基于STR模型的人民币汇率利率协调机制研究

运筹与管理 ›› 2014, Vol. 23 ›› Issue (1): 179-187.

基于STR模型的人民币汇率利率协调机制研究

王玉华¹, 惠晓峰², 李敦亮³

1,2.哈尔滨工业大学管理学院,黑龙江哈尔滨 150001;
1,3.中国人民银行淄博市中心支行,山东淄博 255046

收稿日期:2012-11-06 出版日期:2014-01-25
作者简介:王玉华(1971-),男,山东高青人,博士研究生,高级经济师,研究方向:汇率理论、货币政策、价格理论;惠晓峰(1957-),男,陕西清涧人,教授,博士生导师,研究方向:汇率理论与汇率预测、资本市场、金融风险管理;李敦亮(1980-),男,山东莱芜人,硕士研究生,经济师,研究方向:货币政策与国际金融。
基金资助:
国家自然科学基金:多市场间金融危机传染的非线性动力学研究(71173060);国家自然科学基金重点项目:投资者视角下的战略投资决策与风险管理研究(71031003)

Empirical Research on the Interest Rate of RMB and Exchange Rate ——Based on nonlinear Smooth Transition Regression Model

WANG Yu-hua¹, HUI Xiao-feng², LI Dun-liang³

1,2. School of Management Harbin Institute of Technology, Harbin 150001, China;
1,3. the People’s Bank of China Zibo Central Sub-branch, Zibo 255046, China

Received:2012-11-06 Online:2014-01-25

摘要/Abstract

摘要： 本文应用非线性平滑转换回归模型研究了2002年1月份到2011年12月份我国与美国、欧元区、日本、韩国等有效汇率指数、综合利差之间的关系。实证分析表明,汇率对利率的影响具有明显的非对称性,具有较强的非线性转移动态特征。分国别看,四个国家或地区之间的上期利差均是影响本期利差的重要因素;在短期内汇率对利率影响较大。因此,短期内人民币汇率弹性的扩大应该主动、逐步、稳定进行,防止人民币汇率弹性的急剧扩大导致利率的过度波动。其次,逐步有序加快利率市场化进程并加强与汇率市场化的配合,构建高效的汇率-利率联动机制。

关键词: 金融学, 协调机制, 平滑转换回归模型, 汇率, 利率

Abstract: In order to analyze the relationship of interest rate and effective exchange rate,this paper uses the Smooth Transition Regression Model and then chooses the monthly data of these two variables of China、USA、Eurozone、Japan and Korea from Jan. 2002 to Dec. 2011.The results show that exchange rate has a nonlinear influence on interest rate and obvious asymmetry. The last month interest rate and exchange rate have an important influence on interest rate in these four countries. Based on this, in order to prevent the flexibility of exchange rate surge caused by excessive fluctuations of the interest rate, we should progressively and stablely take the initiative to expand the flexibility of exchange rate in the short term. Secondly,we should gradually speed up the process of interest rate and exchange rate co-ordination liberalization, and build an efficient linkage system.

Key words: finance science, coordinate mechanism, smooth transition regression model, exchange rate, interest rate

中图分类号:

F830.9

王玉华, 惠晓峰, 李敦亮. 基于STR模型的人民币汇率利率协调机制研究[J]. 运筹与管理, 2014, 23(1): 179-187.

WANG Yu-hua, HUI Xiao-feng, LI Dun-liang. Empirical Research on the Interest Rate of RMB and Exchange Rate ——Based on nonlinear Smooth Transition Regression Model[J]. Operations Research and Management Science, 2014, 23(1): 179-187.

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