時(shí)間長(zhǎng)度下利率平價(jià)實(shí)證檢驗(yàn)與匯率變動(dòng)分析-資料下載頁(yè)
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【正文】 nomics, 66(2005), 349362[5] Nicholas Sarantis. 2006, Testing the uncovered interest parity using traded volatility, a timevarying risk premium and heterogeneous expectations, Journal of International Money and Finance, 25(2006), 11681186[6] Geert Bekaert, Min Wei, Yuhang Xing. 2007, Uncovered interest rate parity and the term structure, Journal of International Money and Finance, 26(2007), 10381069[7] 易綱,[J].經(jīng)濟(jì)研究,1997(10): 2635[8] 何光輝,[J].上海經(jīng)濟(jì)研究,1999(12): 4450, 43[9] [J].河南金融管理干部學(xué)院學(xué)報(bào),2007(4): 69[10] [J].經(jīng)濟(jì)研究,1996(10): 3443[11] 葉莉,[J].河北工業(yè)大學(xué)學(xué)報(bào),2003(4): 107111[12] [J].時(shí)代經(jīng)貿(mào),2006(4): 7879[13] 鄭春梅,[J].經(jīng)濟(jì)問(wèn)題,2006(12) : 6062[14] 江春,[J].經(jīng)濟(jì)與管理,2007(10): 1823[15] :～—兼論我國(guó)的匯率利率政策[J].華北金融,2007(1): 414[16] [J].西南農(nóng)業(yè)大學(xué)學(xué)報(bào)(社會(huì)科學(xué) 版),2007(4): 1821[17] [D].南京:南京理工大學(xué),2007Empirical study on interest parity and analysis of the volatility of exchange rate in different durationJianhua Zeng, Bo Li(School of Economics and Management, Beijing U university of Aeronautics amp。 Astronautics, Beijing 100083, China)Abstract: After the regime switching, exchange rate between RMB and USD has started a new era. Based on the data from Jul,2005 to May,2008, with China interbank offered rate as Chinese market interest rate, influential factors of exchange rate volatility were analyzed involved yield in capital market in different duration such as a day, a month, half a year and a whole year. Inheriting the timevarying risk premium inferred by former studies, impulse response analysis was carried out in the short term case for quantitative investigation, breakpoint testing as well as event analysis based on chow test were also conducted in long term case for qualitative instruction. Factors affecting the exchange rate in short term, was attributed to yield in capital market mainly, while monetary policy switching dominated in intermediate term, as for the long term, macroeconomic condition influences the exchange rate overwhelmingly.Key Words: exchange rate。 interest rate parity。 multifactors analysis8 / 8
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