CAJ | 학술논문

研究利用状态空间模型，选取2002年1月-2012年7月的月度数据为样本，考察了中国、英国、欧元区与日本政策利率同美国政策利率联动性的特征与演变趋势。结果表明，整体上，近十年来以美国为主导的国际利率政策调整对其他国家的利率政策产生一定程度的正向作用，国际利率呈现一定程度的联动性，且有逐步增强的趋势。特别是在国际经济异动时期，这种趋势更加显著。但对于不同国家而言，国际利率联动的特征与演变趋势有差异。其中，中国政策利率与美国政策利率的联动关系在后金融危机期有下降趋势，而中国利率政策的独立性相对增强。最后指出了相关政策含义。
연구이용상태공간모형，선취2002년1월-2012년7월적월도수거위양본，고찰료중국、영국、구원구여일본정책리솔동미국정책리솔련동성적특정여연변추세。결과표명，정체상，근십년래이미국위주도적국제리솔정책조정대기타국가적리솔정책산생일정정도적정향작용，국제리솔정현일정정도적련동성，차유축보증강적추세。특별시재국제경제이동시기，저충추세경가현저。단대우불동국가이언，국제리솔련동적특정여연변추세유차이。기중，중국정책리솔여미국정책리솔적련동관계재후금융위궤기유하강추세，이중국리솔정책적독립성상대증강。최후지출료상관정책함의。
By using state - space model and taking the monthly interest rates data from 2002.1 to 2012.7 as a sample, this paper studies policy interest rates linkages characteristics and evolution trend of policy interest rate of China, British, Euro Zone and Japan with the United States policy interest. The results shows： on the whole, international interest rate changes have the positive effect on policy interest rate of other countries to some extent in the past ten years, and there is an obvious International interest rate linkage. International interest rate linkage has gradually increased. This trend is more obvious in the international economic transaction period, but for different countries, characteristics and evolution trend of international interest rate linkage are differ- ent. Among them, the policy rates linkage between China and the United States have declined in the post-crisis period, and the relative independence of interest rate policy is increasing. Finally, the related policy implications are put forward.