中美利差对人民币汇率变动的影响分析  

The Analysis on the Impact of Interest Rate Difference Between USA and PRC on RMB Exchange Rate

作　　者：张莉[1,2] 

机构地区：[1]天津财经大学统计系,天津300222 [2]西安财经学院统计学院,陕西西安710061

出　　处：《统计与信息论坛》2010年第4期57-62,共6页Journal of Statistics and Information

摘　　要：以利差对汇率传导机制和路径的理论分析为基础,通过建立汇率行为路径分析模型,检验有关名义利差与名义汇率关系的理论和经验方面的问题。中美实证研究结果表明,名义利差变动对名义汇率变动的影响支持利率平价理论,但利差对汇率变动的传导路径较利率平价理论更为复杂,且传导方式和效应大小在2005年7月汇改前后有显著差别。In this paper, the authors construct a path analysis model based on transmission mechanism and path of interest rate difference on exchange rate changes. And use it to reexamine the theoretical and empirical problem of the relation between the nominal interest rate and the nominal exchange rate. The empirical work shows that nominal interest rate changes affects changes in the nominal exchange rate, and this result supports interest rate parity theory. But the conduction path of interest rate difference on exchange rate changes is more complicated than interest rate parity theory . Especially, there are significant differences about conduction mode and conduction effect of the size in July 2005 before and after.

关 键 词：名义利差 名义汇率 路径分析 

分 类 号：F830.73[经济管理—金融学]