A Study On The Impact Mechanism Of RMB Exchange Rate On Interest Rate

With the continuous improvement of China's exchange rate policy and interest rate policy reform,the formation mechanism of exchange rate and interest rate and the influence mechanism have been the focus of scholars' attention.Whether it is analyzing the exchange rate policy,the effectiveness of interest rate policy or the fluctuation of exchange rate,the impact of interest rate fluctuation on economic activity,it should not divide the relationship between exchange rate and interest rate.First of all,this paper combs the relevant literatures on the relationship between interest rate and exchange rate,draws on the theory of interest rate parity,and analyzes the relationship between interest rate and exchange rate by using the theoretical model of McKinnon Daejeon,and uses dynamic modeling to carry out the stability test and cointegration(VAR)to verify the interaction between the nominal exchange rate and interest rate,and to demonstrate the short-term dynamic relationship between RMB nominal exchange rate and interest rate.At the same time,through the intermediary test of empirical methods to specifically explore the impact of exchange rate on interest rates mechanism.The results of this study show that the interaction between the nominal effective exchange rate and the nominal interest rate under the current market system in China is not completely cut off and does not form a fully effective mechanism.Specific conclusions:(1)There is a weak negative long-term equilibrium relationship between the nominal effective exchange rate and the nominal interest rate,and the interaction between the two needs to be reflected by the long delay.Through the ADF test,the nominal effective exchange rate and interest rate variables are first order single sequence,the variables can be cointegration test,by Johensen cointegration test between the two there is a long-term equilibrium relationship.(2)The effect of nominal exchange rate on nominal interest rate is much greater than the effect of nominal interest rate on nominal exchange rate.First,the foreign exchange reserves have a one-way Granger causality at the 95% confidence level,ie the foreign exchange reserve is the Granger reason for the nominal interest rate and the nominal interest rate is not foreign exchange reserves.(3)the exchange rate on the interest rate did not form a fully effective mechanism: on the price channel-the price of export commodities,the results show that the exchange rate and export commodity prices have a significant positive correlation,the channel is smooth,but in the intermediary effect test.Based on the current exchange rate and interest rate weak linkage and has not yet formed a fully effective transmission mechanism to make the following recommendations:(1)to improve the RMB exchange rate formation mechanism to promote the exchange rate market-oriented reform;(2)the central bank to control the need for more interest rate management;(2)the central bank to adjust the interest rate management to be more(3)correctly guide the market expectations,weaken the impact of information asymmetry,the central bank in the foreign exchange intervention,the central bank to adjust the market interest rate system,the market interest rate system,Not only to consider the intensity and direction of intervention,but also to consider the intervention caused by the market on the expected changes in the proportion of the use of a variety of media to promote the transparency of the entire market information to guide the market participants expected to change in the direction of the target.To avoid information asymmetry led to the market is uncertain to cause exchange rates,interest rates huge fluctuation.