次贷危机前后中美利率联动机制的实证研究

Empirical Study on the Interest Rate Co-movement Between China and the U.S. Before and After the Subprime Crisis

经济全球化使得一国经济与世界经济变动的关联度越来越大,国际间利率传导呈现不断增强的趋势。本文采用多元非对称VAR-MVGARCH(1,1,1)-ABEKK模型实证研究了次贷危机前后中美两国利率的联动机制。结果表明,中美利率之间存在显著的波动溢出效应;美国利率上升或下降对中国利率波动性以及中美利率协动性的影响具有非对称效应;危机以后中美利率联动进一步加大,这也从侧面体现出危机后国际货币政策协调性的增强。据此,本文认为,我国应当进一步完善人民币汇率形成机制,增强利率调控的独立性;同时积极促进国际间货币政策合作,在中美利率协调中争取更多的话语权与主动性,尽量减少美国利率变动带来的的负面冲击和不确定性,维护国家经济利益。

The economic relationship between a nation and the world is increasingly tightened in the process of the economic globalization, so the interest rate policy coordination between and among countries is very important in this background. The paper uses double variables asymmetric VAR-MVGARCH （1,1,1） -ABEKK model to study the co-movement of the interest rate policy between China and the U.S, The result shows that there is significant volatility spillover effect between the interest rate of China and the U.S.; the increase and decrease of U.S. interest rate has asymmetric impact on China＇s interest rate volatility and the covariance of Chinese and U.S. interest rate. The co-movement between the two is strengthened after the subprime crisis, which also shows the enhancement of monetary policy coordination at the time. The paper suggests that China should further complete the reform of the RMB exchange rate system to strengthen the independence of interest rate adjustment, promote the international monetary policy co-operation and strive for more voice and participation, make efforts to avoid the negative effect and uncertainty of U.S. interest rate policy and maintain the national economic interest.