【作者】 沈国兵；

【Author】 Shen Guobing (Institute of World Economy, Fudan University, 200433)

【机构】 复旦大学世界经济研究所；

【摘要】 本文研究发现:(1)汇率机制改革后存在着人民币汇率到人民币利率的单向因果关系,且负向相关,因而人民币汇率下降即人民币兑美元升值会造成人民币利率提高。这一经验结果很好地解释了当前央行行为。(2)汇率机制改革后存在着美元联邦基准利率、人民币远期汇率和即期汇率到人民币利率的单向因果关系,且前三者相互之间没有格兰杰因果关系。多元线性回归证实,人民币利率(变动)与人民币汇率(变动)之间不具有统计上显著的线性关系。(3)散点图显示,汇率机制改革后人民币利率与人民币汇率之间呈现出非线性关系。非线性模型证实,人民币利率与人民币即期汇率、3个月远期汇率之间都存在着统计上显著的非线性关系,且拟合为双曲线模型,结论是,人民币即期汇率和远期汇率升值会导致人民币利率即期和远期上升,进而对央行宏观货币政策运作空间形成限制。更多还原

【Abstract】 the findings include:(1) after exchange rate mechanism reform on July 21st, 2005, there is one-way causal relation from RMB’s exchange rate to RMB’s interest rate, and being negative each other. Hence, the decrease in RMB’s exchange rate, i.e. the appreciation of RMB/US$ causes the rise of RMB’s interest rate. This result provides a good explanation for central bank actions. (2) After exchange rate mechanism reform, there are one-way causal relations from federal funds interest rate, RMB’s forward rate and RMB’s spot rate to RMB’s interest rate, respectively, and there are no Granger causal relations among the former three variables. It is proved by multiple linear regressions that there is no significant linear relation between RMB’s interest rate (change) and its exchange rate (fluctuations). (3) The scattered points with LOESS fit show that there is nonlinear relation between RMB’s interest rate and its exchange rate after exchange rate reform. Using nonlinear model, we find that there are significant nonlinear relations between RMB’s interest rate and its spot rate, and its three-month forward rate, respectively, which are fitted into hyperbola models. The result is the fact that the appreciation of RMB’s spot rate and forward rate will cause the rise of RMB’s interest rate, and make limits on operating scope of monetary policy of central bank in China.更多还原