人民币汇率、资产价格与非线性利率规则

RMB Exchange Rate,Asset Price and Rules of Non-linear Interest Rate

本文以IS-Philips模型为基础构建了一个包含汇率和资产价格(房地产价格)的利率规则,并利用MS-VAR模型实证检验了人民币汇率、资产价格与利率规则的非线性动态关系。研究结论显示:我国利率政策在应对人民币汇率与房地产价格时,存在显著的区制转换效应。当房地产价格处于高区制(即房价处于较高水平)时,利率的上升幅度大于其处于低区制(即房价处于较低水平)时的上升幅度;同时,当人民币汇率处于高区制(即人民币处于强势状态)时,利率的下降幅度大于其处于低区制(即人民币处于弱势状态)时的下降幅度。

Based on the IS- Philips model, this paper structures the the optimal interest- rate rule which in- clude exchange rate and asset price （real estate price）, and then uses the MS- VAR model to test the nonlin- ear dynamic relationship between RMB exchange rate, asset price and interest- rate rule. The rusult shows that our interest- rate rule exist prominet regime switching effect on dealing with RMB exchange rate and asset price. When the real estate price is situated in the high regime, the ascensional range of the interest- rate is greater than that of the low regime. And when the exchange rate is situated in the high regime, the decline range of the interest- rate is greater than that of the low regime. Therefore, our Central Bank should give flail consideration on the regime switching effect in the practice of the monetary policy, and execute the different in- terest- rate policy on dealing with the change of the asset price and exchange rate that is situated in different re^ne so as to maintain the stability of the asset orice and exchange rate.