国际货币环境下利率政策与汇率政策的协调  

Interest Rate and Exchange Rate Policy Coordination under International Monetary Environment

作　　者：金中夏[1] 洪浩[1] 

机构地区：[1]中国人民银行金融研究所,邮政编码100800

出　　处：《经济研究》2015年第5期35-47,共13页Economic Research Journal

基　　金：国家自然科学基金课题(71173233);国家社会科学基金青年项目(12CJY111);第52批中国博士后科学基金(2012M520502)的支持

摘　　要：本文通过构建、校准、估计和模拟新凯恩斯两国(本国和外国)开放经济体动态随机一般均衡(DSGE)模型,分析并解释我国均衡利率和均衡汇率形成机制及其主要变动原因,指出均衡利率和均衡汇率之间的内在联系,探讨了两种均衡之间的相互作用、相互影响及其所包含的政策含义。主要结论如下:第一,在不考虑外国利率状态的情况下(如封闭经济模型和小国开放经济模型),本国利率与汇率偏离和达到均衡的情况应同时存在,当本国汇率(利率)偏离均衡时,本国利率(汇率)也会偏离均衡。本国利率上升(或下降)压力与本国货币升值(或贬值)压力同时存在。因此,在估计与分析均衡利率和均衡汇率时,应充分考虑两者之间的关系,通过本国利率与汇率政策的协调配合,同时达到本国利率和汇率的均衡。第二,在国际货币环境下,汇率均衡不仅与本国利率是否处于均衡状态相关,还与外国利率是否处于均衡状态有关。当外国利率失衡时,如果两国货币政策之间缺乏一定的协调配合机制,本国利率和汇率的同时均衡将成为一个不可能完成的任务。第三,利率和汇率失衡后的动态最优调整路径取决于利率和汇率相对于各自均衡状态的失衡程度,应先调整失衡程度较重者,后调整失衡程度较轻者。By constructing, estimating, calibrating and simulating of the two-country DSGE model, this Paper analyzes the formation mechanism of equilibrium exchange rate and interest rate and the main reasons of disequilibrium were happened. Base on model simulation, the main conclusions include： firstly, in closed or small open economy, with foreign interest rate is considered as exogenous variable, domestic interest rate and exchange rate achieve equilibrium at the same time. When exchange rate deviates from its equilibrium level, domestic interest rate would miss its equilibrium level as well, and vice versa. The pressure of domestic interest rate increasing and currency appreciation appears simuhaneously. It suggests that when analyzing equilibrium exchange rate and interest rate, the relations between exchange rate and interest rate have to be taken into account. Through the domestic interest rate and exchange rate policy coordination, achieve domestic interest rate and exchange rate equilibrium simultaneously. Secondly, under international monetary environment, whether exchange rate will achieve its equilibrium level is not only associates with the state of domestic interest rate, but also relates to the state of foreign interest rate. When foreign interest rate imbalance, and there is lack of coordination and cooperation mechanisms between the two country＇s monetary policy, the domestic interest rate and exchange rate equilibrium will become an impossible task. Thirdly, for the optimal path adjustment of exchange rate and interest rate imbalances, the model suggests that it should adjust the one which has more disequilibrium than the other.

关 键 词：均衡汇率 均衡利率 货币政策 两国DSGE模型 

分 类 号：F832.6[经济管理—金融学] F822.0