国际利率联动性动态演变趋势研究——基于状态空间模型的分析

The Study on Tendency of International Interest Rate Linkage ——Based on State Space Model

研究利用状态空间模型,选取2002年1月-2012年7月的月度数据为样本,考察了中国、英国、欧元区与日本政策利率同美国政策利率联动性的特征与演变趋势。结果表明,整体上,近十年来以美国为主导的国际利率政策调整对其他国家的利率政策产生一定程度的正向作用,国际利率呈现一定程度的联动性,且有逐步增强的趋势。特别是在国际经济异动时期,这种趋势更加显著。但对于不同国家而言,国际利率联动的特征与演变趋势有差异。其中,中国政策利率与美国政策利率的联动关系在后金融危机期有下降趋势,而中国利率政策的独立性相对增强。最后指出了相关政策含义。

By using state - space model and taking the monthly interest rates data from 2002.1 to 2012.7 as a sample, this paper studies policy interest rates linkages characteristics and evolution trend of policy interest rate of China, British, Euro Zone and Japan with the United States policy interest. The results shows： on the whole, international interest rate changes have the positive effect on policy interest rate of other countries to some extent in the past ten years, and there is an obvious International interest rate linkage. International interest rate linkage has gradually increased. This trend is more obvious in the international economic transaction period, but for different countries, characteristics and evolution trend of international interest rate linkage are differ- ent. Among them, the policy rates linkage between China and the United States have declined in the post-crisis period, and the relative independence of interest rate policy is increasing. Finally, the related policy implications are put forward.