汇率和利率关系实证研究
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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。
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.
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。
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.
引文
[1]孙杰.汇率与国际收支-现代西方国际金融.[M].经济科学出版社.北京.1999
[2]徐长生,苏应蓉.从新斯旺模型看我国利率与汇率政策的组合.[J].国际金融研究.2006.12
[3] P·格罗斯曼,M·奥伯斯法尔德.国际经济学.[M].北京.中国人民大学出版社.l998
[4]王爱俭.汇率导论.[M].北京.中国金融出版社.1997
[5]崔孟修.现代西方汇率理论决定理论研究.[M].北京.中国金融出版社.2002
[6]姜波克.国际金融新编.[M].上海.复旦大学出版社.2001
[7]钱荣擎.国际金融.[M].天津.南开大学出版社.2002
[8]任康钰.国际金融.[M].北京.机械工业出版社.2006.9
[9]谢平,张晓朴.货币政策与汇率政策的三次冲突.[J].国际经济评论.2002.5、6期
[10]黄辉.人民币汇率改革及其影响研究.[J].中国总会计师.2007.1
[11]刘金波.发展中国家汇率制度市场化改革对我国的启示.[J].哈尔滨学院学报.2007.5
[12]胡涛,张树敏.我国利率市场化与汇率形成机制关系分析.[J].金融与经济.2006.9
[13]石晶莹.我国的利率市场化实践综述.[J].绥化学院学报.2007.2
[14]胡国辉,刘志立.关于我国利率市场化若干问题的研究.[J].商业研究.2006.2
[15]王素琴.借鉴国际经验促进我国利率市场化改革.[J].商场现代化.2007.1
[16]刘利.利率市场化问题研究.[M].北京.经济科学出版社.2001
[17]樊讳斌.中国利市场化改革与汇率制度的选择.[J].金融教学与研究.2OOl.l
[18]孔德刚.对我国利率市场化改革的阶段性评价.[J].投资研究.2007.2
[19]韩克勇.关于中国货币政策有效性的探讨.[J].兰州商学院学报.2007.2
[20]陈伟光.论中国利率市场化改革的次序性和渐进性原则.[J].金融与保险.2004.2
[21]张肃.论人民币利率和汇率关系的协调.[J].工业技术经济.2002(1)pllO—lll
[22]叶莉,郭继铭.利率平价的人民币汇率与利率关系的实证研究.[J].河北工业大学学报.2003.2
[23]刘新,刘昌国.外汇汇率的协整分析及实践意义.[J].商业研究.2007.4
[24]熊鹏.人民币利率对汇率影响的实证研究:1981—2003.[J].财经论丛.2005.5
[25]汇率与利率联动机制研究课题组.名义汇率与名义利率相互影响的实证分析:1979.1～2005.12—兼论我国的汇率利率政策.[J].华北金融.2007.1
[26]罗翔.香港联系汇率制度利弊及可持续性分析.[J].亚太经济.2006.3
[27]寿晖.香港利率市场化及对我国的启示.金融与经济.[J].2002.12
[28]陈建安.日本的外汇制度与汇率政策调整中的美日博弈.[J].日本学刊.2006.4
[29]闫素仙.日本和韩国利率自由化的进程及其启示.[J].生产力研究.2002.4
[30]黄志龙.钉住汇率制向浮动汇率制的转换:智利案例的研究.[J].拉丁美洲研究.2005.10
[31]金永红.利率市场化的国际经验与启示.[J].上海投资.2007.5
[32]张宗新.金融开放条件下利率改革和汇率改革的协同效应分析.[J].国际金融研究.2006.9
[33]君羊,谭文.影响人民币汇率若干宏观因素的实证检验.[J].上海财经大学学报.2004
[34]刘淄,张力美.金融开放条件下利率和汇率相互影响及其协调.[J].国际金融究.2003.1
[35]刘义圣.中国利率市场化论纲.[M].北京.北京大学出版社.2002
[36]赵进文,高辉.中国利率市场化主导下稳健货币政策规则的构建及应用.[J].经济学季刊.2004
[37] Dickey,D.A.and W.fuller.Distribution of the Estimators for Autoregressive Time Series with a Unite Root.Journal of the American Statistical Association,74(366).427—43l.1979
[38] Engle,R.and C.W.J.Granger.Co—integration and error Correction:Representation,Estimation and Testing.Econometrica.55.2.251—76.1987
[39]罗纳德·麦金农,大野健一.美元和日元.[M].上海远东出版社.1999
[40] Flood R.P.and Jeanne Olivier.An Interest Rate Defense Fixed Exchange Rate? IMF Working Paper,No.00159,2000
[41] Inci,A.C,and Lu,B. Exchange rates and interest rates:can term structure models explain currency movements? Journal of Economic Dynamics& Control.28:pp1595~1624.2004
[42] Rodrigo Caputo. Persistence and the Role of the Exchange Rate and Interest Rate Inertia in Monetary Policy. Working Paper,2004.
