基于国际收支视角的人民币汇率与利率联动机制分析

An Analysis of the Linkage Mechanism between RMB Exchange Rate and Interest Rate from the Perspective of Balance of International Payments

结合我国货币政策和汇率政策,从国际收支视角下金融市场、产品市场和外汇储备三个渠道分析利率和汇率联动的动态循环机制,采用2005年7月汇率制度改革以来的月度数据,基于VAR和VEC模型对不同渠道传导机制的有效性开展实证检验。研究结果表明,2017年以后金融市场和产品市场渠道作用逐渐大于外汇储备市场渠道作用。人民币利率与汇率存在显著的反向联动关系,人民币汇率对利率的影响较强,利率对汇率的影响较弱。汇率的金融市场传导渠道在即期反应迅速、影响较大,但利率的金融市场传导渠道受阻。利率与汇率的产品市场传导渠道较为复杂,短期与中期的影响方向相反。因此,应拓宽人民币汇率浮动空间,加快发展外汇市场,健全利率市场化形成机制,畅通跨国资本流动的传导渠道,并在货币政策的运用中注重利率政策与汇率政策的协调配合。

Based on the perspective of balance of international payments,this paper analyzes the dynamic circulation mechanism of interest rate and exchange rate linkage from three channels:financial market,product market and foreign exchange reserve.The results of historical analysis and empirical analysis show that there is a significant reverse linkage relationship between RMB interest rate and exchange rate,and RMB exchange rate has a stronger impact on interest rate.There are two stages in which the linkage has changed in the same direction.The foreign exchange reserve channels play a major role,affecting the independence of monetary policy.Among the three transmission channels,the financial market transmission channel is the smoothest,with rapid response and great influence.The product market channel and foreign exchange reserve channel are blocked in the process of interest rate affecting exchange rate.Finally,combined with the current Sino-US trade friction escalation and the depreciation pressure of the RMB,this paper proposes that priority should be given to monetary policy independence,focusing on preventing systemic risks caused by cross-border capital flows,and taking this opportunity to steadily push forward the reform of exchange rate and interest rate marketization.