本文關(guān)鍵詞：解析澳、美利率平價失衡對中國的啟示　出處：《國際金融研究》2010年09期 　論文類型：期刊論文

  更多相關(guān)文章： UIP偏離項 TARCH-M風(fēng)險溢價 非對稱反應(yīng)

【摘要】：本文以澳元和美元短期存款市場為例,采用TARCH-M模型探討非拋補利率平價偏離項產(chǎn)生的主要原因,并進一步剖析相關(guān)因素對偏離項的解釋力度、動態(tài)變化及其影響彈性如何。實證表明,在其它條件既定的情況下,風(fēng)險溢價因素不僅成為引致非拋補利率平價偏離項存在的主動因,而且其隨著外部波動的加劇以及利率期限結(jié)構(gòu)的延長帶來的邊際彈性要大于投資者對"壞消息"過度反應(yīng)的邊際彈性。同時,回歸中國利率和匯率兩個市場現(xiàn)狀,以發(fā)達國家的實證經(jīng)驗為鑒,深入探討其對中國金融市場的啟示,以期更好地完善中國匯率、利率互動機制,促進經(jīng)濟在國際市場上向均衡狀態(tài)收斂。
[Abstract]:Taking the short term deposit market of Australian dollar and US dollar as an example, this paper uses TARCH-M model to explore the main reasons for the deviation of non-supplementary interest rate parity, and further analyzes the explanation of the deviation term by related factors. The empirical results show that the risk premium factor is not only the active factor that leads to the deviation of non-supplementary interest rate parity in the case of other conditions. Moreover, with the aggravation of external volatility and the extension of the term structure of interest rate, the marginal elasticity is greater than that of investors' overreaction to "bad news". At the same time. Return to the current situation of interest rate and exchange rate in China, take the empirical experience of developed countries as a lesson, deeply discuss its inspiration to Chinese financial market, in order to better improve the interaction mechanism of exchange rate and interest rate in China. To promote the convergence of the economy towards equilibrium on the international market.
【作者單位】： 山東大學(xué)國際貿(mào)易研究所;山東大學(xué)經(jīng)濟學(xué)院;
【分類號】：F821
【正文快照】： 問題的提出開放經(jīng)濟環(huán)境下,利率和匯率是調(diào)節(jié)宏觀經(jīng)濟,維護國家經(jīng)濟安全和穩(wěn)定的關(guān)鍵因素。特別在中國漸進走向開放的金融運行機制的過程中,這兩大重要政策工具引導(dǎo)資源合理配置的杠桿作用也日益明顯。因此,對二者聯(lián)動機制的深入研究,增強利率平價理論調(diào)節(jié)宏觀經(jīng)濟運行的功能，

本文編號：1369093