利率平价理论的实证研究-数量经济学专业论文.docxVIP

摘 摘 要 利率平价理论主要考察利率如何影响汇率的变动，由于它是汇率 决定理论的重要基础之二，因此一直以来成为学者们研究的重点。 本文即通过考察自1970年代初以来的最新数据，使用多种计量 方法研究利率平价关系。 首先，本文以二十三个OECD国家为研究对象使用一般回归方 法检验名义利率平价。结果表明如果用短期利率进行检验，名义利率 平价不成立；相反，用长期利率进行检验时，名义利率平价成立。 其次，本文分别采用约翰逊协整检验和群体协整检验方法对这些 国家进行实际利率平价检验。结果显示实际汇率、长期实际利率差和 累计经常收支占国内生产总值比重之差间存在着协整关系。 再次，本文还通过协整检验和向量自回归方法研究了人民币实际 有效汇率指数、中美两国实际利率差和中国累计贸易收支之间的关 系，结果发现三者之间也存在着协整关系。 最后，本文以名义利率平价条件为基础，分析在资本项目开放下， 汇率制度和货币政策独立性之间的关系，结果说明实行更为灵活汇率 制度的国家享有较多的货币政策独立性。 关键词：利率平价 约翰逊协整检验 群体协整检验 货币政策独立性 The The Empirical Study of the Interest Rate Parity Theory ABSTRACT The interest rate parity mainly investigates how the interest rate influences the exchange rate．And since it is one ofthe most important foundations for the theory on the determination ofexchange rate，it becomes the focus ofthe researchers． This paper is trying to test the interest rate parity through many econometric methods with latest data sets since the l 970’S． Firstly,the paper conducts the ordinary regression method on the nominal interest rate parity,using data from 23 OECD countries．The result confirms that the nominal interest rate parity holds in the long run． Secondly,the paper carries empirical study on the real interest rate parity through Johansen cointegration test and panel cointegration test．The outcome says that there is cointegration relationship among real exchange rate，long real interest rate di娲mntials and cumulative current account． Thirdly,the paper explores the connection between real effective exchange rate， real interest rate differentials and cumulative trade balance in China,by using the method of cointegration test and VAR model．The paper discovers that there is also some cointegration relationship among three time series． Finally,based on the nominal interest rate parity,the paper tests the relationship between exchange rate regime and monetary independence in the open capital markets and finds that those countries who have more flexible exchange rate regimes gain more monetary independence． Keywords