不确定性条件下人民币利率和汇率波动机制与有效性研究
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摘要
在开放经济条件下，促进经济快速、持续、稳定发展，维护经济金融市场安全，追求宏观经济均衡发展是世界各国经济发展的目标，为了实现这一经济目标，对利率和汇率的调整起着不可替代的作用。伴着着我国开放程度不断加深，货币政策作为宏观经济调控重要政策手段，得到了越来越多的重视，与此同时，也为货币政策的制定、实施和反馈增加了一些不确定因素，尤其是在开放经济条件下，货币政策的操作具有更大的不确定性和风险性。因此本文基于以上考虑开展不确定性条件下人民币利率和汇率波动机制及其有效性的研究。
本文首先在对人民币利率和汇率波动机制的度量方法进行总结介绍的基础上，对人民币利率和汇率波动的有效性及二者之间的联动机制进行阐述。在此基础上对我国人民币利率和汇率的波动机制进行了度量，首先，基于Vasicek模型对我国不同期限结构的银行间同业拆借利率的波动机制进行识别，结果发现我国不同期限结构的市场化利率均具有均值回复特征，其次，为考察利率的区制转移特征，对Vasicek模型进行了扩展，构建了带有区制转移的RS-Vasicek模型对我国不同期限结构的银行间同业拆借利率的动态波动机制及非线性区制转移机制进行了识别和检验。结果发现，与Vasicek模型相比，RS-Vasicek模型不仅能够反映我国不同期限市场化利率的均值回复特征，而且还能识别不同期限结构的市场化利率的低波动区制和高波动区制。并且与高波动区制相比，低波动区制内的市场化利率的均值回复速度更快，并且预期持续时期以及半衰期更长。
本文在对巴拉萨-萨缪尔森效应、利率平价假说进行阐述的基础上，构建协整向量自回归模型对我国实际汇率的影响因素和变动趋势进行了实证分析。结果发现，从长期来看，中美两国之间存在巴拉萨-萨缪尔森效应。而从短期来看，影响中美两国之间实际汇率因素较多，主要包括通货膨胀率、上一期中美两国之间的实际汇率、美国可贸易品部门与不可贸易品部门之间的价格水平差异以及季节性因素。
另外，在对利率和汇率波动机制进行识别和检验的基础上，我们还构造了向量自回归模型测度利率和汇率的联动机制。结果发现，在短期，汇率的变动不会引起利率的明显变化，而在长期，汇率的变动会引起利率的同向变动，这也与以往相关研究的结论相符，这也表明，在我国，汇率变动对利率影响的传导机制相对有效。
最后，本文对利率反馈机制进行了实证分析，在对利率规则与相机决策型货币政策的福利函数进行比较的基础上，通过将汇率缺口引入到货币当局的货币政策损失函数中，对包含汇率因素的利率规则进行了实证检验。结果发现，我国货币当局在进行货币政策调控时不仅关注产出缺口和通胀缺口的变动，同时也关注汇率缺口的变动，当汇率缺口出现正向偏离时，货币当局通常调高利率，相反则调低利率。
In an open economy, to promote rapid, sustained and stable development,safeguarding the security of economic and financial markets,and to pursuit of balanceddevelopment of the macroeconomic is the goal of economic development around theworld.in order to achieve this economic objectives, interest rates and exchange rateadjustment plays an essential role. Accompanied by a deepening of openness, monetarypolicy as an important policy tool, has been more and more attention.At the same time,there is some uncertainty in formulating and implementing monetary policy, particularly inan open economy, monetary policy operations have greater uncertainty and risk. Based onthe above considerations, we study the fluctuations mechanisms and effectiveness of RMBinterest rate and exchange rateunder conditions of uncertainty.
Firstly, we describe and summarize the measurement methods of RMB interest rateand exchange rate fluctuations mechanism, and then we describe the effectiveness of RMBinterest rate and exchange rate and the linkage between them. On this basis, we willmeasure the fluctuations of RMB interest rate and exchange rate, first, we constructVasicek model measure the fluctuations of interbank interest rate of different term structure,and we found there are mean reversion characteristics in interbank interest rate of differentterm structure.
