论汇率与利率关系:1993-2000年泰国事例检验

The Relationship of Foreign Exchange Rate and Interest Rate: The Experience of Thailand from 1993-2000

针对东亚货币危机后关于汇率与利率关系的争论 ,笔者提出了汇率与利率扩展的M- F模型。结论是 :如果仅考虑商品市场和货币市场共同平衡 ,假定其他变量不变 ,那么汇率与利率同方向变动 ;如果其他变量发生变动 ,那么汇率与利率可能会异方向变动。由此 ,该模型能够很好地解释汇率与利率之间有些时期呈现反常规关系而另一些时期又呈现传统关系的原因。但是 ,如果考虑到实现内部、外部共同平衡 ,则根据现实 M- F模型 ,汇率取决于政府支出、实际货币供给量、本国总产出和主要贸易伙伴国总产出 ,利率为中间变量。笔者选取了泰国 1 993- 2 0 0 0年 32个季度作为样本期间 ,对危机状态下扩展的现实 M-

I put forward an extended M-F model to analyze the relationship between exchange rate and interest rate. I conclude that exchange rate is positivelty related to the interest rate,controling other variables.But,if other variables change,the exchange rate may be negatively related to the interest rate. Thus,we can convincingly explain why thers is sometimes perverse relation and sometimes orthodox relation between exchange rate and interest rate. This paper also conclude that the exchange rate depends on government expenditure,real monetary supply,home GDP and main trade partners' GDPs,and interest rate is a medium variable. we choose Thailand in 1993-2000 as a sample,and make an empirical test on the extended M-F model.