本文選題：人民幣匯率 + 利率�。� 參考：《西南大學》2017年碩士論文

【摘要】：匯率與利率的關系一直是學者們關注的熱點。匯率與利率并不是倆個完全獨立的變量,其關系還受到進出口額、外匯儲備等其他經(jīng)濟變量的影響,由于匯率對利率以及利率對匯率的傳導渠道多樣性,這必然構成了一個復雜的動態(tài)反饋系統(tǒng)。迄今為止,國內(nèi)利率與匯率的影響機制的研究多集中在2010年之前,對于2010年匯改之后的匯率與利率關系的研究相對較少,且許多文獻都傾向于研究利率對匯率的傳導機制,認為匯率對利率的傳導渠道不完全。本文就2006年到2016年期間的人民幣匯率與利率的關系以及人民幣匯率對利率影響機制進行研究分析,并提出相關的政策建議。首先,本文對利率與匯率關系的相關文獻進行梳理,借鑒利率平價學說、麥金農(nóng)大野建一的理論模型分析利率與匯率的關系,并采用動態(tài)建模思想,在進行平穩(wěn)性檢驗和協(xié)整檢驗的基礎上,通過建立向量自回歸模(VAR)驗證兩者的互動關系,并對人民幣名義匯率與利率的短期動態(tài)關系進行論證。同時,通過中介效應的實證檢驗方法來具體探討匯率對利率的影響機制。本文研究結果顯示,在我國目前市場體制下人民幣名義有效匯率與名義利率的互動關系并非完全被割斷,且并未形成完全有效的影響機制。具體結論:(1)人民幣名義有效匯率與名義利率存在著較弱的負向長期均衡關系,二者的互動關系需要經(jīng)過較長的時滯才能反映出來。通過ADF檢驗,名義有效匯率和利率等變量都是一階單整序列,各變量可以進行協(xié)整檢驗,由Johensen協(xié)整檢驗得出二者之間存在著長期均衡關系。由LNNEER的VEC模型可以看出:名義利率、進出口、外匯儲備三個變量滯后一期的變化量對于當期名義有效匯率為負向影響,滯后二期的變化量對于當期名義有效匯率是正向影響。即外商直接投資、名義利率、進出口、外匯儲備滯后一期反映了負向修正機制。而名義利率、進出口、外匯儲備滯后二期反映了正向修正機制。由LNNR的VEC模型可知:第一,滯后1期的名義利率對其自身的當期水平有負向的影響,滯后2期的名義利率對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名義利率有負向的影響。(2)人民幣名義有效匯率對于名義利率的影響遠大于名義利率對于民幣名義有效匯率的影響。通過格蘭杰因果關系檢驗得出:第一,外匯儲備與名義利率在95%的置信水平下具有單向的Granger因果關系,即外匯儲備是名義利率的Granger原因,而名義利率不是外匯儲備的原因;第二,進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)匯率對利率并未形成完全有效的影響機制:關于物價渠道——出口商品價格,匯率變動通過該渠道傳導至利率的過程中產(chǎn)生了削弱作用;關于物價渠道——進口商品價格,匯率與進口商品價格顯著負相關,與理論分析相違背,說明了外匯波動對進口商品價格的傳導渠道不通暢;對于短期資本渠道,匯率與央行的外匯儲備正相關,外匯儲備對利率具有負向關系,匯率變動通過外匯儲備傳導至利率的渠道相對來說比較暢通。基于目前匯率與利率較弱的聯(lián)動關系以及尚未形成完全有效的傳導機制做出以下幾點建議:(1)改進人民幣匯率形成機制,推進匯率市場化改革;(2)利率市場化改革基本完成,但仍需要繼續(xù)關注成效并做出調(diào)整。央行應進一步理順從央行政策利率到各類市場基準利率乃至實體經(jīng)濟的傳導渠道。(3)協(xié)調(diào)利率政策和匯率政策,加強利率、匯率之間的聯(lián)動效應。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立性,而要提高貨幣政策的獨立性,就必須增強匯率制度的靈活性,并且維持必要的資本賬戶管制。(4)正確引導市場預期,削弱信息不對稱的影響,央行在進行外匯干預時,不僅要考慮干預的強度與方向,還要考慮干預措施導致的市場上倆種預期的比例變化,使用各種傳媒的力量促進整個市場信息的透明度,來引導市場參與者的預期朝著目標方向變化,避免信息不對稱導致的市場預期不確定從而引起匯率、利率巨大的波動。
[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.

【學位授予單位】：西南大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.6

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