经济管理学刊（中英文版）

利率与汇率动态关系研究 — 基于利率市场化与汇率市场化的分析

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作者：Shaoyin Zheng

摘要：

This paper empirically analyzed the dynamic relationship between interest rate and exchange rate with VAR model and VECM using monthly data from 2008 to 2019. One of the main contributions of this paper is that it concentrated on studying how the marketization of interest rate and exchange rate plays a role in the transmission mechanism between these two rates by dividing the sample into 6 different groups according to the process of the marketization. The results show that there are long-term and short-term equilibrium relationship between interest rate and exchange rate. Also, interest rate could quickly respond to the changes in exchange rate after the marketization, which reflect that the marketization of interest rate is effective in China. However, exchange rate could not effectively respond to changes in interest rate. Thus, the marketization of exchange rate still needs to be improved. In addition, the results show that after marketization, an increase in the interest rate would lead to a decrease in exchange rate now, which could be a reference to the formulation of monetary policies.

关键词：Marketization; Interest Rate; Exchange Rate; VECM

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