人民币汇率与利率的区域转换特征研究

发布时间：2018-05-03 09:58

本文选题：人民币实际汇率 + 实际利率差　；参考：《厦门大学》2014年硕士论文

【摘要】：近年来汇率改革重启,利率市场化又加快了步伐,汇率与利率的关系再次成为了研究的热点问题。虽然国内有不少学者对人民币兑美元汇率和利率相关关系进行过研究,但把人民币汇率和利率的波动特征与汇率改革及利率政策变革联系起来的研究则很少,即使有也都集中在2005年汇率改革对利率影响的讨论上。而2010年汇率改革和2013利率改革是否会引起汇率与利率波动特征的变化?是否会对汇率与利率的相关关系产生影响?这些问题都是研究的空白区域。本文以人民币兑美元汇率和利率的区制转换特征为主要研究对象,将定性分析与定量分析相结合,首先分析了汇率与利率政策变革历程中人民币兑美元汇率和利率的波动趋势；其次运用趋势图和滚动窗口对实际汇率变动与利率差进行描述性分析,发现实际汇率变动与实际利率差的均值和波动均显示出两种不同的区制特征,且低均值与高波动同期出现的概率很高；再次本文根据两个变量的区制特征选择了两状态(低波动高均值和高波动低均值)的马尔科夫区制转换向量自回归(MS-VAR)模型,将1994年1月至2013年12月分为六个时间段,分别对人民币实际汇率与实际利率差的区制转换特征进行定量分析。实证结果发现：(1)人民币实际汇率变动和实际利率差的波动可明显分为高波动和低波动两个区制：处在高波动区的主要有第一阶段(1994年1月-1996年初)、第四阶段(2005年7月-2008年上半年)和第六阶段(2010年至今),都属于浮动汇率制度时期；而处于低波动区的第二阶段(1996年-1998年)和第五阶段(2008年下半年-2010年上半年)则对应暂停浮动汇率制度时期；(2)利率弹性的扩大会对实际汇率变动和实际利率差的波动产生短暂的冲击影响；(3)人民币实际汇率变动和实际利率差的水平不受汇率和利率政策区制变动的影响；(4)高波动区制的持续期仅为低波动区制持续期的0.56倍,且高波动区制主要集中在2005年汇率改革之后；(5)实际汇率变动与实际利率差存在负相关关系；(6)高波动区制中,人民币汇率和利率的关系更符合粘性价格货币理论,侧面说明浮动汇率和利率制度下,粘性价格理论对汇率与利率关系解释能力更强。最后本文针对外汇改革和利率改革,提出了发展金融衍生品市场、建立存款保险制度、培育有效货币市场、健全资本市场退出机制等政策建议。
[Abstract]:In recent years, the exchange rate reform restarts, the interest rate marketization speeds up the step again, the relation between the exchange rate and the interest rate has once again become the hot topic of the research. Although many domestic scholars have studied the relationship between RMB exchange rate and interest rate, but few studies have linked the fluctuation characteristics of RMB exchange rate and interest rate with exchange rate reform and interest rate policy reform. If any, it has focused on the impact of exchange rate reform on interest rates in 2005. However, will the exchange rate reform and the 2013 interest rate reform cause changes in the characteristics of exchange rate and interest rate volatility? Will it have an impact on the relationship between exchange rates and interest rates? These questions are blank areas of study. In this paper, the characteristics of RMB / US dollar exchange rate and interest rate conversion are taken as the main research object. The qualitative analysis and quantitative analysis are combined. Firstly, the fluctuation trend of RMB / US dollar exchange rate and interest rate in the course of exchange rate and interest rate policy reform is analyzed. Secondly, using the trend chart and the rolling window to describe the real exchange rate change and the interest rate difference, it is found that the mean value and fluctuation of the real exchange rate change and the actual interest rate difference show two different regional characteristics. Moreover, the probability between low mean and high volatility is very high. Thirdly, according to the characteristics of region system of two variables, we choose the Markov region transform vector autoregressive (MS-VARR) model with two states (low volatility, high mean and high volatility, low mean). This paper divides January 1994 to December 2013 into six periods, and makes quantitative analysis of the regional system conversion characteristics between the real exchange rate of RMB and the real interest rate difference. The empirical results show that the fluctuation of RMB real exchange rate and real interest rate difference can be divided into two zones: high volatility and low volatility: the first stage is in the high volatility zone (January 1994-early 1996, the fourth stage (2005). July-the first half of 2008) and the sixth phase (2010 to date) belong to the floating exchange rate regime period; The second (1996-1998) and fifth (second half of 2008-first half of 2010) phases in the low volatility zone correspond to the wave of interest rate elasticity in the period of suspension of the floating exchange rate regime, which will affect real exchange rate movements and real interest rate differentials. The level of the real exchange rate and the real interest rate difference are not affected by the changes in the exchange rate and the interest rate policy zone system. 4) the duration of the high-volatility zone system is only 0.56 times that of the low-volatility zone system. Moreover, the high volatility zone system is mainly concentrated after the exchange rate reform in 2005. (5) there is a negative correlation between the real exchange rate change and the real interest rate difference. (6) in the high volatility zone system, the relationship between the RMB exchange rate and the interest rate is more in line with the viscous price currency theory. It shows that the viscous price theory is more powerful in explaining the relationship between exchange rate and interest rate under floating exchange rate and interest rate system. Finally, this paper puts forward some policy suggestions on the development of financial derivatives market, the establishment of deposit insurance system, the cultivation of effective money market, and the perfection of capital market exit mechanism in the light of foreign exchange reform and interest rate reform.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F832.51

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