后2期的名义利率对其自身有正向的影响;第二,滞后1期、滞后2期的名义有效汇率对名义利率有负向的影响。(2)人民币名义有效汇率对于名义利率的影响远大于名义利率对于民币名义有效汇率的影响。通过格兰杰因果关系检验得出:第一,外汇储备与名义利率在95%的置信水平下具有单向的Granger因果关系,即外汇储备是名义利率的Granger原因,而名义利率不是外汇储备的原因;第二,进出口是名义利率的原因。第三,人民币名义有效汇率是名义利率的原因。(3)汇率对利率并未形成完全有效的影响机制:关于物价渠道——出口商品价格,汇率变动通过该渠道传导至利率的过程中产生了削弱作用;关于物价渠道——进口商品价格,汇率与进口商品价格显著负相关,与理论分析相违背,说明了外汇波动对进口商品价格的传导渠道不通畅;对于短期资本渠道,汇率与央行的外汇储备正相关,外汇储备对利率具有负向关系,汇率变动通过外汇储备传导至利率的渠道相对来说比较畅通。基于目前汇率与利率较弱的联动关系以及尚未形成完全有效的传导机制做出以下几点建议:(1)改进人民币汇率形成机制,推进汇率市场化改革;(2)利率市场化改革基本完成,但仍需要继续关注成效并做出调整。央行应进一步理顺从央行政策利率到各类市场基准利率乃至实体经济的传导渠道。(3)协调利率政策和汇率政策,加强利率、汇率之间的联动效应。内部平衡的重要性要高于外部平衡,必须维持货币政策的独立性,而要提高货币政策的独立性,就必须增强汇率制度的灵活性,并且维持必要的资本账户管制。(4)正确引导市场预期,削弱信息不对称的影响,央行在进行外汇干预时,不仅要考虑干预的强度与方向,还要考虑干预措施导致的市场上俩种预期的比例变化,使用各种传媒的力量促进整个市场信息的透明度,来引导市场参与者的预期朝着目标方向变化,避免信息不对称导致的市场预期不确定从而引起汇率、利率巨大的波动。
[Abstract]:The relationship between exchange rate and interest rate has always been the focus of attention of scholars. Exchange rate and interest rate are not two completely independent variables. Their relationship is also influenced by other economic variables such as import and export volume, foreign exchange reserve and other economic variables. Because of the diversity of exchange rate on interest rate and interest rate to exchange rate, it is bound to form a complex dynamic feedback system. So far, the research on the influence mechanism of domestic interest rate and exchange rate is mostly concentrated before 2010. There are relatively few studies on the relationship between exchange rate and interest rate after 2010 remittance, and many literature tend to study the transmission mechanism of interest rate to exchange rate, and the transmission channel of exchange rate to interest rate is not complete. This article is from 2006 to 2016. The relationship between RMB exchange rate and interest rate and the influence mechanism of RMB exchange rate on interest rate are studied and analyzed, and some relevant policy suggestions are put forward. First, the relevant literature on the relationship between interest rate and exchange rate is combed, and the relationship between interest rate and exchange rate is analyzed by using the theory of interest rate parity and the theoretical model of Mckin agriculture and agriculture. On the basis of the stability test and cointegration test, the dynamic modeling idea, through the establishment of the vector autoregressive model (VAR), verifies the interaction between the two, and demonstrates the short-term dynamic relationship between the nominal exchange rate and the interest rate of the RMB. At the same time, the mechanism of the exchange rate influence on the interest rate is discussed by the empirical method of the intermediary effect. The research results show that the interaction relationship between nominal effective exchange rate and nominal interest rate of RMB is not completely cut off in China's current market system, and it does not form a completely effective influence mechanism. (1) there is a weaker negative long-term equilibrium relationship between nominal effective exchange rate and nominal interest rate of RMB, and the interaction relationship between the two parties is required. The ADF test shows that the nominal effective exchange rate and interest rate are all one order single whole sequence, and the variables can be cointegration test. The long-term equilibrium relationship exists between the two ones by Johensen cointegration test. The VEC model of LNNEER can be seen as the nominal interest rate, import and export and foreign exchange reserve. The variable amount of variable lag phase 1 has a negative impact on the nominal effective exchange rate in the current period, and the two lag phase change has a positive effect on the nominal effective exchange rate. That is, the foreign direct investment, nominal interest rate, import and export, and the lag of foreign exchange reserve reflect the negative correction mechanism. The nominal interest rate, import and export, and foreign exchange reserve lag behind the period of reflection. The VEC model of LNNR shows that: first, the nominal interest rate of lagging 1 has a negative impact on its own current level, and the nominal interest rate of lag 2 has a positive effect on its own; second, lag 1, and the nominal effective rate of lag 2 has a negative effect on the nominal rate of interest. (2) nominal effective exchange rate of RMB The influence of nominal interest rate is far greater than nominal interest rate on nominal effective exchange rate of the civil currency. Through the Grainger causality test, it is concluded that first, the foreign exchange reserve and nominal interest rate have a one-way Granger causality under the confidence level of 95%, that is, the foreign exchange reserve is the Granger cause of the nominal interest rate, while the nominal interest rate is not the foreign exchange reserve. Second, the reason for the import and export is the nominal interest rate. Third, the nominal effective exchange rate of the RMB is the reason for the nominal interest rate. (3) the exchange rate has not formed a complete and effective influence mechanism on the interest rate. Channel - import commodity price, exchange rate is negatively related to import commodity price, and contrary to theoretical analysis, it shows that the transmission channel of foreign exchange fluctuation is not smooth to import commodity price; for short term capital channel, exchange rate is positively related to foreign exchange reserve of central bank, foreign exchange reserve has negative relation to interest rate, exchange rate change through foreign exchange reserve The channels which are transmitted to the interest rate are relatively unimpeded. Based on the current linkage relationship between the exchange rate and the interest rate and the lack of complete effective transmission mechanism, the following suggestions are made: (1) improving the RMB exchange rate formation mechanism and promoting the reform of the exchange rate marketization; (2) the reform of the rate of interest rate marketization is basically completed, but still needs to continue to pay attention to it. The central bank should further straighten out the transmission channels from the central bank policy interest rate to the benchmark interest rate and the real economy. (3) coordinate the interest rate policy and exchange rate policy, strengthen the linkage between interest rate and exchange rate. The importance of the internal balance is higher than the external balance, and the independence of monetary policy must be maintained, and the improvement of the monetary policy must be improved. The independence of monetary policy must enhance the flexibility of the exchange rate system and maintain the necessary control of capital account. (4) to correctly guide market expectations and to weaken the impact of asymmetric information, the central bank should not only consider the intensity and direction of intervention, but also the expected proportion of the market caused by intervention when conducting foreign exchange intervention. Change, using the power of all kinds of media to promote the transparency of the whole market information, to guide the expectations of market participants to change in the direction of the target, to avoid the uncertainty of the market expectation caused by information asymmetry, which will cause the exchange rate and the huge fluctuation of interest rate.

【学位授予单位】：西南大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6

【参考文献】