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基于SHIBOR的中美汇率与利率联动关系实证分析

发表时间:2012-07-15  浏览量:1739  下载量:979
全部作者: 王梦菲
作者单位: 东南大学经济管理学院
摘 要: 采用协整方法对中美实际汇率与中美实际利差的联动关系进行实证分析,得出结论:长期内,中美实际汇率与中美实际利率差之间存在平稳的线性组合,具有一种长期稳定的均衡关系,两者之间负相关。建议在制定国家政策时综合运用汇率政策和利率政策;充分考虑汇率对利率政策的影响,避免实际汇率的大幅波动将有助于维持利率政策的独立性;密切关注美国利率动向,尽量避免两国利差加大,以免造成汇率波动加剧。最后,指出意识到未来利率平价在我国金融市场适用性的改变很有必要。
关 键 词: 应用经济学;中美实际汇率;中美实际利率差;联动关系
Title: Empirical study of correlation between Chinese-American exchange rate and interest rate based on SHIBOR
Author: WANG Mengfei
Organization: Department of Economics and Management, Southeast University
Abstract: This paper uses cointegration test to analyze the correlation of the real exchange rate and the real interest rate gap between China and USA and gets the conclusion that: in the long run, there is a steady equilibrium between the real exchange rate and the real interest rate gap between China and USA. They showed a negative correlation. According to the conclusion, the paper suggests that when the policies are made, the government should harmonize the exchange rate policy and the interest rate policy and it will be helpful to keep the interest rate policy independent if large fluctuations of the exchange rate are avoided. It also suggests that the government should keep eyes on the American interest rate in order to avoid aggravating the fluctuations of the exchange rate. In addition, it points out that as to China’s financial market, the interest rate parity may be applicable in the future and it is necessary to pay attention to other problems in the market.
Key words: applied economics; the real exchange rates of China and USA; the real interest rate gap between China and USA; correlation
发表期数: 2012年7月第13期
引用格式: 王梦菲. 基于SHIBOR的中美汇率与利率联动关系实证分析[J]. 中国科技论文在线精品论文,2012,5(13):1284-1291.
 
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