实际汇率与实际利差理论模型及实证研究综述

On Real Exchange Rate and Actual Spreads Model

Frankel在Dornbush粘性价格汇率理论的基础上推导出粘性实际利差模型,阐明了实际汇率与实际利差之间的理论联系。随后,一些经济学家对实际汇率与实际利差的实证研究结果均不支持实际汇率与实际利差之间的理论联系。对此,不断有新的文献出现,从不同角度对这种理论与实际的不吻合的现象给予解释。鉴于此,本文试图对实际汇率与实际利差两者关系的理论与实证研究进行梳理和介绍,以期为国内经济学界研究实际汇率与实际利差关系问题提供一个理论参考。

Frankel updates Dornbusch overshooting model and provides the real-interest-differential model which shows the relationship between real exchange rate and real interest differentials. Unfortunately, there is little empirical evidence to support the model by many earlier papers. From then on, some papers explain the evidence from other angles. This paper tries to introduce the theoretical and empirical research about the link between real exchange rate and real interest differentials.