金融发展研究
金融髮展研究
금융발전연구
JOURNAL OF FINANCIAL DEVELOPMENT RESEARCH
2012年
10期
13-18
,共6页
汇率%利差%非线性%平滑转换模型
彙率%利差%非線性%平滑轉換模型
회솔%리차%비선성%평활전환모형
exchange rate%interest margin%nonlinearity%Smooth Transition Regression Model
本文应用非线性平滑转换模型研究了2000-2011年中美名义汇率与名义利差之间的动态非线性关系．研究发现：中美名义汇率与名义利差之间存在着负相关关系，汇率对利率的影响呈现出非对称性特征。当名义汇率在7—8之间时，汇率的变动会引起两国利差的较大变动；当人民币被高估或低估时，汇率对利率的影响程度大大降低。
本文應用非線性平滑轉換模型研究瞭2000-2011年中美名義彙率與名義利差之間的動態非線性關繫．研究髮現：中美名義彙率與名義利差之間存在著負相關關繫，彙率對利率的影響呈現齣非對稱性特徵。噹名義彙率在7—8之間時，彙率的變動會引起兩國利差的較大變動；噹人民幣被高估或低估時，彙率對利率的影響程度大大降低。
본문응용비선성평활전환모형연구료2000-2011년중미명의회솔여명의리차지간적동태비선성관계．연구발현：중미명의회솔여명의리차지간존재착부상관관계，회솔대리솔적영향정현출비대칭성특정。당명의회솔재7—8지간시，회솔적변동회인기량국리차적교대변동；당인민폐피고고혹저고시，회솔대리솔적영향정도대대강저。
Using the Smooth Transition Regression Model, this paper researches the dynamic nonlinear relationship between the China-America nominal exchange rate and interest margin from 2000 to 2011. The research finds out that, there is a negative correlation between the nominal exchange rate and the interest margin. The impact of exchange rate the margin shows a asymmetric feature. When the nominal exchange rate fluctuates between 7 and 8, the margin will change a lot with the exchange rate. However, this effect is weak when RMB is undervalued or overvalued, and the transmission mechanism becomes obstructed.
