人民币利率与汇率的动态相关关系：基于DCC模型的研究

The Dynamic Conditional Correlation between RMB Interest Rate and Exchange Rate:an Analysis Based on DCC Model

以探讨利率与汇率的关系为切入点,运用DCC多元GARCH模型研究人民币利率与汇率之间的动态相关关系。研究结果显示:两变量之间的相关关系并非常数,而是随时间变动;在汇率改革前,汇率和利率呈现正相关关系,而汇率改革后,两者呈现出负相关关系,但相关关系波动程度加大。

This paper explores the relationship between exchange rate and interest rate, and empirically examines the dynamic conditional correlation between RMB interest rate and RMB exchange rate using DCC analysis, a multivariate GARCH method. It shows that the correlation between the two variables is far from constant. Before the RMB exchange reform, the correlation is positive, while it is negative after the reform, but more volatile