摘要
自汇率改革后,人民币对美元的汇率不再恒定不变,为汇率的波动性分析提供了研究的可能,利用2005年7月到2008年5月的数据,以我国与美国的货币市场、资本市场的市场利率为基础,先后在不同的期限长度下探讨了其对人民币汇率波动影响.继承国外较为认可的时变风险溢价是非抛补利率平价不成立的主要因素这一结论,拓宽了考虑范围,在现有数据的基础上利用向量自回归对时变风险溢价进行了定量研究.认为汇率波动在短期内主要受资本市场影响,中期主要受控于利率波动即货币政策的变更以及长期下只受宏观经济状况影响的结论,与国外的研究成果较为一致.
After the regime switching, exchange rate between RMB and USD has started a new era. Based on the data of money markets and capital markets in China and US from Jul,2005 to May,2008, volatility of exchange rate was analyzed involved yield in capital market in different duration such as a day, a month, three months, half a year and a whole year. In line with the consented explanation on the failure of UIRP due to the time varied risk premium, more extensive potential attributions are included here. Factors affecting the exchange rate in short term, was attributed to yield in capital market mainly, while monetary policy switching dominated in intermediate term, as for the long term, macroeconomic condition influences the exchange rate overwhelmingly.
出处
《数学的实践与认识》
CSCD
北大核心
2011年第16期17-25,共9页
Mathematics in Practice and Theory
关键词
汇率
利率平价
因素分析
exchange rate
interest rate parity
multi-factors analysis
