基于STR模型的人民币汇率利率协调机制研究

Empirical Research on the Interest Rate of RMB and Exchange Rate ——Based on nonlinear Smooth Transition Regression Model

本文应用非线性平滑转换回归模型研究了2002年1月份到2011年12月份我国与美国、欧元区、日本、韩国等有效汇率指数、综合利差之间的关系。实证分析表明,汇率对利率的影响具有明显的非对称性,具有较强的非线性转移动态特征。分国别看,四个国家或地区之间的上期利差均是影响本期利差的重要因素;在短期内汇率对利率影响较大。因此,短期内人民币汇率弹性的扩大应该主动、逐步、稳定进行,防止人民币汇率弹性的急剧扩大导致利率的过度波动。其次,逐步有序加快利率市场化进程并加强与汇率市场化的配合,构建高效的汇率-利率联动机制。

In order to analyze the relationship of interest rate and effective exchange rate, this paper uses the Smooth Transition Regression Model and then chooses the monthly data of these two variables of China,USA Eu- rozone,Japan and Korea from Jan. 2002 to Dec. 2011. The results show that exchange rate has a nonlinear influ- ence on interest rate and obvious asymmetry. The last month interest rate and exchange rate have an important influence on interest rate in these four countries. Based on this, in order to prevent the flexibility of exchange rate surge caused by excessive fluctuations of the interest rate, we should progressively and stablely take the initi- ative to expand the flexibility of exchange rate in the short term. SeCondly, we should gradually speed up the process of interest rate and exchange rate co-ordination liberalization ,and build an efficient linkage system.