【作者】 李盼盼；

【导师】 魏晓琴；

【作者基本信息】 中国海洋大学 ， 金融学， 2008， 硕士

【摘要】 近年来,随着我国贸易与资本项目“双顺差”持续快速增长,大量外汇资金涌入境内,外汇储备不断积累,外汇占款大幅增加,人民币一直面临着巨大的升值压力。而为保持汇率稳定,央行只能被动购汇,由此投放的基础货币大幅增加,从而导致资金过于宽松。这不仅给银行扩充信贷提供了前提条件,也给固定资产投资快速增长提供了温床。贸易持续顺差格局短时间内难以发生巨大变化,人民币将继续面临升值压力,央行货币政策的主动性和有效性仍然面临严峻挑战。因此,正确认识汇率政策的灵活性和利率政策的独立性之间的关系具有重要的经济意义,以协调运用汇率、利率工具实现内外均衡,促进国民经济平稳快速发展。2005年汇改以后,我国开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度,这意味着央行对汇市的干预减少,汇率机制更富弹性。在此基础上,逐步实现我国货币政策中介目标由货币供给量到利率的转变,根据实际经济情况如通货膨胀率以及GDP的变动等因素调控利率,稳步推进利率市场化。通过积极推行利率市场化,使资金使用效率得到提高,资金流向效率更高和更需要资金的部门和企业,充分发挥市场化利率较强的效率激励功能。本文采用2005年7月到2007年12月的人民币兑美元月均名义汇率(NE)和中国人民银行公布的银行间同业拆借月加权平均利率(R)数据,运用单位根检验、协整检验、格兰杰因果检验与基于向量自回归(VAR )模型的脉冲响应和方差冲击分解计量经济学方法,对汇改后汇率和利率关系作系统、全面的实证研究。通过实证分析可以看出,我国2005年汇改后汇率和利率相互影响关系有所增强,并且汇率对利率的影响强于利率对汇率的影响,汇率与利率之间影响的方向基本都为负,即本币贬值导致利率下降,利率上升导致本币升值,但汇率与利率相互之间的影响程度很低,两者的联动性明显不足。所以本文选择联系汇率制成功典范的香港,成功运用汇率、利率工具实现经济复苏的日本,还有与我国同属发展中国家的智利作为研究对象,通过对这些国家和地区汇率和利率体制及其发展进程和在此过程中汇率和利率相互作用机制的研究,来说明有效运用汇率、利率工具在经济稳定发展中的作用,从而为我国进一步推进汇率体制改革和利率市场化,加强汇率和利率联动性来调节经济发展提供经验借鉴。针对我国目前汇率和利率联动中存在的问题,我们应该重新审视人民币汇率和利率关系问题,继续深化汇率与利率的市场化,以期在保持经济持续、快速增长的同时,以稳健的方式实现人民币汇率和利率关系的顺畅和协调。更多还原

【Abstract】 In recent years, with China’s trade and capital projects "double surplus" sustained and rapid growth, massive influx of foreign funds, the accumulation of foreign exchange reserves, substantial increase in foreign exchange, the RMB has been facing tremendous pressure of appreciation. In order to maintain a stable exchange rate, the central bank have to purchase foreign exchange,which leads to excessly increase of base currency. The central bank’s monetary policy’s independence and effectiveness are facing severe challenges. Therefore, we have to have a more clear understanding of the relationship between the exchange rate and interest rates.Then we can use the exchange rate and interest rate tool correctly to achieve internal and external balance, and to promote the development of economy.We choose datas from July 2005 to December 2007 on behalf of the RMB nominal exchange rate against the dollar announced by the central bank and inter-bank weighted average lending interest rate to do empirical research.After the reform of China’s 2005 exchange rate system,the relations between interest rates and exchange rates are strengthen, and the impact of exchange rate on interest rates is stronger than the impact of interest rates on the exchange rate, and the mutual influence is negative. The devaluation of currency leds to a decline in interest rates, and the rising of interest rates leads to the appreciation of the currency.But the impact between Exchange rates and interest rates is low,and the linkage between them is obviously inadequate. Therefore, we select Hong Kong as a successful example of the linked exchange rate system,Japan as the successful application of the exchange rate and interest rate tool to achieve economic recovery , and Chile whose conditions are similar to China.Through the development process of these countries’exchange rates and interest rates system, as well as the mechanisms of interaction between them, we can see the effective use of exchange rates and interest rates are very important in the steady development of economy.That’s useful international experience.In view of the linkage issues between current exchange rate and interest rate, we should re-examine the relations of RMB exchange rate and interest rate to make RMB exchange rate more flexible and thereby to make exchange rate and interest rate more market-oriented, with a view to maintain a sustained, rapid growth and sound way to the development of economy.更多还原