| 真实汇率与真实利率差异——基于人民币真实汇率的实证研究 |
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| 引用本文： | 顾标 周纪恩. 真实汇率与真实利率差异——基于人民币真实汇率的实证研究[J]. 经济学, 2007, 7(1): 283-296 |
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| 作者姓名： | 顾标 周纪恩 |
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| 作者单位： | [1]北京大学中国经济研究中心,100871 [2]复旦大学经济学院世界经济系,100871 |
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| 基金项目： | 作者感谢两位匿名审稿人提出的富有建设性的意见;本文非参数分析部分基于北京大学光华管理学院的苏良军老师提供的Matlab程序,在此表示最衷心地感谢. |
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| 摘 要： | 本文详细考察了人民币对美元、日元、港币和欧元的双边真实汇率、真实利率差异与进出口之间的统计关系，结果发现：（1）人民币真实汇率与真实利率差异间不存在显著且稳定的统计关系；（2）人民币真实汇率具有较强的“自回归”性，并且存在比较明显的非线性动态调整特征。因此，研究人民币真实汇率自身的特定生成机制可能更具有重要意义。
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| 关 键 词： | 真实汇率 真实利率差异 |
Real Exchange Rate and Real Interest Differentials-An Empirical Analysis on Real Exchange Rate of RMB |
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| Abstract: | This paper investigates the empirical relationship between real exchange rate and real interest rate differentials, export-import, where the currencies cover RMB/USD, RMB/JPY, RMB/HKD, and RMB/EURO. We find that there exists no significant and stable relationship between real exchange rate and real interest differentials. Furthermore, the real exchange rate of RMB exhibits apparent characteristics of autoregressive and nonlinear dynamic adjustment during the period we are concerned with. Therefore, we conclude that it is quite important to examine the data generating mechanism of real exchange of RMB itself in further studies. |
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