【作者】 董甜甜；

【导师】 姚海明；

【作者基本信息】 苏州大学 ， 金融学， 2012， 硕士

【摘要】 开放经济条件下，利率与汇率分别作为货币市场和外汇市场上的价格指标，两者相互关联，相互影响，对一国的金融稳定和宏观调控有着特别重要的意义。随着我国经济体制改革的渐进深入，市场开放力度不断加大，人民币利率与汇率间联动关系的存在状态就成为了理论与实务界关心的焦点。本文采用定性与定量分析相结合的方式，在文献回顾的基础上，对相关理论进行研习，总结出市场化条件和非市场化条件下利率与汇率间的相互影响效应；并联系人民币利率与汇率的现实表现，对两者间的关联进行了直观判断；综合运用向量自回归模型、单位根检验、协整检验、格兰杰因果检验、脉冲响应函数、方差分解等多种计量方法，验证人民币利率与汇率间联动的作用力度和持续性；研究发现随着我国市场化进程的不断推进，人民币利率与汇率间的关系出现了一定程度的改善，但整体而言，联动关系仍显不足；依据实证结果分析原因，并就如何提高利率与汇率间的关系提出相关政策建议。本文在分析人民币利率与汇率间微弱的联动关系的产生原因时，进行了研究努力，综合考虑了当前环境下市场利率的效力、汇率形成的市场性、资本流动的自由程度，以及稳定的汇率政策和兼顾内外均衡的利率政策间的搭配给联动关系所带来的影响；在提出优化两者间联动关系的建议时，也尝试分别从短期和长期角度出发予以考虑。更多还原

【Abstract】 As price signal of currency market and foreign exchange market, interest rate andexchange rate have an effect on each other in the open economy, which is very important tothe fiancial stability and macroeconomic regulatory of one country. As economic systemreform goes deeper and market opens up further, the linkage between RMB interest rateand exchange rate has become a focus in both theory and practice field.On the basis of literature review and theory study, this paper uses both qualitativeanalysis method and quantitative analysis method, sums up the interaction effect betweeninterest rate and exchange rate under market condition and non-market condition.According to the actual performance, the paper makes a intuitive judgment about RMBinterest rate and exchange rate. Besides, the paper comprehensively uses vector autoregression model、unit root test、cointegration test、Granger causality test、impulse responseand variance decomposition to verificate the linkage between RMB interest rate andexchange rate, and test how long and how much the linkage exits, the paper founds thatwith the market opens up further more, there is an improvement of the linkage betweenRMB interest rate and exchange rate to a certain degree, though it is still weak overall.Finally the paper analyses the reason of the empirical results, and aslo gives somesuggestions to improve the relationship between RMB interest rate and exchange rate.In order to find the reason which causes the linkage weak, the paper considersfollowing aspects comprehensively, including the effect of market interest rate、exchangerate formation、capital flow, and the current policy collocation, which is composed by thestable exchange rate policy and interest rate policy used to solve both internal and externalbalance problem. Lastly, in order to improve the linkage between RMB interest rate andexchange rate, the paper tries to give policy suggestions from short term and long termperspective separately.更多还原