市场化改革背景下人民币利率和汇率的联动效应研究

Research on the Linkage Effect of RMB Interest Rate and Exchange Rate under the Background of Market Reform

本文将市场化改革新阶段纳入考量,结合货币市场利率、债券市场利率和人民币汇率,运用时间序列分析方法对市场化改革环境下人民币利率和汇率的联动关系进行分析研究,发现人民币利率和汇率之间存在单向传导效应,汇率向利率的传导较为通畅,且长期弱于短期,利率向汇率传导受阻。今后应继续推进利率市场化改革,培育DR为重点、健全中国基准利率和市场化利率体系,完善汇率形成机制,进一步提升资本项目的开放程度。

This article took the new stage of market reform into consideration, combined money market in-terest rate, bond market interest rate and RMB exchange rates, and used time series analysis methods to analyze and study the linkage relationship between RMB interest rate and exchange rate in the market reform environment. The result showed that there is a one-way transmission ef-fect between the exchange rates, the transmission of the exchange rate to the interest rate is rela-tively smooth, and the long-term is weaker than the short-term, also, the transmission of the inter-est rate to the exchange rate is blocked. Therefore, we should continue to promote the reform of in-terest rate marketization, cultivate DR as the focus to improve China’s benchmark interest rate and market-based interest rate system, improve the exchange rate formation mechanism, and further increase the degree of openness of capital accounts.