人民币对美元利率平价分析

引入外汇价格和存贷利率因素,把利率平价模型变得更贴近经济运行的实际情况,由此计算出在抛补利率平价模型下隐含的美元利率。运用此理论对中国实证发现,隐含美元利率和现实美元利率之间存在很大利差。各微观金融交易主体几乎没有利率自主权以及资本项目不可自由兑换是存在套利空间的主要原因。要消除美元套利空间,首先要掌握人民币外汇远期定价权;其次,要逐步开放资本项目,实现人民币的自由浮动和国际化;最后要完善汇率体制改革和加强国际间的协调。

Analysis on the Interest Rate Parity: RMB Versus USD

With the introduction of bid and asked prices for exchange rate and interest rates for RMB and,the traditional formula for interest rate parity is closer to the practical operations,then the implied interest rate of dollar is deduced.Empirically we find wide spread exists between implied interest rate of USD in China and the practical one,which means potential huge arbitrage opportunities.Main reasons for that are financial institutions have little pricing power on interest rates,and the Chinese government still imposes capital control.To eliminate the arbitrage opportunities,firstly China should obtain pricing power on forward of RMB versus USD,secondly,China may gradually liberalize its capital account and adopt free floating exchange rate of RMB,and eventually realize its role as international currency.Thirdly,China needs reforming its exchange rate system and strengthening the international coordination.