摘要
定量分析人民币利率对汇率长期走势与短期波动的影响,对于中国利率市场化与汇率制度选择等问题意义重大。对时间序列变量进行单位根检验、协整检验,以及建立误差修正模型等实证研究表明无论在长期还是短期,人民币利率对汇率都是反向影响。长期内,利率对人民币汇率存在较强的影响;短期内,利率对人民币汇率影响较弱。我国利率主要还是通过商品市场间接地对汇率产生作用。
The quantitative analysis of the influence of RMB interest rate on exchange rate is of great significance in the marketization of interest rate and choosing exchange rate system in China. The empirical study which includes unit root test of time series variable, co-integration test and setting up error correction model shows that whether in the long-term or the short-term, the RMB interest rate has a reverse influence on exchange rate. In the long-term, the interest rate has a stronger influence on exchange rate, but in the short-term, the interest rate has an inferior influence on exchange rate. It is mainly through the commodity market that the interest rate acts on the exchange rate indirectly in China.
基金
国家社会科学规划基金项目(04BJL027)
教育部"985工程"哲学社会科学创新基地
南京大学经济转型和发展研究中心支持。
关键词
利率
汇率
单位根检验
协整检验
误差修正模型
interest rate
exchange rate
unit root test
co-integratlon test
error correction model
