本文選題：利率　切入點：匯率　出處：《東北財經(jīng)大學(xué)》2013年碩士論文

【摘要】：在開放經(jīng)濟環(huán)境下,利率市場和匯率市場的高效運行是一國經(jīng)濟發(fā)展?fàn)顩r及資源配置效率的綜合反映。利率、匯率作為貨幣價格的兩種表現(xiàn)形式,相互聯(lián)系、相互影響,是國家實現(xiàn)宏觀調(diào)控、保障經(jīng)濟安全、維護(hù)金融穩(wěn)定的重要政策手段。利率政策是實現(xiàn)內(nèi)部經(jīng)濟均衡的基礎(chǔ),匯率政策是實現(xiàn)外部經(jīng)濟均衡的關(guān)鍵。利率、匯率間關(guān)系的存在狀態(tài)對于利率政策和匯率政策的調(diào)節(jié)功能、協(xié)調(diào)作用和執(zhí)行效率的充分發(fā)揮有著決定性作用,對推動經(jīng)濟實現(xiàn)內(nèi)外均衡也有著重要影響。隨著金融開放與經(jīng)濟外向度的提高,理論界和實務(wù)界對于我國推進(jìn)利率市場化,建立富有彈性的匯率形成機制均已達(dá)成共識,但對兩者的相關(guān)關(guān)系認(rèn)識仍不夠充分,研究也還不夠深入,而真正的危機恰恰隱藏于此。因此,如何避免利率—匯率聯(lián)動機制對國內(nèi)經(jīng)濟的沖擊,探究人民幣利率—匯率的聯(lián)動機制及其現(xiàn)實影響,對于構(gòu)建健全、穩(wěn)定、高效的利率、匯率市場化運行機制,促進(jìn)我國金融市場的改革有著重要的現(xiàn)實意義。 本文認(rèn)為利率和匯率作為重要的經(jīng)濟杠桿,對宏觀經(jīng)濟與微觀經(jīng)濟的運行有著極其重要的調(diào)節(jié)作用。因此,研究兩者之間的關(guān)系對判斷我國宏觀經(jīng)濟形勢,預(yù)測我國宏觀經(jīng)濟走勢有非常重要的意義。主要表現(xiàn)在以下幾個方面：第一,利率和匯率的聯(lián)動關(guān)系不僅影響著我國宏觀經(jīng)濟政策的傳導(dǎo)效率,也影響著中央銀行制定有關(guān)協(xié)調(diào)內(nèi)外均衡的貨幣政策；其次,利率和匯率在資本市場中對資本價格的影響均起到舉足輕重的作用,分析并掌握利率和匯率的聯(lián)動關(guān)系,對投資者規(guī)避投資風(fēng)險,獲得穩(wěn)定收益具有重要意義；最后,利率和匯率的聯(lián)動關(guān)系也會影響實體經(jīng)濟部門的運行。此外,研究利率和匯率間的聯(lián)動關(guān)系還具有較強的理論意義。一方面,利率和匯率作為貨幣政策的重要變量,在貨幣政策傳導(dǎo)過程中發(fā)揮著重要的作用,探討利率和匯率的聯(lián)動關(guān)系對實現(xiàn)我國貨幣政策內(nèi)外均衡有著重要的指導(dǎo)意義。另一方面,通過對利率、匯率間關(guān)系的實證研究,可以驗證利率平價理論、購買力平價理論等經(jīng)典理論在我國的適用性。 鑒于我國市場化改革的現(xiàn)實狀況,利率平價、國際收支等傳統(tǒng)模型和理論在我國的適用性受限,導(dǎo)致在研究人民幣利率、匯率關(guān)系時,既要考慮一般理論的影響,又要兼顧我國經(jīng)濟轉(zhuǎn)軌的特殊國情。因而,本文遵循從理論到實踐、理論聯(lián)系實際的研究思路,采用規(guī)范研究和實證研究相結(jié)合的分析方法：基于經(jīng)典模型和傳統(tǒng)理論對利率—匯率聯(lián)動機制多角度的理論分析,結(jié)合我國經(jīng)濟運行中實行的政策措施和利率、匯率間關(guān)系的現(xiàn)實表現(xiàn),通過實證檢驗,分析利率、匯率及其他變量間的關(guān)系,提出增強我國利率—匯率聯(lián)動機制效應(yīng)的設(shè)想。 本文的寫作架構(gòu)由以下五個章節(jié)構(gòu)成： 第一章為緒論。介紹了本文的選題背景及意義、國內(nèi)外的研究現(xiàn)狀、采用的研究方法和寫作框架及本文的創(chuàng)新和不足之處。 第二章為利率—匯率聯(lián)動性的理論分析和影響因素分析。在理論分析方面,從利率平價理論、國際收支說、貨幣模型、資產(chǎn)組合分析法、蒙代爾—弗萊明模型和麥金農(nóng)—大野健模型六個角度展開分析,在多重框架下探尋人民幣利率和匯率間的關(guān)系。在影響因素分析中,首先是影響利率—匯率聯(lián)動性的政策與制度因素,在政策因素中介紹了人民幣利率、匯率政策改革的進(jìn)程,我國利率、匯率政策的沖突及影響利率—匯率聯(lián)動性的制度因素；其次是市場因素,涵蓋導(dǎo)致利率、匯率傳導(dǎo)機制失效的兩方面市場因素。最后是其他因素,主要包括理性預(yù)期、信息充分性及市場穩(wěn)定性因素和政治因素。 第三章為人民幣利率—匯率聯(lián)動機制的實證分析。主要是基于向量自回歸模型、協(xié)整檢驗、脈沖響應(yīng)函數(shù)、方差分解、門限協(xié)整和向量誤差修正模型等經(jīng)濟計量學(xué)方法,對比分析人民幣利率、匯率間影響關(guān)系的不同。 第四章為完善人民幣利率—匯率聯(lián)動機制的政策措施。針對目前我國利率、匯率聯(lián)動關(guān)系的現(xiàn)狀及實證結(jié)果,提出完善人民幣利率—匯率聯(lián)動機制的政策建議。 