货币市场对汇率的影响:一个汇率决定理论的检验

基于货币市场的汇率决定理论,结合中美两国1980-2006年数据,采用单位根检验和向量自回归模型进行实证研究,结果表明货币市场各变量对汇率的反应机制还没有建立起来,利率对汇率有一定影响作用,但作用并不明显。我国一旦放弃固定汇率制度,目前还无法使浮动汇率与通货膨胀目标制的组合产生与固定汇率制相同的价格稳定效应,所以随着人民币升值压力日益加大,利率和汇率的市场化进程亟待进一步推进。

The influence of monetary market on exchange rate: a test of exchange rate theory

This paper,which is based on monetary market exchange rate decisive theory and combines the Chinese and American data between 1980 and 2006,does empirical research by adopting unit root test and vector autoregression model.Result shows that the reaction mechanism between monetary market and exchange rate has not been established.The interest rate has effect on exchange rate in some extent but not obvious.Once we abandon fixed exchange rate system,only from the combination of floating rate and inflation,we won't get the same price stable effect which can come into being by fixed exchange rate system at present.Therefore,as the RMB appreciation pressure aggrevate increasingly,the marketing progress of interest rate and exchange rate needs to be put forward further.