CAJ | 학술논문

通过利用VAR模型,分别以Granger因果检验法和向量自回归分解法检验中国同业拆借利率、货币供应量对人民币有效汇率的解释能力,及利率变化对汇率波动的影响。实证结果表明：货币供应量、利率对人民币汇率波动都具有贡献度,且利率的变化对汇率波动的影响比货币量对其的影响更快也更多。货币供应量、利率对人民币汇率有着十分显著的影响。
통과이용VAR모형,분별이Granger인과검험법화향량자회귀분해법검험중국동업탁차리솔、화폐공응량대인민폐유효회솔적해석능력,급리솔변화대회솔파동적영향。실증결과표명：화폐공응량、리솔대인민폐회솔파동도구유공헌도,차리솔적변화대회솔파동적영향비화폐량대기적영향경쾌야경다。화폐공응량、리솔대인민폐회솔유착십분현저적영향。
Whether the monetary policy exerts great influence on exchange rate fluctuations is the utmost guarantee to the effectiveness of the exchange rate transmission channel under our national monetary policy.Therefore,there is great necessity of applying related data to analyze the influence from an empirical perspective.By utilizing the VAR model,this paper adopts Granger Causality Test and the Variance Decomposition Method to examine the interest rate,the explanatory ability of money supply to the effective exchange rate of RMB,as well as the influence of monetary policy on the exchange rate in China.This empirical study suggests that both the money supply and the interest rate change contribute to the fluctuations of the exchange rate of RMB;moreover,the interest rate change has faster and greater influence on exchange rate fluctuations than the money supply does.Generally speaking,money supply and the interest rate exert remarkable influence on the exchange rate of RMB.