基于国际收支视角的人民币汇率与利率联动机制分析
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摘要
结合我国货币政策和汇率政策,从国际收支视角下金融市场、产品市场和外汇储备三个渠道分析利率和汇率联动的动态循环机制,采用2005年7月汇率制度改革以来的月度数据,基于VAR和VEC模型对不同渠道传导机制的有效性开展实证检验。研究结果表明,2017年以后金融市场和产品市场渠道作用逐渐大于外汇储备市场渠道作用。人民币利率与汇率存在显著的反向联动关系,人民币汇率对利率的影响较强,利率对汇率的影响较弱。汇率的金融市场传导渠道在即期反应迅速、影响较大,但利率的金融市场传导渠道受阻。利率与汇率的产品市场传导渠道较为复杂,短期与中期的影响方向相反。因此,应拓宽人民币汇率浮动空间,加快发展外汇市场,健全利率市场化形成机制,畅通跨国资本流动的传导渠道,并在货币政策的运用中注重利率政策与汇率政策的协调配合。
Based on the perspective of balance of international payments,this paper analyzes the dynamic circulation mechanism of interest rate and exchange rate linkage from three channels: financial market,product market and foreign exchange reserve. The results of historical analysis and empirical analysis show that there is a significant reverse linkage relationship between RMB interest rate and exchange rate,and RMB exchange rate has a stronger impact on interest rate. There are two stages in which the linkage has changed in the same direction. The foreign exchange reserve channels play a major role,affecting the independence of monetary policy. Among the three transmission channels,the financial market transmission channel is the smoothest,with rapid response and great influence. The product market channel and foreign exchange reserve channel are blocked in the process of interest rate affecting exchange rate. Finally,combined with the current Sino-US trade friction escalation and the depreciation pressure of the RMB,this paper proposes that priority should be given to monetary policy independence,focusing on preventing systemic risks caused by cross-border capital flows,and taking this opportunity to steadily push forward the reform of exchange rate and interest rate marketization.
Based on the perspective of balance of international payments,this paper analyzes the dynamic circulation mechanism of interest rate and exchange rate linkage from three channels: financial market,product market and foreign exchange reserve. The results of historical analysis and empirical analysis show that there is a significant reverse linkage relationship between RMB interest rate and exchange rate,and RMB exchange rate has a stronger impact on interest rate. There are two stages in which the linkage has changed in the same direction. The foreign exchange reserve channels play a major role,affecting the independence of monetary policy. Among the three transmission channels,the financial market transmission channel is the smoothest,with rapid response and great influence. The product market channel and foreign exchange reserve channel are blocked in the process of interest rate affecting exchange rate. Finally,combined with the current Sino-US trade friction escalation and the depreciation pressure of the RMB,this paper proposes that priority should be given to monetary policy independence,focusing on preventing systemic risks caused by cross-border capital flows,and taking this opportunity to steadily push forward the reform of exchange rate and interest rate marketization.
引文
[1]Robert Z.Aliber.The Interest Rate Parity Theorem:A Reinterpretation[J].Journal of Political Economy,1973(6):1451-1459.
[2]R Macdonald,J Nagayasu.The Long-Run Relationship between Real Exchange Rates and Real Interest Rate Differentials:A Panel Study[J].IMF Staff Papers,2000(1):116-128.
[3]Jaebeom Kim.Reconsidering Real Interest Parity for Traded and Non-traded Goods[J].Review of International Economics,2006(2):306-315.
[4]王爱俭,张全旺.论不同经济体制下利率与汇率的联动性[J].现代财经-天津财经大学学报,2003(9):12-15.
[5]蒋治平.人民币利率与汇率的动态相关关系:基于DCC模型的研究[J].软科学,2008(7):11-14.
[6]杨林.经济均衡视角下的人民币利率与汇率联动关系[J].华东经济管理,2011(6):79-84.
[7]何金旗,张瑞.人民币国际化、汇率波动与货币政策互动关系研究[J].审计与经济研究,2016(3):120-129.
[8]崔苧心,李子联.利率变动的解释:基于汇率的视角[J].金融与经济,2016(7):39-44.
