不确定性、风险异质与“利率-汇率”随机动态均衡:理论与实证

Uncertainty,Risk Heterogeneity and Stochastic Dynamic Equilibrium of Interest Rate and Exchange Rate: Theory and Empirical Evidence

文章从理论层面将风险异质与交易成本引入非抛补利率平价模型，建立内嵌风险异质的“利率-汇率”随机动态均衡理论模型。文章从实证层面建立TVP—SV-VAB模型并运用MCMC算法进行估计，研究发现：（1）2010～2016年间“利率一汇率”随机动态均衡表现为非抛补利率平价部分成立，内嵌风险异质的拓展模型更能准确捕捉“利率-汇率”随机动态均衡关系；（2）“利率-汇率”均衡呈现双重非对称性；（3）2015年我国汇改与美元加息导致“利率-汇率”随机动态均衡出现经济结构性突变，需警惕美元加息带来的人民币贬值压力。

With risk heterogeneity and transaction cost introduced into the uncovered interest rate parity( UIP) model,a stochastic dynamic equilibrium model of ' interest rate- exchange rate' is established. MCMC algorithm is used to estimate TVP-SV-VAR model with following conclusions:( 1) from 2010 to 2016,uncovered interest rate parity part was not supported by empirical evidence.( 2) ' interest rate- exchange rate ' equilibrium has asymmetry.( 3) the Chinese exchange rate reform and dollar interest rate increase lead to economic structural mutation of the equilibrium.