目标区汇率制度下利差期限结构理论的检验:中国现行汇率体制的分析  

Test of the Theory of the Term Structure of Interest Rate Differentials in a Target Zone:the Analysis of the Current Exchange Rate Regime of China

作　　者：杨柳[1] 

机构地区：[1]中国人民银行内审司,北京100800

出　　处：《金融研究》2001年第2期53-64,共12页Journal of Financial Research

摘　　要：Lars.E .O .Svensson的目标区汇率制度下的利差期限结构理论可以导出的一个直接结论是 :利差是期限的减函数。本文通过验证中国在资本流动和利率双重管制下的利差期限结构 ,以实证分析提出中国应实行渐进式利率自由化和浮动汇率制的关联性改革安排。An implication of the theory of the term structure of interest rate differentials in a target zone exchange rate regime derived by Lars E.O.Svensson is that the interest rate differentials should be a decreasing function of the term.This paper investigates the term structure of interest rates differentials in China in the presence of capital control and interest rate regulation.Some implications about the current system in China are drawn from the analysis of the empirical results.

关 键 词：汇率机制 目标区 利率差 资本流动 中国 利差期限结构 

分 类 号：F830.7[经济管理—金融学]