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论文编号：	5461
作者编号：	2120112455
上传时间：	2013/6/8 13:42:16
中文题目：	人民币利率——汇率联动关系研究
英文题目：	Research on the linkage between RMB interest rate and exchange rate
指导老师：	王永进 教授
中文关键字：	人民币利率，汇率，联动
英文关键字：	RMB interest rate, exchange rate, linkage
中文摘要：	在开放经济中，利率和汇率的联动关系不仅关乎一国的经济运行，并且对这一关系的认识，对于生产部门、金融部门以及其他的头寸持有者的利益都有着重要影响。中国的利率市场化改革和汇率形成机制改革的步伐在近年已经明显加快，为人民币利率——汇率联动提供了基础；但是另一方面，由于改革尚处初期，人民币利率和汇率的联动存在复杂性。本文在充分阅读文献、总结成熟理论的基础上，对人民币利率市场化改革和汇率形成机制改革进行了回顾与梳理，确定了人民币利率——汇率联动的基础是存在的。然后对人民币名义利率和名义汇率、人民币实际利率和实际汇率的关系分别进行了实证研究。研究发现，不论是对于名义变量还是实际变量，利率与汇率之间都存在协整关系；汇率构成利率的格兰杰成因，但反之并不成立；对于实际变量来说，利差对汇率的影响幅度远远小于汇率对利差的影响。这一结果，部分符合了传统理论，对于不符合的部分，本文给出了一定的解释。人民币利率向汇率传导机制不畅的最核心三个原因为汇率形成机制的非市场化、人民币利率市场化处于初期、以及作为二者传导渠道的资本项目的不可自由兑换而带来的资本流动性不足。此外，本文还提出了通过人民币实际有效汇率来理性看待人民币升值贬值问题，优于单纯观察人民币兑美元中间价；国内通货膨胀与人民币升值幅度的关系；以及我国外汇占款作为货币投放主因素而带来的货币投放被动性，进而决定了实证中所出现的汇率对利率的强大影响的现象。本文最后一章简要介绍了英国、日本和美国这3个国家的利率汇率联动情况和机制，反映出了不同的特点，以便从更多角度认识利率——汇率联动问题。
英文摘要：	In open economy, the linkage between the exchange rate and interest rate is not only related to a country's economic operation, but also has an important impact on the production sector, the financial sector, as well as the interest of other positions holders. On one hand, the pace of RMB interest rate market-oriented reform and exchange rate formation mechanism reform has significantly accelerated, which provides the foundation of the linkage between RMB exchange rate and interest rate. On the other hand, the relationship between the two rates is sophisticated due to some problems, including the power and order of the reforms. Based on wide literature reading, this paper summarizes the mechanism of the conduct and the classic theories. To observe the specific situation in China, the paper generalized the routes and fruits of the RMB interest rate market-oriented reforms and exchange rate formation mechanism reform, which definitely provided the basis of the linkage between the two rates. Then the empirical study is conducted, of the the RMB nominal interest rate and the nominal exchange rate, and of the RMB real interest rate and the actual exchange rate relations respectively. For both the nominal and the actual variables, interest rate and the exchange rate are cointegrated; the exchange rate is Granger cause of interest rate, but the causality in the converse direction does not hold. As for the actual variables, the impact of exchange rate on interest rate is heavier the the impact of interest rate on exchange rate. The result above is only partly in line with the traditional theory, and this paper provides some explanation to the deviation. The core reasons for the poor delivery from RMB interest rate to exchange rate lie in 3 points, the non-fully-market-oriented exchange rate formation mechanism, the restricted interest rate floatation, and RMB not freely convertible for capital items. In addition, this paper also proposed that judging the value of RMB by Real Effective Exchange Rate (REER) is more reasonable than the exchange rate between RMB and USD; the relationship between domestic inflation and the appreciation of the RMB; and the phenomena that money supply is dominated by Funds Outstanding for Foreign Exchange, leading to the passive money supply process, which explains the strong impact of exchange rate on interest rate. The last chapter briefly introduced of interest rate-exchange rate linkage mechanism of United Kingdom, Japan and the U.S., in order to provide more perspectives to recognize the relationship and mechanism.
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