利率汇率平价关系、中美利差与中国宏观经济波动的动态关联性

Dynamic Correlation Between Interest Rate Parity, Sino-US Spreads and China's Macroeconomic Fluctuation

美国货币政策调整对中国宏观经济周期性波动的影响值得关注,一方面,美元升息影响中美利差,从而对中国经济运行产生影响;另一方面,中国作为全世界最大的发展中国家,无论就经济总量、还是就中美经济关联性而言,中国的经济运行态势即使不一定对美国货币政策形成直接影响,也会对中美利差具有决定性影响。考虑到中国资本市场尚未完全自由化,文章通过利率汇率平价关系构造反映中美利差的变量和指标,基于MS-SVAR实证模型,研究和检验了中美利差与中国宏观经济波动的动态关联性。结果表明:在分析美国货币政策调整、中美利差变化对中国经济的影响时,需要考虑中国经济与中美利差的双向因果影响;就MS-SVAR模型对结构化冲击的识别机制和方法提出了改进,可以进一步保证结构实证模型和结论的可靠性与解释力。

The impact of US monetary policy adjustment on China’s macroeconomic cyclical fluctuations deserves much attention from us.On the one hand,dollar interest rate hike affects the Sino-US interest rate differential,which produces an impact on the operation of China’s economy.On the other hand,as the largest developing country in the world,China’s economic performance,even if it does not have a direct impact on the monetary policy of the United States,will also have a decisive effect on Sino-US interest rate differentials,both in terms of economic aggregate and the economic relevance between the two countries.Considering that China’s capital market has not yet been fully liberalized,this paper constructs variables and indicators reflecting the interest rate spreads between China and the United States through the interest rate parity relationship,and then relies on the MS-SVAR empirical model to study and examine the dynamic correlation between the Sino-US interest rate differentials and China’s macroeconomic fluctuations.The results show that it is necessary to take into account the two-way causal effect of China’s economy and Sino-US spreads in time of analyzing the impact of the U.S.monetary policy adjustment and change of interest rate differentials on China’s macroeconomic fluctuations.The paper also puts forward an improvement on the recognition mechanism and method of structural shock by MS-SVAR model,which can further guarantee the reliability and explanatory power of structural empirical model and conclusion.