Secondly, to examine the interest rate regime switching characteristics, we extend theVasicek model, and construct regime switching RS-Vasicek model, which can identify andmeasure Nonlinear fluctuation mechanism and the mechanism of dynamic regimestransition of interbank interest rate.The results showed that, compared with the Vasicekmodel, RS-Vasicek model not only can reflect mean response characteristics of the marketinterest rates of different maturities, but also to identify low volatility and high volatilityregime different market term structure of interest rates. And compared with in the highvolatility regime, mean reversion rate of interest rate in low volatility regime is faster, and the Duration and thehalf-lifeis longer.
In this paper, on the base of describing Balassa-Samuelson effect and the hypothesisof interest rate parity, we analysis the influencing factors and the movements of the realexchange rate by Cointegration Vector Auto-Regression model. And we find that in thelong run, there is between the two countries Balassa-Samuelson effect, and from the shortterm, the real exchange rate between China and U.S. is affected by many factors, includinginflation, real exchange between the two countries, the differences of goods sector pricebetween the U.S. tradable goods sector and non-tradable goods sector and seasonal factors.
In addition, on the base of identify and test fluctuations mechanisms of interest rateand exchange rate, we also construct a Vector Auto-Regression model measure linkagemechanism of interest rate and exchange rate. And we found that in the short term,exchange rate movements do not cause significantly changes in interest rates, while in thelong term, exchange rate movements may cause changes in interest rates in the samedirection, which is also associated with the previous study's conclusions, which also showsthat in our country, the transmission mechanism of the exchange rate affecting interestrates is relatively efficient.
Finally, we study the feedback mechanism of interest rates. First, we compare thebenefits of central banks in the frame of monetary policy rules and discretion, then we testinterest rules including exchange gap of central bank of china, considering loss function ofcentral banks maybe include exchange gap. We find that China's monetary authoritiesconduct monetary policy not only concerned about the output gap and inflation gapchanges, but also concerned about movements of exchange rates, the monetary authoritieswill raise interest rates generally when the exchange rate gap is positive, and the monetaryauthorities willlow interest rates generally when the exchange rate gap is negative.
本文首先在对人民币利率和汇率波动机制的度量方法进行总结介绍的基础上，对人民币利率和汇率波动的有效性及二者之间的联动机制进行阐述。在此基础上对我国人民币利率和汇率的波动机制进行了度量，首先，基于Vasicek模型对我国不同期限结构的银行间同业拆借利率的波动机制进行识别，结果发现我国不同期限结构的市场化利率均具有均值回复特征，其次，为考察利率的区制转移特征，对Vasicek模型进行了扩展，构建了带有区制转移的RS-Vasicek模型对我国不同期限结构的银行间同业拆借利率的动态波动机制及非线性区制转移机制进行了识别和检验。结果发现，与Vasicek模型相比，RS-Vasicek模型不仅能够反映我国不同期限市场化利率的均值回复特征，而且还能识别不同期限结构的市场化利率的低波动区制和高波动区制。并且与高波动区制相比，低波动区制内的市场化利率的均值回复速度更快，并且预期持续时期以及半衰期更长。
本文在对巴拉萨-萨缪尔森效应、利率平价假说进行阐述的基础上，构建协整向量自回归模型对我国实际汇率的影响因素和变动趋势进行了实证分析。结果发现，从长期来看，中美两国之间存在巴拉萨-萨缪尔森效应。而从短期来看，影响中美两国之间实际汇率因素较多，主要包括通货膨胀率、上一期中美两国之间的实际汇率、美国可贸易品部门与不可贸易品部门之间的价格水平差异以及季节性因素。
另外，在对利率和汇率波动机制进行识别和检验的基础上，我们还构造了向量自回归模型测度利率和汇率的联动机制。结果发现，在短期，汇率的变动不会引起利率的明显变化，而在长期，汇率的变动会引起利率的同向变动，这也与以往相关研究的结论相符，这也表明，在我国，汇率变动对利率影响的传导机制相对有效。
最后，本文对利率反馈机制进行了实证分析，在对利率规则与相机决策型货币政策的福利函数进行比较的基础上，通过将汇率缺口引入到货币当局的货币政策损失函数中，对包含汇率因素的利率规则进行了实证检验。结果发现，我国货币当局在进行货币政策调控时不仅关注产出缺口和通胀缺口的变动，同时也关注汇率缺口的变动，当汇率缺口出现正向偏离时，货币当局通常调高利率，相反则调低利率。
