人民币汇率与中美利率联动机制分析

An Analysis of RMB Exchange Rate and the Linkage Mechanism of China-US Interest Rate

本文引入国际资本流动净额作为研究汇率与利率之间互相作用的中介。利用2005年7月至2013年12月的月度数据,构建包含人民币汇率、国际资本流动净额及中美利率差为内生变量的SVAR模型,实证分析三者之间的动态关系。研究结果表明:国际资本净额变大会引起人民币实际汇率下降但会使中美利率差加大;人民币实际汇率上升会使国际资本流动净额和中美利率差下降;中美利率差上升会使人民币实际汇率上升,而使国际资本流动净额变小。人民币实际汇率和国际资本流动净额的影响居于主导地位,而利率对两者的影响并不明显。

This paper introduces net international capital flow(NICF) as the medium to analyze the interaction between exchange rate and interest rate, and uses the monthly data during July, 2005-December, 2013 to construct a SVAR model that contains endogenous variables such as RMB exchange rate, NICF and China-US interest rate spread, then empirically analyzes the dynamic relationship between the three variables. The results of the paper show that the increase in NICF will results in decrease in RMB real exchange rate and increase in China-US interest rate spread; the increase in RMB real exchange rate will results in decrease in NICF and China-US interest rate spread; the increase in China-US interest rate spread will results in increase in RMB real exchange rate and decrease in NICF. The influences of RMB real exchange rate and NICF are dominant,and the influence of interest rate on RMB real exchange rate and NICF is not significant.