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  本文選題：人民幣實(shí)際匯率 + 實(shí)際利率差�。� 參考：《廈門大學(xué)》2014年碩士論文

【摘要】：近年來匯率改革重啟,利率市場化又加快了步伐,匯率與利率的關(guān)系再次成為了研究的熱點(diǎn)問題。雖然國內(nèi)有不少學(xué)者對人民幣兌美元匯率和利率相關(guān)關(guān)系進(jìn)行過研究,但把人民幣匯率和利率的波動特征與匯率改革及利率政策變革聯(lián)系起來的研究則很少,即使有也都集中在2005年匯率改革對利率影響的討論上。而2010年匯率改革和2013利率改革是否會引起匯率與利率波動特征的變化?是否會對匯率與利率的相關(guān)關(guān)系產(chǎn)生影響?這些問題都是研究的空白區(qū)域。 本文以人民幣兌美元匯率和利率的區(qū)制轉(zhuǎn)換特征為主要研究對象,將定性分析與定量分析相結(jié)合,首先分析了匯率與利率政策變革歷程中人民幣兌美元匯率和利率的波動趨勢；其次運(yùn)用趨勢圖和滾動窗口對實(shí)際匯率變動與利率差進(jìn)行描述性分析,發(fā)現(xiàn)實(shí)際匯率變動與實(shí)際利率差的均值和波動均顯示出兩種不同的區(qū)制特征,且低均值與高波動同期出現(xiàn)的概率很高；再次本文根據(jù)兩個變量的區(qū)制特征選擇了兩狀態(tài)(低波動高均值和高波動低均值)的馬爾科夫區(qū)制轉(zhuǎn)換向量自回歸(MS-VAR)模型,將1994年1月至2013年12月分為六個時間段,分別對人民幣實(shí)際匯率與實(shí)際利率差的區(qū)制轉(zhuǎn)換特征進(jìn)行定量分析。 實(shí)證結(jié)果發(fā)現(xiàn)：(1)人民幣實(shí)際匯率變動和實(shí)際利率差的波動可明顯分為高波動和低波動兩個區(qū)制：處在高波動區(qū)的主要有第一階段(1994年1月-1996年初)、第四階段(2005年7月-2008年上半年)和第六階段(2010年至今),都屬于浮動匯率制度時期；而處于低波動區(qū)的第二階段(1996年-1998年)和第五階段(2008年下半年-2010年上半年)則對應(yīng)暫停浮動匯率制度時期；(2)利率彈性的擴(kuò)大會對實(shí)際匯率變動和實(shí)際利率差的波動產(chǎn)生短暫的沖擊影響；(3)人民幣實(shí)際匯率變動和實(shí)際利率差的水平不受匯率和利率政策區(qū)制變動的影響；(4)高波動區(qū)制的持續(xù)期僅為低波動區(qū)制持續(xù)期的0.56倍,且高波動區(qū)制主要集中在2005年匯率改革之后；(5)實(shí)際匯率變動與實(shí)際利率差存在負(fù)相關(guān)關(guān)系；(6)高波動區(qū)制中,人民幣匯率和利率的關(guān)系更符合粘性價格貨幣理論,側(cè)面說明浮動匯率和利率制度下,粘性價格理論對匯率與利率關(guān)系解釋能力更強(qiáng)。 最后本文針對外匯改革和利率改革,提出了發(fā)展金融衍生品市場、建立存款保險制度、培育有效貨幣市場、健全資本市場退出機(jī)制等政策建議。
[Abstract]:In recent years, the exchange rate reform restarts, the interest rate marketization speeds up the step again, the relation between the exchange rate and the interest rate has once again become the hot topic of the research. Although many domestic scholars have studied the relationship between RMB exchange rate and interest rate, but few studies have linked the fluctuation characteristics of RMB exchange rate and interest rate with exchange rate reform and interest rate policy reform. If any, it has focused on the impact of exchange rate reform on interest rates in 2005. However, will the exchange rate reform and the 2013 interest rate reform cause changes in the characteristics of exchange rate and interest rate volatility? Will it have an impact on the relationship between exchange rates and interest rates? These questions are blank areas of study. In this paper, the characteristics of RMB / US dollar exchange rate and interest rate conversion are taken as the main research object. The qualitative analysis and quantitative analysis are combined. Firstly, the fluctuation trend of RMB / US dollar exchange rate and interest rate in the course of exchange rate and interest rate policy reform is analyzed. Secondly, using the trend chart and the rolling window to describe the real exchange rate change and the interest rate difference, it is found that the mean value and fluctuation of the real exchange rate change and the actual interest rate difference show two different regional characteristics. Moreover, the probability between low mean and high volatility is very high. Thirdly, according to the characteristics of region system of two variables, we choose the Markov region transform vector autoregressive (MS-VARR) model with two states (low volatility, high mean and high volatility, low mean). This paper divides January 1994 to December 2013 into six periods, and makes quantitative analysis of the regional system conversion characteristics between the real exchange rate of RMB and the real interest rate difference. The empirical results show that the fluctuation of RMB real exchange rate and real interest rate difference can be divided into two zones: high volatility and low volatility: the first stage is in the high volatility zone (January 1994-early 1996, the fourth stage (2005). July-the first half of 2008) and the sixth phase (2010 to date) belong to the floating exchange rate regime period; The second (1996-1998) and fifth (second half of 2008-first half of 2010) phases in the low volatility zone correspond to the wave of interest rate elasticity in the period of suspension of the floating exchange rate regime, which will affect real exchange rate movements and real interest rate differentials. The level of the real exchange rate and the real interest rate difference are not affected by the changes in the exchange rate and the interest rate policy zone system. 4) the duration of the high-volatility zone system is only 0.56 times that of the low-volatility zone system. Moreover, the high volatility zone system is mainly concentrated after the exchange rate reform in 2005. (5) there is a negative correlation between the real exchange rate change and the real interest rate difference. (6) in the high volatility zone system, the relationship between the RMB exchange rate and the interest rate is more in line with the viscous price currency theory. It shows that the viscous price theory is more powerful in explaining the relationship between exchange rate and interest rate under floating exchange rate and interest rate system. Finally, this paper puts forward some policy suggestions on the development of financial derivatives market, the establishment of deposit insurance system, the cultivation of effective money market, and the perfection of capital market exit mechanism in the light of foreign exchange reform and interest rate reform.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.6;F832.51

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