本文应用非线性平滑转换回归模型研究了2002年1月份到2011年12月份我国与美国、欧元区、日本、韩国等有效汇率指数、综合利差之间的关系。实证分析表明，汇率对利率的影响具有明显的非对称性，具有较强的非线性转移动态特征。分国别看，四个国家或地区之间的上期利差均是影响本期利差的重要因素；在短期内汇率对利率影响较大。因此，短期内人民币汇率弹性的扩大应该主动、逐步、稳定进行，防止人民币汇率弹性的急剧扩大导致利率的过度波动。其次，逐步有序加快利率市场化进程并加强与汇率市场化的配合，构建高效的汇率-利率联动机制。%In order to analyze the relationship of interest rate and effective exchange rate , this paper uses the Smooth Transition Regression Model and then chooses the monthly data of these two variables of China 、USA、Eu-rozone、Japan and Korea from Jan .2002 to Dec.2011.The results show that exchange rate has a nonlinear influ-ence on interest rate and obvious asymmetry .The last month interest rate and exchange rate have an important influence on interest rate in these four countries .Based on this , in order to prevent the flexibility of exchange rate surge caused by excessive fluctuations of the interest rate , we should progressively and stablely take the initi-ative to expand the flexibility of exchange rate in the short term .Secondly , we should gradually speed up the process of interest rate and exchange rate co-ordination liberalization ,and build an efficient linkage system .
展开▼
