日元实际汇率与长期实际利率的实证分析:1971~2002

本文研究的是日元长期升值期间（1971—2002年），日元实际汇率波动对日本长期实际利率的影响。实证分析结果表明，1971～2002年，日元实际汇率、美国实际长期利率、日本实际长期利率之问存在长期的均衡关系，日元实际汇率每升值（贬值）1％，日本实际长期利率下跌（上涨）0．02％。本币持续且大幅度地升值，可能使货币当局担心货币过度升值将给经济带来不良影响而采取错误的利率政策。

This paper focuses on how the real exchange rates of Yen influence the long - term real interest rates in Japan in the period of Yen＇ s long - term increasing（ 1971 - 2002）. It demonstrates that, there is a long - term equilibrium relationship between Yen real exchange rotes, real interest rates in US and real interest rates in Japan in 1971 - 2002. Every 1% of Yen real exchange rates revaluation （or devaluation） will lead to 0.02% fall （or rise） in real interest rates in Japan. The continuous large - extent revaluation of local currency may lead the currency authorities to take improper interest policies for preventing the negative influence of excessive currency revaluation.