中美两国利率与汇率相互影响效应的评估研究——基于抛补利率平价理论的实证检验

Evaluation on Mutual Effect of Interest Rate and Exchange Rate between China and U.S.:An Empirical Study on the Basis of Covered Interest-rate Parity Theory

对中美两国利率与汇率的相互影响效应进行实证评估后可以发现:虽然中国国内利率是美元兑人民币汇率和美国国内利率变化的Granger原因,但中国利率政策变动对美元兑人民币汇率和美国利率政策的影响仍然较小;美国利率政策变动对美元兑人民币汇率和中国利率政策变动的影响相对较大,因而中国的利率市场化改革和金融市场间的传导机制建设仍需深入。

After making empirical study on the mutual effect mechanism between interest rate and exchange rate, we could find some results as following. Firstly, China′s interest rate policy has little effect on Sino-U.S. exchange rate and interest rate policy of the U.S.A., although China′s interest rate is Granger cause of Sino-U.S. exchange rate and interest rate of the U.S.A.. Secondly, interest rate policy of the U.S.A. has more effect on Sino-U.S. exchange rate and China′s interest rate. So we believe that China should continue to establish market-oriented interest rate mechanism and develop international communication mechanism among China′s financial markets.