人民币汇率与利率的区制转变关系研究

On the Relation of Exchange Rate and Regime Switching of Interest of RMB

根据马尔可夫区制转变向量自回归(MS-VAR)模型分析,人民币实际汇率变动和实际利率差的波动具有显著的区制转变特征。2005年人民币汇率制度改革后,人民币实际汇率变动和实际利率差的波动发生了从低波动区制向高波动区制的转变。随着2008年的世界金融危机,二者的波动又发生了从高波动区制向低波动区制的转变。实际利率差对人民币实际汇率变动有显著影响,而人民币实际汇率变动对实际利率差的影响在统计上不显著。

According to the MS-VAR model,there are significant regime switching characteristics in the volatilities of RMB real exchange rate and real interest rate differentials. These two variables are jointly characterized by high volatility after the reform of RMB exchange rate in 2005 and low volatility before the reform. After the global financial crisis in 2008,the two variables switched to low volatility regime from high volatility regime. Real interest rate differentials have a significant impact on changes of real exchange rate of RMB and there is no statistically significant evidence that changes of real exchange rate of RMB affect real interest rate differentials.