In an open economy, to promote rapid, sustained and stable development,safeguarding the security of economic and financial markets,and to pursuit of balanceddevelopment of the macroeconomic is the goal of economic development around theworld.in order to achieve this economic objectives, interest rates and exchange rateadjustment plays an essential role. Accompanied by a deepening of openness, monetarypolicy as an important policy tool, has been more and more attention.At the same time,there is some uncertainty in formulating and implementing monetary policy, particularly inan open economy, monetary policy operations have greater uncertainty and risk. Based onthe above considerations, we study the fluctuations mechanisms and effectiveness of RMBinterest rate and exchange rateunder conditions of uncertainty.
Firstly, we describe and summarize the measurement methods of RMB interest rateand exchange rate fluctuations mechanism, and then we describe the effectiveness of RMBinterest rate and exchange rate and the linkage between them. On this basis, we willmeasure the fluctuations of RMB interest rate and exchange rate, first, we constructVasicek model measure the fluctuations of interbank interest rate of different term structure,and we found there are mean reversion characteristics in interbank interest rate of differentterm structure.
Secondly, to examine the interest rate regime switching characteristics, we extend theVasicek model, and construct regime switching RS-Vasicek model, which can identify andmeasure Nonlinear fluctuation mechanism and the mechanism of dynamic regimestransition of interbank interest rate.The results showed that, compared with the Vasicekmodel, RS-Vasicek model not only can reflect mean response characteristics of the marketinterest rates of different maturities, but also to identify low volatility and high volatilityregime different market term structure of interest rates. And compared with in the highvolatility regime, mean reversion rate of interest rate in low volatility regime is faster, and the Duration and thehalf-lifeis longer.
In this paper, on the base of describing Balassa-Samuelson effect and the hypothesisof interest rate parity, we analysis the influencing factors and the movements of the realexchange rate by Cointegration Vector Auto-Regression model. And we find that in thelong run, there is between the two countries Balassa-Samuelson effect, and from the shortterm, the real exchange rate between China and U.S. is affected by many factors, includinginflation, real exchange between the two countries, the differences of goods sector pricebetween the U.S. tradable goods sector and non-tradable goods sector and seasonal factors.
In addition, on the base of identify and test fluctuations mechanisms of interest rateand exchange rate, we also construct a Vector Auto-Regression model measure linkagemechanism of interest rate and exchange rate. And we found that in the short term,exchange rate movements do not cause significantly changes in interest rates, while in thelong term, exchange rate movements may cause changes in interest rates in the samedirection, which is also associated with the previous study's conclusions, which also showsthat in our country, the transmission mechanism of the exchange rate affecting interestrates is relatively efficient.
Finally, we study the feedback mechanism of interest rates. First, we compare thebenefits of central banks in the frame of monetary policy rules and discretion, then we testinterest rules including exchange gap of central bank of china, considering loss function ofcentral banks maybe include exchange gap. We find that China's monetary authoritiesconduct monetary policy not only concerned about the output gap and inflation gapchanges, but also concerned about movements of exchange rates, the monetary authoritieswill raise interest rates generally when the exchange rate gap is positive, and the monetaryauthorities willlow interest rates generally when the exchange rate gap is negative.
引文
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