利率政策、汇率波动与在岸人民币市场  

Interest Rate Policy,Exchange Rate Fluctuations and Onshore RMB

作　　者：祝佳 杨颜丰 汤子隆 赵丹妮 Zhu Jia;Yang Yanfeng;Tang Zilong;Zhao Danni

机构地区：[1]广东金融学院经济贸易学院 [2]广东省国家金融学重点研究基地 [3]中国建设银行广东省分行私人银行部

出　　处：《投资研究》2022年第11期97-118,共22页Review of Investment Studies

基　　金：国家社会科学基金项目:供给侧结构性改革背景下利率市场化的区域效应与金融风险防控研究(18BJL071);高质量发展背景下货币政策工具组合对民营企业融资结构优化的调节效应研究(19BJY248)。

摘　　要：本文采用门限VECM模型对在岸人民币市场汇率波动情况进行分析,结果表明,在岸人民币汇率波动会随着区制的转换而呈现出差异化特征。在低利差区制,在岸人民币市场上存在着自我调节机制;而在高利差区制,这种市场自我调节机制逐渐失效,且偏离均衡程度随着汇率期限增加而增加。进一步分析发现,央行利率政策对缓解汇率波动偏差的效果与区制差异、期限结构以及政策的时效性有关。因此,央行应根据区制不同采用差异化的利率政策,同时注意政策实施的时机、力度与期限结构。Exerting Threshold VECM model,this paper conducts an empirical analysis on the exchange-rate fluctuations in the onshore RMB market,the result shows that the exchange rate fluctuations in the onshore RMB market presented differential characteristics with the regimes switching(different interest-rate spreads).In regime of low interest rate spreads,there is a self-adjusting mechanism in the onshore RMB market.However,in regime of high interest rate spreads,this mechanism gradually fails,and the condition of the deviation from equilibrium becomes worse as the maturity length of the exchange rate increases.Further analysis shows that the effect of Central Bank interest-rate policy on exchange rate fluctuations is related to regimes differences,term structure,policy timeliness.Therefore,the Central Bank should adopt differentiated interest-rate policies according to different regimes,and pay attention to the timing,intensity and term structure of policy implementation.

关 键 词：利率政策 在岸人民币市场 汇率波动 门限VECM模型 

分 类 号：F832.6[经济管理—金融学] F832.5