中美利率与汇率因果关系之探究再审视：时间数列频率分析  

Revisiting Causal Link Between Interest Rate Differential and Exchange Rate of China and the United States:Frequency Domain Approach

作　　者：许振明[1,2] 赖嘉莹 张仓耀[3] 

机构地区：[1]台湾中信金融管理学院,中国台湾台南709 [2]台湾大学经济学系,中国台湾台南709 [3]台湾逢甲大学金融学院,中国台湾台中407

出　　处：《武汉大学学报（哲学社会科学版）》2016年第5期74-83,共10页Wuhan University Journal：Philosophy & Social Science

摘　　要：近年来中国积极开放金融市场并迈向国际化,因此研究中美两国利差与人民币汇率间的关系意义深刻。本研究使用1996年1月至2015年9月的资料,用频率因果关系检定来探讨中美利差与人民币汇率间的联动关系。理论上利差与汇率应具有Granger因果关系,但实证结果显示:在共整合检定中,中美利差与人民币汇率间不存在共整合之长期关系。频率因果关系检定中得知,人民币汇率对中美利差有长期、中期单向因果关系;而中美利差对人民币汇率则都不具有长、中及短期频率因果关系。In recent years, China actively moves towards financial liberalization and internationalization. This paper attempts to study the phenomena of this gradual liberalization of financial markets by looking at the causal link between interest rate differential and exchange rate of China and the United States. In this study, we apply Granger causality test based on Frequency Domain approach to explore the interrelationship between interest rate differentia}, and exchange rate of China and the United States with data from January 1996 to September 2015. Our empirical results demonstrate that there is no long- term cointegration relationst^ip between the interest rate differential and exchange rate of China and the United States. Empirial Results from Granger causality test based on Frequency domain approach indicate one-way Granger causality running from the RMB exchange rate to interest rate differential in both long-term and mid-term periods. Our empirical results have important policy implications.

关 键 词：利差 汇率 单根检定 共整合检定 频率因果关系检定 

分 类 号：F832.5[经济管理—金融学]