中美两国利率联动性研究

The Study on the Linkage of Interest Rates Between the U.S.and China

中美两国利率间存在长期稳定的均衡关系,两国利率间具有显著的联动性,但影响程度具有不对称性。美国利率政策变化是中国利率变动的格兰杰(Granger)原因,对中国利率政策影响较大,会引起中国利率同向变动。同时,中国利率政策变动呈现一定独立性,但对美国利率政策影响较小,不能显著引起美国利率政策改变。最后提出了相关政策建议。

The Study investigate the linkage of interest rates between the U. S. and China by using econometric methods and taking the monthly interest rates data from 2008.7 to 2011.8 as a sample. The result shows： there is a long-term stable equilibrium relationship between the two countries interest rates, and a significant interest rate linkage, but the degree of influence is asymmetrical. Changes of U. S. interest rate policy is Granger cause of and has a greater impact on China＇s interest rate policy changes and can lead to changes of China＇s interest rates in the same direction. At the same time, China＇s interest rate policy changes is independent to some extent, but has less impact on the U. S. interest rate policy and can not cause a significant change in U.S. interest rate policy. Finally, some suggestions are put forward.