本文選題：人民幣匯率制度改革 + 利率期限結構��； 參考：《中國海洋大學》2015年碩士論文

【摘要】：自從金融危機爆發(fā)以來,中國人民銀行先后三次宣布擴大人民幣匯率的波動幅度,這體現(xiàn)出我國目前處在完善人民幣匯率形成機制的快車道上,這是人民幣匯率改革政策出臺最為密集的一個階段。與此同時,我國利率市場化改革也取得了顯著的成效。我國利率體系由上世紀八九十年代行政干預色彩濃厚的發(fā)展模式,逐漸演變?yōu)楫斍耙許HIBOR為基礎、貨幣市場和資本市場兩翼齊飛的發(fā)展模式。利率在國家宏觀經濟發(fā)展中對資金配置起著關鍵性的指導意義,對國家宏觀經濟的重要性不可替代。當前面對國際經濟形勢仍不容樂觀、國內經濟“新常態(tài)”的結構性調整,直接研究人民幣匯率制度改革與利率期限結構的聯(lián)系有助于政府部門在制定相應政策時充分考慮國內經濟與對外經濟的相互影響,確保經濟平穩(wěn)轉型,更好地實現(xiàn)中國經濟“新常態(tài)”。因此,在金融危機這一背景下,進行人民幣匯率制度改革與我國利率期限結構的相關研究具有重要意義。本文從匯率制度改革與利率期限結構的基礎理論出發(fā),依次梳理了我國匯率制度的歷史變遷歷程,闡明了我國現(xiàn)行匯率制度安排,評估了金融危機爆發(fā)以來我國利率期限結構狀況,然后對于人民幣匯率制度改革對我國利率期限結構的影響效應進行了實證分析。并進一步把后者分解為長期、短期與中期等三個因子,研究了人民幣匯率制度改革對三者的影響差異。首先,概述了人民幣匯率制度現(xiàn)狀,總結了人民幣匯率制度改革進程；然后,使用HP方法測度了與人民幣匯率制度改革相關的匯率波動指數(shù)等相關指標。其次,介紹了利率期限結構的有關理論基礎,并根據(jù)預期均衡理論,從理論上詳細分析了人民幣匯率制度改革與我國利率期限結構之問的多重效應。對利率期限結構進行概念界定并引入衡量指標,以Nelson-Siegel模型為基礎得到國債利率期限結構的水平因子、傾斜度和曲率因子。第三,在馬爾科夫區(qū)制轉換向量自回歸模型的基礎上,區(qū)制轉換檢驗說明,從區(qū)制1轉入區(qū)制2后,國債收益率曲線總體性先平行下降,而收益率曲線也由于傾斜度和曲率因子的變動先變得更為平坦.這和之前的單參數(shù)時間序列的研究結論是一致的。而在多參數(shù)MS-VAR模型中,人民幣匯率波動指標使用的是其原始時間序列,其常數(shù)項參數(shù)的改變顯示了人民幣匯率的波動改變情況實質上是在增大的。而脈沖響應分析則表明,人民幣匯率與利率期限結構之間在匯率改革環(huán)境下存在非對稱的兩種長期動態(tài)均衡關系的狀態(tài)的特征表現(xiàn)為不穩(wěn)定的匯率制度環(huán)境下,受到沖擊時反應強烈卻延續(xù)時間更短；而穩(wěn)定的匯率制度環(huán)境下,反應較小但延續(xù)時間長且顯著。最后,進行蒙特卡洛模擬,分析人民幣匯率制度改革對我國利率期限結構的長期、中期和短期影響的差異。在匯率制度穩(wěn)定的區(qū)制1下,人民幣匯率波動率對于長期、短期和中期的影響為正,這印證了傳統(tǒng)的利率平價理論。而在匯率制度改革,匯率波動劇烈,不利于國內利率期限結構穩(wěn)定的區(qū)制2下,人民幣匯率波動率對于利率期限結構的影響均為負,這與傳統(tǒng)理論的預測有所不同,證明了遠期溢價異常情況的存在。論文主要在以下幾個方面進行了創(chuàng)新性探討：第一,以金融危機背景下人民幣匯率波幅擴大等重大事件為時間節(jié)點,梳理了金融危機爆發(fā)以來人民幣匯率制度改革的歷程,并構建了匯率波動指數(shù)來定量描述人民幣匯率波動狀況。第二,從理論上分析了人民幣匯率制度改革與我國利率期限結構之間的多重效應,并結合相關數(shù)據(jù)進行了實證分析,在此基礎上進一步將我國利率期限結構區(qū)分為長期、中期和短期三個因子,并比較了對三者影響的差異性。
[Abstract]:Since the outbreak of the financial crisis, the people's Bank of China has announced three times to expand the volatility of the RMB exchange rate, which shows that China is currently in the fast lane to improve the RMB exchange rate formation mechanism. This is the most intensive stage of the reform of the RMB exchange rate policy. At the same time, the reform of China's interest rate marketization has also been achieved. The interest rate system, which is based on the strong color of administrative intervention in 80s and 90s of last century, has gradually evolved into a development model based on SHIBOR, the two wings of the money market and the capital market. The interest rate plays a key guiding significance to the allocation of funds in the national macro-economic development. In the face of the international economic situation, the current situation of the international economy is still not optimistic. The structural adjustment of the "new normal" of the domestic economy and the direct study of the relationship between the reform of the RMB exchange rate system and the term structure of the interest rate will help the government department to fully consider the mutual influence of the internal economy and the foreign economy in the formulation of the corresponding policies, and ensure that the government should make sure that the economic and economic relations between the country and the foreign economy are fully considered. In the context of the financial crisis, it is of great significance to study the relationship between the reform of the RMB exchange rate system and the term structure of our interest rate. This paper, starting with the basic theory of the reform of the exchange rate system and the term structure of interest rate, has combed the exchange rate system in China in turn. The course of historical change illustrates the current arrangement of the exchange rate system in China, evaluates the state of the term structure of interest rate in China since the outbreak of the financial crisis, and then makes an empirical analysis of the effect of the reform of the RMB exchange rate system on the term structure of the interest rate in China, and further decomposes the latter into three