發(fā)布時(shí)間：2018-05-24 16:25

  本文選題：匯率 + 利率�。� 參考：《北京理工大學(xué)》2015年碩士論文

【摘要】：匯率是本國(guó)貨幣在外國(guó)匯率市場(chǎng)的價(jià)格表現(xiàn),利率是貨幣在本國(guó)貨幣市場(chǎng)的價(jià)格反映。二者均為宏觀經(jīng)濟(jì)的重要指數(shù),同時(shí)也是政府規(guī)范市場(chǎng)和資源分配的重要工具。因此,研究匯率與利率之間的交互影響就十分具有理論意義與實(shí)際應(yīng)用價(jià)值。本文通過兩個(gè)方面進(jìn)行研究,理論研究和實(shí)證分析。理論部分研究了經(jīng)典理論利率平價(jià)理論、購(gòu)買力平價(jià)理論和蒙代爾-弗萊明模型,討論了利率與匯率之間的傳導(dǎo)機(jī)制。實(shí)證分析部分主要研究美國(guó)利率與美元兌人民幣匯率之間的交互影響。通過建立VAR模型和VEC模型得到了利率與匯率之間是同向變化的。通過協(xié)整檢驗(yàn)得出利率與匯率之間存在長(zhǎng)期穩(wěn)定的關(guān)系。
[Abstract]:The exchange rate is the price performance of the local currency in the foreign exchange rate market, and the interest rate is the price reflection of the currency in the domestic currency market. Both are important indexes of macro-economy and important tools for government to regulate market and resource allocation. Therefore, the study of the interaction between exchange rate and interest rate is of great theoretical significance and practical application value. This article carries on the research through two aspects, the theory research and the demonstration analysis. In the theoretical part, the classical theory of interest rate parity, the purchasing power parity theory and the Mondal-Fleming model are studied, and the transmission mechanism between interest rate and exchange rate is discussed. The empirical analysis mainly studies the interaction between US interest rate and US dollar / RMB exchange rate. By establishing the VAR model and the VEC model, it is found that the interest rate and exchange rate change in the same direction. Cointegration test shows that there is a long-term stable relationship between interest rate and exchange rate.
【學(xué)位授予單位】：北京理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F831.6

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本文編號(hào)：1929765