本文選題：人民幣匯率 + 利率　； 參考：《西南大學(xué)》2017年碩士論文

【摘要】：匯率與利率的關(guān)系一直是學(xué)者們關(guān)注的熱點(diǎn)。匯率與利率并不是倆個(gè)完全獨(dú)立的變量,其關(guān)系還受到進(jìn)出口額、外匯儲(chǔ)備等其他經(jīng)濟(jì)變量的影響,由于匯率對(duì)利率以及利率對(duì)匯率的傳導(dǎo)渠道多樣性,這必然構(gòu)成了一個(gè)復(fù)雜的動(dòng)態(tài)反饋系統(tǒng)。迄今為止,國(guó)內(nèi)利率與匯率的影響機(jī)制的研究多集中在2010年之前,對(duì)于2010年匯改之后的匯率與利率關(guān)系的研究相對(duì)較少,且許多文獻(xiàn)都傾向于研究利率對(duì)匯率的傳導(dǎo)機(jī)制,認(rèn)為匯率對(duì)利率的傳導(dǎo)渠道不完全。本文就2006年到2016年期間的人民幣匯率與利率的關(guān)系以及人民幣匯率對(duì)利率影響機(jī)制進(jìn)行研究分析,并提出相關(guān)的政策建議。首先,本文對(duì)利率與匯率關(guān)系的相關(guān)文獻(xiàn)進(jìn)行梳理,借鑒利率平價(jià)學(xué)說、麥金農(nóng)大野建一的理論模型分析利率與匯率的關(guān)系,并采用動(dòng)態(tài)建模思想,在進(jìn)行平穩(wěn)性檢驗(yàn)和協(xié)整檢驗(yàn)的基礎(chǔ)上,通過建立向量自回歸模(VAR)驗(yàn)證兩者的互動(dòng)關(guān)系,并對(duì)人民幣名義匯率與利率的短期動(dòng)態(tài)關(guān)系進(jìn)行論證。同時(shí),通過中介效應(yīng)的實(shí)證檢驗(yàn)方法來具體探討匯率對(duì)利率的影響機(jī)制。本文研究結(jié)果顯示,在我國(guó)目前市場(chǎng)體制下人民幣名義有效匯率與名義利率的互動(dòng)關(guān)系并非完全被割斷,且并未形成完全有效的影響機(jī)制。具體結(jié)論:(1)人民幣名義有效匯率與名義利率存在著較弱的負(fù)向長(zhǎng)期均衡關(guān)系,二者的互動(dòng)關(guān)系需要經(jīng)過較長(zhǎng)的時(shí)滯才能反映出來。通過ADF檢驗(yàn),名義有效匯率和利率等變量都是一階單整序列,各變量可以進(jìn)行協(xié)整檢驗(yàn),由Johensen協(xié)整檢驗(yàn)得出二者之間存在著長(zhǎng)期均衡關(guān)系。由LNNEER的VEC模型可以看出:名義利率、進(jìn)出口、外匯儲(chǔ)備三個(gè)變量滯后一期的變化量對(duì)于當(dāng)期名義有效匯率為負(fù)向影響,滯后二期的變化量對(duì)于當(dāng)期名義有效匯率是正向影響。即外商直接投資、名義利率、進(jìn)出口、外匯儲(chǔ)備滯后一期反映了負(fù)向修正機(jī)制。而名義利率、進(jìn)出口、外匯儲(chǔ)備滯后二期反映了正向修正機(jī)制。由LNNR的VEC模型可知:第一,滯后1期的名義利率對(duì)其自身的當(dāng)期水平有負(fù)向的影響,滯后2期的名義利率對(duì)其自身有正向的影響;第二,滯后1期、滯后2期的名義有效匯率對(duì)名義利率有負(fù)向的影響。(2)人民幣名義有效匯率對(duì)于名義利率的影響遠(yuǎn)大于名義利率對(duì)于民幣名義有效匯率的影響。通過格蘭杰因果關(guān)系檢驗(yàn)得出:第一,外匯儲(chǔ)備與名義利率在95%的置信水平下具有單向的Granger因果關(guān)系,即外匯儲(chǔ)備是名義利率的Granger原因,而名義利率不是外匯儲(chǔ)備的原因;第二,進(jìn)出口是名義利率的原因。第三,人民幣名義有效匯率是名義利率的原因。(3)匯率對(duì)利率并未形成完全有效的影響機(jī)制:關(guān)于物價(jià)渠道——出口商品價(jià)格,匯率變動(dòng)通過該渠道傳導(dǎo)至利率的過程中產(chǎn)生了削弱作用;關(guān)于物價(jià)渠道——進(jìn)口商品價(jià)格,匯率與進(jìn)口商品價(jià)格顯著負(fù)相關(guān),與理論分析相違背,說明了外匯波動(dòng)對(duì)進(jìn)口商品價(jià)格的傳導(dǎo)渠道不通暢;對(duì)于短期資本渠道,匯率與央行的外匯儲(chǔ)備正相關(guān),外匯儲(chǔ)備對(duì)利率具有負(fù)向關(guān)系,匯率變動(dòng)通過外匯儲(chǔ)備傳導(dǎo)至利率的渠道相對(duì)來說比較暢通�；谀壳皡R率與利率較弱的聯(lián)動(dòng)關(guān)系以及尚未形成完全有效的傳導(dǎo)機(jī)制做出以下幾點(diǎn)建議:(1)改進(jìn)人民幣匯率形成機(jī)制,推進(jìn)匯率市場(chǎng)化改革;(2)利率市場(chǎng)化改革基本完成,但仍需要繼續(xù)關(guān)注成效并做出調(diào)整。央行應(yīng)進(jìn)一步理順從央行政策利率到各類市場(chǎng)基準(zhǔn)利率乃至實(shí)體經(jīng)濟(jì)的傳導(dǎo)渠道。(3)協(xié)調(diào)利率政策和匯率政策,加強(qiáng)利率、匯率之間的聯(lián)動(dòng)效應(yīng)。內(nèi)部平衡的重要性要高于外部平衡,必須維持貨幣政策的獨(dú)立性,而要提高貨幣政策的獨(dú)立性,就必須增強(qiáng)匯率制度的靈活性,并且維持必要的資本賬戶管制。(4)正確引導(dǎo)市場(chǎng)預(yù)期,削弱信息不對(duì)稱的影響,央行在進(jìn)行外匯干預(yù)時(shí),不僅要考慮干預(yù)的強(qiáng)度與方向,還要考慮干預(yù)措施導(dǎo)致的市場(chǎng)上倆種預(yù)期的比例變化,使用各種傳媒的力量促進(jìn)整個(gè)市場(chǎng)信息的透明度,來引導(dǎo)市場(chǎng)參與者的預(yù)期朝著目標(biāo)方向變化,避免信息不對(duì)稱導(dǎo)致的市場(chǎng)預(yù)期不確定從而引起匯率、利率巨大的波動(dòng)。
