金融市场化改革进程中人民币汇率和利率动态关系研究——兼论人民币汇率市场化和利率市场化次序问题

The Study on the Dynamic Relationship between RMB Exchange Rate and Interest Rate in Process of Financial Marketization Reform——The Order Problem of RMB Exchange Rate Marketization and Interest Rate Marketization

在汇率市场化和利率市场化改革不断向前推进的背景下,研究人民币汇率与利率之间的动态关系具有重要的现实意义。本文首先通过DCC-GARCH模型初步探讨了汇率与利率之间的动态条件相关关系,然后利用非线性Granger因果检验方法深入研究了两者之间的相互影响关系,发现无论是整个样本时间内,还是汇率市场化进程中各个阶段,抑或利率市场化进程中各个阶段,利率对汇率的影响程度均显著大于汇率对利率的影响程度,且该结果具有较强的稳健性。基于上述实证结果,本文进一步探讨了人民币汇率市场化和利率市场化的次序问题,本着从根本上解决金融市场化问题和避免更大的二次冲击的原则,本文认为目前我国可适当加快利率市场化步伐,该结果与我国当前金融市场改革实践较为一致。上述结果对于我国政府进行决策具有一定的参考意义。

It is an important practical significance that study the dynamic relationship be- tween the RMB exchange rate and interest rate in the context of RMB exchange rate and interest rate marketization continue to move forward. This paper uses the DCC-GARCH model discussed the dynamic conditional correlation relationship between exchange rate and interest rate firstly. Then, we use nonlinear Granger causality test method to study the inter- action relationship between the exchange rate and interest rate, and find that no matter the whole sample period, or the process of interest rate marketization, or the process of ex- change rate marketization, exchange rate are all impacts greater on the interest rate than interest rate impact on exchange rate, and the result has strong robustness. Based on the above empirical results, this paper explores the order problem of RMB exchange rate mar- ketization and interest rate marketization. This paper considers that our government could appropriate to accelerate the pace of interest rate marketization in light of fundamental solu- tion to the problem of financial marketization and avoid further secondary impacts, and the result is consistent with the current financial market reform practices of our country. The result of this study has some reference for government decision-making in China.