factors, such as long term, short term and medium term, and so on. The difference in the influence of the RMB exchange rate system reform on the three parties is investigated. First, the current situation of the RMB exchange rate system is summarized, and the reform process of the RMB exchange rate system is summarized. Then, the relative indexes of the exchange rate fluctuation index related to the reform of the RMB exchange rate system are measured by the HP method. Secondly, the relevant theories of the term structure of the interest rate are introduced. On the basis of the expected equilibrium theory, the multiple effects of the RMB exchange rate system reform and the interest rate term structure in China are analyzed in detail. The term structure of the interest rate is defined and the measure index is introduced. The level factor of the term structure of the national debt interest rate, the inclination and the curvature cause are obtained on the basis of the Nelson-Siegel model. Third, on the basis of the transformation vector autoregressive model of the Markoff region system, the region system conversion test shows that the total of the yield curve of the national debt is first parallel down, and the yield curve becomes even more flat since the change of the slope and curvature factor. This and the previous single parameter time series study The conclusion is consistent. In the multi parameter MS-VAR model, the RMB exchange rate fluctuation index uses its original time series. The change of its constant parameter shows that the fluctuation of the RMB exchange rate is substantially increasing. And the impulse response analysis shows that the exchange rate reform ring between the RMB exchange rate and the interest rate term structure is in the exchange rate reform ring. Under the environment of unstable exchange rate system, the characteristics of the state of asymmetric two long-term dynamic equilibrium relationships are characterized by intense reaction and shorter duration, while the stable exchange rate regime has a smaller response but longer duration and significant. Finally, the Monte Carlo simulation is carried out to analyze the exchange rate system of the RMB. The influence of the reform on the long-term, medium-term and short-term interest rate structure of our country is different. Under the stability of the exchange rate system, the effect of the RMB exchange rate volatility on the long-term, short-term and medium-term is positive, which confirms the traditional theory of interest rate parity. In the reform of the exchange rate system, the exchange rate fluctuates violently, which is not conducive to the stability of the domestic interest rate. Under the fixed area system 2, the exchange rate of RMB exchange rate has negative influence on the term structure of interest rate, which is different from the traditional theory, and proves the existence of the abnormal rate of the forward premium. The thesis is mainly discussed in the following aspects: first, the enlargement of the RMB exchange rate under the background of the financial crisis is an important event. As a time node, it combs the course of the reform of the RMB exchange rate system since the outbreak of the financial crisis, and constructs the exchange rate fluctuation index to quantitatively describe the fluctuation of the RMB exchange rate. Second, the multiple effects of the RMB exchange rate system reform and the term structure of the interest rate of our country are analyzed theoretically, and the relevant data are carried out in the light of the relevant data. Based on the evidence analysis, we further divide the term structure of interest rates into three factors in the long term, the medium term and the short term, and compare the differences between the three factors.

【學位授予單位】：中國海洋大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.6

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