[Abstract]:The relationship between exchange rate and interest rate has always been the focus of attention of scholars. Exchange rate and interest rate are not two completely independent variables. Their relationship is also influenced by other economic variables such as import and export volume, foreign exchange reserve and other economic variables. Because of the diversity of exchange rate on interest rate and interest rate to exchange rate, it is bound to form a complex dynamic feedback system. So far, the research on the influence mechanism of domestic interest rate and exchange rate is mostly concentrated before 2010. There are relatively few studies on the relationship between exchange rate and interest rate after 2010 remittance, and many literature tend to study the transmission mechanism of interest rate to exchange rate, and the transmission channel of exchange rate to interest rate is not complete. This article is from 2006 to 2016. The relationship between RMB exchange rate and interest rate and the influence mechanism of RMB exchange rate on interest rate are studied and analyzed, and some relevant policy suggestions are put forward. First, the relevant literature on the relationship between interest rate and exchange rate is combed, and the relationship between interest rate and exchange rate is analyzed by using the theory of interest rate parity and the theoretical model of Mckin agriculture and agriculture. On the basis of the stability test and cointegration test, the dynamic modeling idea, through the establishment of the vector autoregressive model (VAR), verifies the interaction between the two, and demonstrates the short-term dynamic relationship between the nominal exchange rate and the interest rate of the RMB. At the same time, the mechanism of the exchange rate influence on the interest rate is discussed by the empirical method of the intermediary effect. The research results show that the interaction relationship between nominal effective exchange rate and nominal interest rate of RMB is not completely cut off in China's current market system, and it does not form a completely effective influence mechanism. (1) there is a weaker negative long-term equilibrium relationship between nominal effective exchange rate and nominal interest rate of RMB, and the interaction relationship between the two parties is required. The ADF test shows that the nominal effective exchange rate and interest rate are all one order single whole sequence, and the variables can be cointegration test. The long-term equilibrium relationship exists between the two ones by Johensen cointegration test. The VEC model of LNNEER can be seen as the nominal interest rate, import and export and foreign exchange reserve. The variable amount of variable lag phase 1 has a negative impact on the nominal effective exchange rate in the current period, and the two lag phase change has a positive effect on the nominal effective exchange rate. That is, the foreign direct investment, nominal interest rate, import and export, and the lag of foreign exchange reserve reflect the negative correction mechanism. The nominal interest rate, import and export, and foreign exchange reserve lag behind the period of reflection. The VEC model of LNNR shows that: first, the nominal interest rate of lagging 1 has a negative impact on its own current level, and the nominal interest rate of lag 2 has a positive effect on its own; second, lag 1, and the nominal effective rate of lag 2 has a negative effect on the nominal rate of interest. (2) nominal effective exchange rate of RMB The