本文選題：匯率 + 利率��； 參考：《學(xué)術(shù)交流》2011年05期

【摘要】：隨著我國(guó)經(jīng)濟(jì)體制改革的深入,匯率與利率之間的聯(lián)動(dòng)效應(yīng)引起人們的廣泛關(guān)注。但由于我國(guó)現(xiàn)階段匯率、利率沒(méi)有完全市場(chǎng)化和資本自由流動(dòng)的有限性,利率平價(jià)理論的基本假設(shè)不能充分滿足,因此,利率平價(jià)理論在我國(guó)應(yīng)用時(shí)必須進(jìn)行修正,即在利率平價(jià)方程的右側(cè)加上摩擦系數(shù)。通過(guò)對(duì)摩擦系數(shù)值的研究發(fā)現(xiàn),修正的利率平價(jià)模型中,摩擦系數(shù)值就是利率平價(jià)偏離值,對(duì)利率平價(jià)偏離值的考察就是對(duì)摩擦系數(shù)的大小、變化規(guī)律的考察。結(jié)合1981年到2008年中美匯率、利率每日數(shù)據(jù),從圖示法、統(tǒng)計(jì)學(xué)、計(jì)量經(jīng)濟(jì)學(xué)三個(gè)方面對(duì)利率平價(jià)理論在我國(guó)的偏離值序列的研究得出:我國(guó)利率平價(jià)偏離值整體上有縮小的趨勢(shì),利率平價(jià)偏離值的持續(xù)性縮小潛藏著套利風(fēng)險(xiǎn),外匯市場(chǎng)潛在的套利和投機(jī)風(fēng)險(xiǎn)會(huì)越來(lái)越大。
[Abstract]:With the deepening of China's economic system reform, the linkage effect between exchange rate and interest rate has attracted wide attention. However, since the exchange rate in our country is not completely market-oriented and the free flow of capital is limited at present, the basic hypothesis of interest rate parity theory cannot be fully satisfied. Therefore, the interest rate parity theory must be revised when it is applied in our country. The friction coefficient is added to the right side of the interest rate parity equation. Through the study of the friction coefficient value, it is found that the friction coefficient value is the interest rate parity deviation value in the modified interest rate parity model, and the investigation of the interest rate parity deviation value is the investigation of the friction coefficient and the law of variation. From 1981 to 2008, the exchange rate, interest rate daily data, from the graphic method, statistics, Three aspects of econometrics on the theory of interest rate parity in China, the study of the series of deviations: China's interest rate parity deviation on the whole has a tendency to shrink, the sustained reduction of interest rate parity deviation value hidden arbitrage risk. The potential arbitrage and speculative risks in the foreign exchange market will increase.
【作者單位】： 哈爾濱工業(yè)大學(xué)人文學(xué)院;
【分類號(hào)】：F832.6

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本文編號(hào)：1947716