中美利率与汇率联动关系的实证研究：2005-2008

An Empirical Study on Interactive Relationship between Interest Rates and Exchange Rates in China and America:2005~2008

在经济金融全球化的今天,尤其伴随我国金融业全面开放、人民币国际化进程的逐步推进,中美利率与汇率联动关系的研究显得日益重要。本文在借鉴经济学有关利率和汇率联动关系的理论模型和传导机制的基础上,运用计量经济学理论模型和统计软件Eviews5.0,通过对利率与汇率经济变量的平稳性检验、协整关系检验、因果关系检验、冲击反应分析和方差分解检验,较为全面地对中美利率与汇率的联动关系进行了实证分析。通过实证分析,我们发现中美利率和汇率在长期内存在协整关系,但短期联动关系不足,我国应加快推进利率市场化进程,积极完善人民币汇率形成机制,使我国利率政策和汇率政策相互协调,促进宏观经济向内外均衡发展。

Along with growing globalization of world economy and finance, especially along with full liberalization of financial industry and RMB＇ internationalization, a study on the relationship between interest rate and exchange rate is more and more important. In this paper, based on the model and transmission mechanism, employing econometrics tools, such as Augment Dickey-Fuller Test, Granger Test of Causality and so on, the authors conduct an empirical study on relationship between interest rate and exchange rate in China and America. Through the empirical analysis, it is found that the interest rate and exchange rate in China and America are coordinate in the long run, but lack short-term linkage. Therefore, China should speed up the process of interest rate marketization and actively improve the exchange rate forming mechanism of RMB, in order to integrate our interest rate and exchange rate policies, striking a deliberate macro-economic balance internally and externally.