第五章為結(jié)論,主要對本文的主要觀點進(jìn)行總結(jié),并指出存在的問題,以后研究的方向等。 本文的研究特色有四點：一是注重理論與實踐相結(jié)合。本文不僅在闡述相關(guān)理論的基礎(chǔ)上對利率—匯率傳導(dǎo)機制進(jìn)行更加嚴(yán)密的分析,還結(jié)合各理論的功能對相關(guān)理論進(jìn)行系統(tǒng)的分類與歸總；二是在實證分析的指標(biāo)選取中,采用利率、匯率的名義指標(biāo)。規(guī)避了人為統(tǒng)計因素的影響和時間序列出現(xiàn)負(fù)值無法取對數(shù)的情況；三是在實證分析中引入貨幣供應(yīng)量、外匯儲備和外國利率三個.指標(biāo),使分析結(jié)果更全面、更具說服力；四是引入門限協(xié)整的方法。證實了利率、匯率間的非線性協(xié)整關(guān)系。 本文也存在許多不足之處,一是本文選取的是利率、匯率名義指標(biāo),可能在對經(jīng)濟實質(zhì)的把握上有失偏頗；二是在利率—匯率聯(lián)動機制的實證中,還有諸如通貨膨脹率、國內(nèi)生產(chǎn)總值等重要因素未加入到模型中；三是政策措施的相關(guān)建議不夠全面與深入。
[Abstract]:In the open economic environment, the efficient operation of the interest rate market and exchange market is a comprehensive reflection of a country's economic development and the efficiency of resource allocation. The interest rate, the exchange rate as the two forms of currency prices, mutual connection, mutual influence, is the national implementation of macroeconomic regulation and control, safeguard economic security, an important policy tool to maintain financial stability the interest rate policy is based. The internal economic equilibrium, the exchange rate policy is the key to realizing the external economic equilibrium. The interest rate, exchange rate between the existing state for regulating function of the interest rate policy and exchange rate policy, has a decisive role play fully the role of coordination and execution efficiency, to promote the economy to achieve internal and external balance has important effect. Along with the financial liberalization and export-oriented economy increase, the circles of theory and practice to promote the interest rate market of our country, establishing the flexible exchange rate formation mechanism have been reached Become a consensus, but the understanding of the correlation between them is not enough, the study also is not deep enough, but the real crisis is hidden. Therefore, how to avoid the impact of interest rate and exchange rate linkage mechanism of domestic economy, the RMB interest rate and exchange rate linkage mechanism research and its practical effect, to build a sound, stable and efficient. The interest rate, exchange rate market operation mechanism, has important practical significance to promote the reform of China's financial market.
