中美利差与汇率变动:机理与证据

A Study on the Interest Rate Difference and Fluctuations in Exchange Between US and China

利率是调节汇率的有效工具,中美两国相对利差是影响汇率变动的重要因素。在揭示利差影响汇率变动的传导机制的基础上,对中美两国利差及其与中介变量的相乘交叉项共同影响人民币汇率的路径进行脉冲响应分析,主要结论认为:首先,利率平价理论适用于中国,中美两国利差扩大在短期内促进了人民币汇率的升值,长期而言其作用强度则逐渐减弱至稳定;其次,中美利差影响人民币汇率变动的路径中,国内物价作为中介变量所发挥的作用最为强劲,随后依次为货币供应量、股票价格和外汇储备;最后,“替代效应”在中美利差通过股票价格影响汇率变动的路径中更为显著,即短期内中美利差扩大将带来人民币汇率的贬值。当前新冠疫情美国等国家实施“零利率”的无限量QE政策下,中美利差拉大将使人民币汇率面临着升值的风险,为有效应对其对外需的负面冲击,中国应实施“定向精准”与“总量控制”相结合的稳健性货币政策。

Interest rate is an effective tool to adjust the exchange rate,and the relative interest rate difference between China and the United States is an important factor affecting the exchange rate change.On the basis of revealing the transmission mechanism of interest rate spread affecting exchange rate change,the impulse response analysis of the path in which interest rate difference and cross variables affect RMB exchange rate between China and the United States are analyzed,and mainly concludes show that:firstly,the theory of interest rate parity is applicable to China,that is,the expansion of interest rate spread between China and the United States promotes the appreciation of RMB exchange rate in a short period of time,and in the long run,its function gradually weakens and finally becomes stable.Secondly,in the transmission path of interest rate difference between China and the United States affecting RMB exchange rate change,domestic prices play an important role as intermediary variables.The effect of domestic price is the strongest,followed by money supply,stock price and foreign exchange reserve.Finally,the"substitution effect"is more significant in the transmission path of the exchange rate change between China and the United States through the stock price,that is,the widening of the interest rate difference between China and the United States will lead to the depreciation of the RMB exchange rate in the short term.