摘要
本文依据利率平价理论,构造出一种估计货币汇率升值或贬值压力的方法,并运用升值压力指标对欧元、日元的汇率变动进行了检验。结果显示,欧元升值压力对欧元汇率波动会产生显著的滞后影响,并且,欧元相对于美元汇率与利率平价理论所描述的均衡状态之间的差距,能够成为预测汇率走势的有效指标,但日元升值压力与日元汇率走势之间却不存在明显的相关关系。
Based on the theory of interest rate parity, this paper constructs a way to measure the appreciation ＆ depreciation pressure of currency. By using this way to test the fluctuation of euro and Japan yen, the author finds that the appreciation pressure of euro exert significant and lagging influence on the fluctuation of euro, and it can be used as an indicator to forecasting the exchange rate development tendency. As for Japanese yen, there is no significant co - relationship between the appreciation pressure and exchange rate fluctuation.
出处
《金融研究》
CSSCI
北大核心
2009年第8期92-102,共11页
Journal of Financial Research
关键词
利率平价
汇率
升值压力
interest rate parity, exchange rate, appreciation pressure
