CAJ | 학술논문

本文应用非线性平滑转换回归模型研究了2002年1月份到2011年12月份我国与美国、欧元区、日本、韩国等有效汇率指数、综合利差之间的关系。实证分析表明，汇率对利率的影响具有明显的非对称性，具有较强的非线性转移动态特征。分国别看，四个国家或地区之间的上期利差均是影响本期利差的重要因素；在短期内汇率对利率影响较大。因此，短期内人民币汇率弹性的扩大应该主动、逐步、稳定进行，防止人民币汇率弹性的急剧扩大导致利率的过度波动。其次，逐步有序加快利率市场化进程并加强与汇率市场化的配合，构建高效的汇率-利率联动机制。
본문응용비선성평활전환회귀모형연구료2002년1월빈도2011년12월빈아국여미국、구원구、일본、한국등유효회솔지수、종합리차지간적관계。실증분석표명，회솔대리솔적영향구유명현적비대칭성，구유교강적비선성전이동태특정。분국별간，사개국가혹지구지간적상기리차균시영향본기리차적중요인소；재단기내회솔대리솔영향교대。인차，단기내인민폐회솔탄성적확대응해주동、축보、은정진행，방지인민폐회솔탄성적급극확대도치리솔적과도파동。기차，축보유서가쾌리솔시장화진정병가강여회솔시장화적배합，구건고효적회솔-리솔련동궤제。
In order to analyze the relationship of interest rate and effective exchange rate , this paper uses the Smooth Transition Regression Model and then chooses the monthly data of these two variables of China 、USA、Eu-rozone、Japan and Korea from Jan .2002 to Dec.2011.The results show that exchange rate has a nonlinear influ-ence on interest rate and obvious asymmetry .The last month interest rate and exchange rate have an important influence on interest rate in these four countries .Based on this , in order to prevent the flexibility of exchange rate surge caused by excessive fluctuations of the interest rate , we should progressively and stablely take the initi-ative to expand the flexibility of exchange rate in the short term .Secondly , we should gradually speed up the process of interest rate and exchange rate co-ordination liberalization ,and build an efficient linkage system .