This paper argues that the interest rate and exchange rate as an important economic lever, it plays an important role in the macroeconomic and microeconomic operation. Therefore, the research of the relationship between the two to determine China's macroeconomic situation and forecast of China's macro economy has very important significance. Mainly in the following aspects: first, the linkage between interest rate and exchange rate not only affects the transmission efficiency of China's macroeconomic policies, but also affect the central bank to formulate monetary policy coordination of the internal and external balance; secondly, the interest rate and exchange rate in the capital market impact on the price of capital have played an important role, analyze and grasp the linkage between interest rate and exchange rate, the investors to avoid investment risk, is of great significance to get a stable income; finally, the linkage between interest rate and exchange rate will also affect the real economy operation. In addition, research The relationship between interest rate and exchange rate also has a strong theoretical significance. On the one hand, the interest rate and exchange rate as an important variable of monetary policy, plays an important role in the monetary policy transmission process, to explore the linkage between interest rate and exchange rate has an important guiding significance to achieve balanced international monetary policy in China in the other. On the one hand, the interest rate, an empirical study on the relationship between exchange rate and interest rate parity theory can be verified, the classical theory of purchasing power parity theory and its application in China.
In view of the actual situation, China's market-oriented reform of interest rate parity, international payments and other traditional models and theories in limited applicability in China, resulting in the study of the RMB interest rate, exchange rate, it is necessary to consider the influence of the general theory, but also take into account the special national conditions of China's economic transition. Therefore, this paper follows from theory to practice and research of theory and practice, using standard analytical methods and empirical research: analysis of the classical theory model and the traditional theory of interest rate and exchange rate linkage mechanism based on multi angle, combined with the implementation of China's economic operation of policy measures and interest rates, real exchange rate relationship between performance, through empirical testing analysis of the interest rate, the relationship between exchange rate and other variables, is proposed to enhance the vision effect of exchange rate linkage mechanism of interest rate in our country.
The writing architecture of this article is composed of five chapters:
The first chapter is the introduction. It introduces the background and significance of this topic, the research status at home and abroad, the research methods and writing framework, and the innovation and shortcomings of this paper.
The second chapter is the analysis of factor analysis and the effect of interest rate and exchange rate linkage theory. In the theoretical analysis, from the theory of interest rate parity, international balance, monetary model, portfolio analysis method, analyze the Mundell Fleming model and Mackinnon Ono Ken model in six aspects, to explore the relationship between RMB interest rate and exchange rate in the multi frame. Analysis of the impact factors, the first is the impact of the policy and system of exchange rate of interest rate factors, policy factors in introduces the RMB interest rate, exchange rate policy reform process, China's interest rate and exchange rate policy conflicts and influence interest rate and exchange rate linkage system factors; the second is the market factors, including interest rates two, the market failure factors of the exchange rate transmission mechanism. Finally, other factors, including the rational expectations, full information and market stability factors and political factors.
The third chapter is the empirical analysis of RMB interest rate and exchange rate linkage mechanism is mainly based on VAR model, cointegration test, impulse response function, variance decomposition method, threshold cointegration and vector error correction model and econometric analysis, the RMB interest rate, the relationship between different exchange rate.
The fourth chapter is to improve the policy and measures of RMB interest rate and exchange rate linkage mechanism. Aiming at the current situation and empirical results of China's interest rate and exchange rate linkage, we put forward policy recommendations to improve RMB interest rate exchange linkage mechanism.
The fifth chapter is the conclusion, mainly to summarize the main points of this article, and point out the existing problems, the future research direction and so on.
This research has four points: one is to pay attention to the combination of theory and practice. This paper not only on the basis of related theory analysis more closely to the interest rate and the exchange rate transmission mechanism, combining with each theory to classify the features and classify system of relevant theories; two is the interest rate in the empirical analysis of the index selection in the nominal exchange rate. The index, to avoid the influence of human factors and statistical time series cannot be negative logarithmic; three is introduced in the empirical analysis of money supply, foreign exchange reserves and foreign interest rates. Three indicators, make the results more comprehensive, more persuasive; four is to introduce the method of threshold cointegration the whole. That interest rates, nonlinear cointegration between the exchange rate.
This paper also has many deficiencies, one is the nominal exchange rate is the interest rate, index, may be in the economic substance of the grasp on the biased; two is in the positive interest rate and exchange rate linkage mechanism, as well as the rate of inflation, the important factors such as gross domestic product was added to the model; three relevant recommendations policy measures is not comprehensive and in-depth.

【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.6

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