人民币非线形的实际汇率与实际利差的相关性分析

An Empiric Analysis of the Relationship between Nonlinear Real Exchange Rate and Real Interest Differentials for RMB

本文将非线形的实际汇率运动引入我国的实际汇率与实际利差两者相互关系的研究中。通过Obstfeld和Rogoff实际汇率与实际利差模型,并利用带状门槛自回归模型进行非线形实证研究。非线形实证研究的结果表明,我国实际汇率与实际利差之间存在相关性。

This paper introduces threshold nonlinearity into RMB to investigate the relationship between real exchange rate and real interest differentials. With Obstfeld and Rogoff model and BTAR model, the link between real exchange rate and real interest differentials can be found in the data of our country when nonlinearity in the real exchange is taken into consideration.