influence of nominal interest rate is far greater than nominal interest rate on nominal effective exchange rate of the civil currency. Through the Grainger causality test, it is concluded that first, the foreign exchange reserve and nominal interest rate have a one-way Granger causality under the confidence level of 95%, that is, the foreign exchange reserve is the Granger cause of the nominal interest rate, while the nominal interest rate is not the foreign exchange reserve. Second, the reason for the import and export is the nominal interest rate. Third, the nominal effective exchange rate of the RMB is the reason for the nominal interest rate. (3) the exchange rate has not formed a complete and effective influence mechanism on the interest rate. Channel - import commodity price, exchange rate is negatively related to import commodity price, and contrary to theoretical analysis, it shows that the transmission channel of foreign exchange fluctuation is not smooth to import commodity price; for short term capital channel, exchange rate is positively related to foreign exchange reserve of central bank, foreign exchange reserve has negative relation to interest rate, exchange rate change through foreign exchange reserve The channels which are transmitted to the interest rate are relatively unimpeded. Based on the current linkage relationship between the exchange rate and the interest rate and the lack of complete effective transmission mechanism, the following suggestions are made: (1) improving the RMB exchange rate formation mechanism and promoting the reform of the exchange rate marketization; (2) the reform of the rate of interest rate marketization is basically completed, but still needs to continue to pay attention to it. The central bank should further straighten out the transmission channels from the central bank policy interest rate to the benchmark interest rate and the real economy. (3) coordinate the interest rate policy and exchange rate policy, strengthen the linkage between interest rate and exchange rate. The importance of the internal balance is higher than the external balance, and the independence of monetary policy must be maintained, and the improvement of the monetary policy must be improved. The independence of monetary policy must enhance the flexibility of the exchange rate system and maintain the necessary control of capital account. (4) to correctly guide market expectations and to weaken the impact of asymmetric information, the central bank should not only consider the intensity and direction of intervention, but also the expected proportion of the market caused by intervention when conducting foreign exchange intervention. Change, using the power of all kinds of media to promote the transparency of the whole market information, to guide the expectations of market participants to change in the direction of the target, to avoid the uncertainty of the market expectation caused by information asymmetry, which will cause the exchange rate and the huge fluctuation of interest rate.

【學(xué)位授予單位】：西南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.6

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