[43] Gianluca Benigno,and Pierpaolo Benigno. Exchange Rate Determination under Interest Rate Rules. Department of London School of Economics.Working Paper.2004
[44] www.bis.org.国际清算银行网站
[45] www.pbc.gov.cn.中国人民银行网站
[2]徐长生,苏应蓉.从新斯旺模型看我国利率与汇率政策的组合.[J].国际金融研究.2006.12
[3] P·格罗斯曼,M·奥伯斯法尔德.国际经济学.[M].北京.中国人民大学出版社.l998
[4]王爱俭.汇率导论.[M].北京.中国金融出版社.1997
[5]崔孟修.现代西方汇率理论决定理论研究.[M].北京.中国金融出版社.2002
[6]姜波克.国际金融新编.[M].上海.复旦大学出版社.2001
[7]钱荣擎.国际金融.[M].天津.南开大学出版社.2002
[8]任康钰.国际金融.[M].北京.机械工业出版社.2006.9
[9]谢平,张晓朴.货币政策与汇率政策的三次冲突.[J].国际经济评论.2002.5、6期
[10]黄辉.人民币汇率改革及其影响研究.[J].中国总会计师.2007.1
[11]刘金波.发展中国家汇率制度市场化改革对我国的启示.[J].哈尔滨学院学报.2007.5
[12]胡涛,张树敏.我国利率市场化与汇率形成机制关系分析.[J].金融与经济.2006.9
[13]石晶莹.我国的利率市场化实践综述.[J].绥化学院学报.2007.2
[14]胡国辉,刘志立.关于我国利率市场化若干问题的研究.[J].商业研究.2006.2
[15]王素琴.借鉴国际经验促进我国利率市场化改革.[J].商场现代化.2007.1
[16]刘利.利率市场化问题研究.[M].北京.经济科学出版社.2001
[17]樊讳斌.中国利市场化改革与汇率制度的选择.[J].金融教学与研究.2OOl.l
[18]孔德刚.对我国利率市场化改革的阶段性评价.[J].投资研究.2007.2
[19]韩克勇.关于中国货币政策有效性的探讨.[J].兰州商学院学报.2007.2
[20]陈伟光.论中国利率市场化改革的次序性和渐进性原则.[J].金融与保险.2004.2
[21]张肃.论人民币利率和汇率关系的协调.[J].工业技术经济.2002(1)pllO—lll
[22]叶莉,郭继铭.利率平价的人民币汇率与利率关系的实证研究.[J].河北工业大学学报.2003.2
[23]刘新,刘昌国.外汇汇率的协整分析及实践意义.[J].商业研究.2007.4
[24]熊鹏.人民币利率对汇率影响的实证研究:1981—2003.[J].财经论丛.2005.5
[25]汇率与利率联动机制研究课题组.名义汇率与名义利率相互影响的实证分析:1979.1～2005.12—兼论我国的汇率利率政策.[J].华北金融.2007.1
[26]罗翔.香港联系汇率制度利弊及可持续性分析.[J].亚太经济.2006.3
[27]寿晖.香港利率市场化及对我国的启示.金融与经济.[J].2002.12
[28]陈建安.日本的外汇制度与汇率政策调整中的美日博弈.[J].日本学刊.2006.4
[29]闫素仙.日本和韩国利率自由化的进程及其启示.[J].生产力研究.2002.4
[30]黄志龙.钉住汇率制向浮动汇率制的转换:智利案例的研究.[J].拉丁美洲研究.2005.10
[31]金永红.利率市场化的国际经验与启示.[J].上海投资.2007.5
[32]张宗新.金融开放条件下利率改革和汇率改革的协同效应分析.[J].国际金融研究.2006.9
[33]君羊,谭文.影响人民币汇率若干宏观因素的实证检验.[J].上海财经大学学报.2004
[34]刘淄,张力美.金融开放条件下利率和汇率相互影响及其协调.[J].国际金融究.2003.1
[35]刘义圣.中国利率市场化论纲.[M].北京.北京大学出版社.2002
[36]赵进文,高辉.中国利率市场化主导下稳健货币政策规则的构建及应用.[J].经济学季刊.2004
[37] Dickey,D.A.and W.fuller.Distribution of the Estimators for Autoregressive Time Series with a Unite Root.Journal of the American Statistical Association,74(366).427—43l.1979
[38] Engle,R.and C.W.J.Granger.Co—integration and error Correction:Representation,Estimation and Testing.Econometrica.55.2.251—76.1987
[39]罗纳德·麦金农,大野健一.美元和日元.[M].上海远东出版社.1999
[40] Flood R.P.and Jeanne Olivier.An Interest Rate Defense Fixed Exchange Rate? IMF Working Paper,No.00159,2000
[41] Inci,A.C,and Lu,B. Exchange rates and interest rates:can term structure models explain currency movements? Journal of Economic Dynamics& Control.28:pp1595~1624.2004
[42] Rodrigo Caputo. Persistence and the Role of the Exchange Rate and Interest Rate Inertia in Monetary Policy. Working Paper,2004.
[43] Gianluca Benigno,and Pierpaolo Benigno. Exchange Rate Determination under Interest Rate Rules. Department of London School of Economics.Working Paper.2004
[44] www.bis.org.国际清算银行网站
[45] www.pbc.gov.cn.中国人民银行网站