利率调整对远期汇率期限结构的影响

远期外汇市场对货币政策的反应是宏观开放经济和国际金融研究的热点问题。本文提出利率调整前后远期汇率期限结构曲线存在相对稳定点的观点,并考察远期汇率期限结构曲线上相对稳定点的性质。首先,利用利率平价理论建立了远期汇率期限结构的静态模型,基于此模型,根据相对稳定点的定义,从理论上得到了在一国利率期限结构发生各种变动的情况下,远期汇率期限结构曲线上稳定点的存在性和唯一性条件。其次,结合美日两国的宏观经济形势变化和货币政策的具体实践,选择了美联储调息的五个示例,从实证的角度对理论加以验证。理论与实证结果均表明:当利率期限结构和即期汇率的变动满足一定的条件时,利率调整前后远期汇率期限结构曲线存在相对稳定点。

The Impact of Interest Rate Adjustment on the Term Structure of Forward Exchange Rates

The research on the response of forward exchange markets to monetary policy is one of the hot spots in open economy macroeconomics and international finance. In this paper,we present that there exist some fixed points on the forward curve which have no response to the adjustment of interest rates. At first,using interest rate parity theory,we develop a static model of the term structure of forward exchange rates. Based on this model,we propose the condition for existence and uniqueness of fixed points on the forward curve by the definition of the fixed points,when the term structure of interest rate expresses various changes caused by interest rate adjustment.Then,based on the macroeconomic situations and monetary policy implemented by US and Japan,we have selected five typical cases to verify theory,which are common in the real monetary policy. The empirical results show that there exist some fixed points on the forward curve when the term structure of interest rates and spot exchange rate meets certain conditions.