中国利率市场化、汇率形成机制与资本账户开放关系的实证研究

Theoretical and Empirical Study on China's Interest Rates Liberalization,Exchange Rates Form Mechanism and Capital Account Liberalization

1978年中国确立了"改革开放"的方针政策,随后进行了利率市场化、汇率形成机制和资本账户的开放改革。本文利用中国1981～2005年的时序数据,构建了利率、汇率与资本账户开放三个变量的VAR模型和格兰杰因果检验动态计量方法进行分析研究。得出的结论为:从协整方程来看,中国当前的汇率与利率对资本账户开放起着反向促进作用;从误差修正模型看,资本账户开放对汇率与利率的发展则是明显的正向促进作用;从格兰杰因果检验看,可以得出资本账户开放会促进利率与汇率的发展。

In 1978, a phalanx of ＂reform and opening up＂ policy in China. has been established, thus car- rying out the reforms of liberalization of interest rates, exchange rates and capital account liberalization. This paper verifies the development theory between interest rate, exchange rate and capital account liberalization from the an- gel of theoretical and empirical aspect. To this end, some econometric methods such as cointegration test, VAR model and Granger causality test are used to analyze the data from 1981 to 2005. The Conclusion is ： from the coin- tegration equation, China＇s current exchange rate and interest rate plays an reverse role in opening capital account; From the point of error correction model, capital account opening to the development of exchange rate and interest rate is a significant positive role in promoting; From the point of granger causality test, capital account liberaliza- tion can promote the development of interest rate and exchange rate.