[9]沈悦,王飞,郭培利.汇率波动与货币政策调控的互动效应分析——基于人民币国际化的视角[J].经济经纬,2017(7):55-61.
[10]陈中飞,王曦,王伟.利率市场化、汇率自由化和资本账户开放的顺序[J].世界经济,2017(6):23-47.
[11]陈创练,姚树洁,郑挺国,等.利率市场化、汇率改制与国际资本流动的关系研究[J].经济研究,2017(4):64-77.
(1)包括利率平价理论、汇率决定的资产市场说、开放经济下的IS-LM-BP模型。
(2)以升值或具有升值预期的货币替代贬值或具有贬值预期的货币。
(3)以投资收益率较高的本币/外币资产替代投资收益率较低的外币/本币资产。
(1)此处假设为非冲销式外汇干预,即不考虑货币当局通过其他的货币政策工具来抵冲因外汇干预对本国基础货币的影响。
(1)1997年9月至2005年6月美元对人民币期末汇率(中间价)始终保持为8.28。
(2)短期资本流动=外汇储备增量-贸易顺差-FDI净流入。
(1)因为选用的是月度数据,在ADF检验的时候最大滞后期选择12期。
(2)确定VAR模型的最优滞后阶数有很多种方法,每一种方法都会有不同的侧重,当AIC信息准则、SC准则所对应的最小值不是同一期时,选用LR检验法。
(1)此处不考虑外国利率水平,假定外国利率水平不变。
(1)此处由于篇幅的限制,省略其他变量的表达式。
[2]R Macdonald,J Nagayasu.The Long-Run Relationship between Real Exchange Rates and Real Interest Rate Differentials:A Panel Study[J].IMF Staff Papers,2000(1):116-128.
[3]Jaebeom Kim.Reconsidering Real Interest Parity for Traded and Non-traded Goods[J].Review of International Economics,2006(2):306-315.
[4]王爱俭,张全旺.论不同经济体制下利率与汇率的联动性[J].现代财经-天津财经大学学报,2003(9):12-15.
[5]蒋治平.人民币利率与汇率的动态相关关系:基于DCC模型的研究[J].软科学,2008(7):11-14.
[6]杨林.经济均衡视角下的人民币利率与汇率联动关系[J].华东经济管理,2011(6):79-84.
[7]何金旗,张瑞.人民币国际化、汇率波动与货币政策互动关系研究[J].审计与经济研究,2016(3):120-129.
[8]崔苧心,李子联.利率变动的解释:基于汇率的视角[J].金融与经济,2016(7):39-44.
[9]沈悦,王飞,郭培利.汇率波动与货币政策调控的互动效应分析——基于人民币国际化的视角[J].经济经纬,2017(7):55-61.
[10]陈中飞,王曦,王伟.利率市场化、汇率自由化和资本账户开放的顺序[J].世界经济,2017(6):23-47.
[11]陈创练,姚树洁,郑挺国,等.利率市场化、汇率改制与国际资本流动的关系研究[J].经济研究,2017(4):64-77.
(1)包括利率平价理论、汇率决定的资产市场说、开放经济下的IS-LM-BP模型。
(2)以升值或具有升值预期的货币替代贬值或具有贬值预期的货币。
(3)以投资收益率较高的本币/外币资产替代投资收益率较低的外币/本币资产。
(1)此处假设为非冲销式外汇干预,即不考虑货币当局通过其他的货币政策工具来抵冲因外汇干预对本国基础货币的影响。
(1)1997年9月至2005年6月美元对人民币期末汇率(中间价)始终保持为8.28。
(2)短期资本流动=外汇储备增量-贸易顺差-FDI净流入。
(1)因为选用的是月度数据,在ADF检验的时候最大滞后期选择12期。
(2)确定VAR模型的最优滞后阶数有很多种方法,每一种方法都会有不同的侧重,当AIC信息准则、SC准则所对应的最小值不是同一期时,选用LR检验法。
(1)此处不考虑外国利率水平,假定外国利率水平不变。
(1)此处由于篇幅的限制,省略其他变量的表达式。