利率平价理论在我国的实证分析-政治经济学专业论文.docxVIP

哈尔滨工业大学工学硕士学位论文 哈尔滨工业大学工学硕士学位论文 Abstract The frequent exchange rate fluctuations makes it become every country economic field research’s priority and difficult point problem that how to apply exchange rate decision theory to analyze one national exchange rate changes. Through the comparison and screening of different exchange rate decision theory, with Chinas current market-oriented exchange rate, market-oriented interest rate and capital flow, I think that Chinas current financial market development background similar to interest rate parity theory’s application background and applying interest rate parity theory to analyze Chinas exchange rate is feasible. The interest rate parity theory in our empirical study can better reveal Chinas exchange rate and interest rate changes in the laws. This can not only improve the interest rate parity theory in our theoretical study, but also it is an important reference for seizing the current changes in the renminbi exchange rate. Through the different frequencies of testing and data comparison, choose from 1994 to 2006 the daily data of interest rate parity theorys applicability in China for the co-integration test, error correction test and Granger causality test. The empirical results indicate the strict sense of the interest rate parity theory is not set up in China, But interest rate parity associated variables in our long-term existence a balanced relationship, in short-term a dynamic adjustment mechanism from the non- equilibrium state to balance, this mechanism of the major forces from the policy variables, only the exchange rate policy variable is the Granger reasons of exchange rate changes. Therefore, the application of Chinas interest rate parity model is the right to the original interest rate parity equation with friction coefficient, and the friction coefficient is the interest rate parity theory in China deviation sequence, and from the entire period and phased perspective, using various methods, including grap