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发达经济体在国际经济活动中扮演着重要角色,对国际金融危机冲击的传导与扩大起着巨大作用。在非抛补利率平价理论框架基础上,本文以美国和日本为例,对发达经济体利率与汇率相互影响的动态机制进行了分析。研究发现,在美日利率与汇率相互影响体系内:变量间存在长期的均衡协整关系;变量间具有较为密切的相互作用;变量对自身的作用及其在模拟中所产生的误差可由自身所解释的部分均比另外两个变量大,并可持续到第6期左右。最后,结合研究结论,对今后中国的利率与汇率政策提出了战略定位。
Developed economies play an important role in international economic activities and play a significant role in the transmission and expansion of the global financial crisis. Based on the theoretical framework of non-throwing interest rate parity, this paper takes the United States and Japan as examples to analyze the dynamic mechanism of the interaction between interest rate and exchange rate in developed economies. It is found that there are long-term equilibrium co-integration relationships between variables in the system of interactions between interest rates and exchange rates in the United States and Japan; there is a close interaction between variables; the effects of variables on themselves and their errors in the simulation can be determined by themselves The explanations are larger than the other two variables and can continue until the sixth period. Finally, combined with the conclusions of the study, the strategic positioning of China’s interest rate and exchange rate policy is proposed.