The Fluctuation And Linkage Studies Between The Benchmark Interest Rate And Exchange Rate

With the progress of interest rate marketization in China,the degree of economic openness in China is increasing.In the open economic environment,adjust the internal balance of the economy of our country interest rate policy,exchange rate policy to maintain stable external economies,two interrelated and complementary,more effectively reflect the allocation of resources and economic operation in China,the maintenance of domestic and international economic balanced development.At present,our country is in order to promote the reform of the interest rate and the exchange rate,although not fully realize the interest rate market,but with China's financial system reform,the linkage effect between interest rate and exchange rate will be more obvious.Based on the above economic background,this paper first analyzes the changes of interest rate and exchange rate,discusses the characteristics of the changes of the two,and then carries on the empirical research on the linkage.At last,this paper puts forward the substantive suggestions on how to strengthen the coordination of the two party and how to further promote the reform of the market system.Based on the solid theoretical knowledge,this paper studies the linkage between exchange rate and interest rate in our country by using the modern measurement tools.Through the study of exchange rate and interest rate movements and linkage,it provides a reference for the coordination of the foreign currency policy in the new period of our country,and it has important inheritance and innovation significance in theory and practice.This paper combine theoretical and empirical knowledge,the classical theory firstly from the research background of the exchange rate and interest rate on the exchange rate,interest rate and fundamental understanding,and then use the GARCH model and statistical analysis method to get the interest rate and the exchange rate of their changes.The results show that the change of SHIBOR has the characteristics of general financial assets,such as the peak of the peak,the concentration and the leverage effect.In addition,from the analysis of the change trend of the exchange rate,in the sample period,the RMB appreciation in the long term,but at this stage the effective exchange rate index from high volatility into a continuous downward trend,the RMB devaluation pressure.This may be with the 8.11 reform and the 4 quarter of 2015 of RMB IMF agreed to join SDR,since the daily intervention on the exchange rate the central bank reduced exchange rate marketization level,cause the exchange rate to start a new round of devaluation process.The analysis of the theoretical knowledge,the research on the characteristics of the SHIBOR and the effective exchange rate of RMB exchange rate has laid a good foundation for the study of the linkage relationship between the two.An empirical study on the linkage between the two this paper only consider the SHIBOR and the real effective exchange rate of the two variables,the existence of cointegration test two,a vector autoregression model and impulse response analysis to the corresponding.Then it introduces two important economic variables that affect the exchange rate and interest rate changes,namely,the money supply and the national foreign exchange reserve,and further analyzes the linkage between exchange rate and interest rate.When the variables are introduced,first of all,the stability test is carried out.and the vector autoregressive(VAR)model is established based on the same order single integration of the selected variables.The method is used to test the long-term equilibrium between interest rate and exchange rate,and to establish the model of co integration and error correction,which is based on the Johansen method.For the volatility dependence,this paper uses impulse response and variance decomposition method.The linkage between interest rate and exchange rate analysis conclusions have great influence to the exchange rate change to the change of interest rate,the interest rate changes on the impact of exchange rate changes very little,that is between the interest rate and the exchange rate transmission is not smooth.At this stage,China's SHIBOR and exchange rate linkage between the study of the literature is still relatively small,and with the degree of China's market to improve the linkage between the two studies will have a more important significance.In this paper,the exchange rate of RMB real effective exchange rate(REER),excluding the impact of inflation,from the fundamental analysis of the changes in China's economic situation.SHIBOR benchmark interest rate data,more realistic to reflect the overall real trend of China's market interest rates.The innovation of this paper is:(1)Joined the previous work did not join combination of two important media--the money supply and foreign exchange reserves,which makes the research on the relationship between interest rate and exchange rate linkage of more reliable.(2)Break through the traditional model and use the standard GARCH model,the model is set to the ARMA-GARCH model,which makes the research more realistic.(3)In view of the linkage effect between exchange rate and interest rate,this paper not only puts forward the coordination mechanism,but also puts forward how to prevent.The inadequacies of this article are:(1)SHIBOR began trial operation in October of 2006,the monthly dynamic data analysis of antithetical couplet only from October 2006 to July 2016,less the number of samples,impact on the results of empirical research may have a certain degree of.(2)policy recommendations,although the interest rate on the exchange rate linkage mechanism,but may not be in-depth and comprehensive,to be further improved and improved.