实际汇率与实际利率差:基于中美1978—2008年数据的实证分析

Real Exchange Rate and Real Interest Differentials:Evidence from China and USA during 1978—2008

传统的国际宏观经济学理论认为,实际汇率与实际利率差之间存在长期的反向变动关系。协整和误差修正模型的实证分析表明,中美实际利差与人民币汇率之间存在协整关系,两者之间存在正向变动关系,这与理论模型的结论不一致。因此,本外币利差与本国货币实际汇率变化率模型在我国的适用性有限。

Traditional international macroeconomic theory suggests that, on the long run, the relationship between the interest differentials and the changes of the real exchange rate is negative. Co-integration analysis based on the data of China and USA indicates that the relationship is positive, which is inconsistent with the conclusion of the model. So the model of the relationship between real exchange rate and real interest differentials is limitedly suitable to China.