远期汇率期限结构的相对稳定点的研究

随着金融全球化的加深,国家之间的货币政策的关联越来越大,各国利率的调整对远期汇率市场的影响错综复杂。本文研究当两国同时调整利率时,远期汇率曲线上相对稳定点的存在性和唯一性。首先,从理论上解决了当两国利率调整引起利率期限结构发生各种变动时,远期汇率期限结构曲线在利率调整前后是否存在相对稳定点和稳定点是否唯一的问题。其次,本文结合美加两国的宏观经济形势变化和货币政策的具体实践,选择了美联储和加拿大央行调息的五个示例,从实证的角度检验了前面的理论,实证结果表明:当利率期限结构和即期汇率满足一定的条件时,利率调整前后远期汇率曲线存在相对稳定点。

The Study of Fix Points on the Term Structure Curve of Forward Exchange Rates

With the deepening of financial globalization,the links between the monetary policies of some economies are getting closer and closer,therefore,the impact of interest rate adjustment on the forward curve becomes intricate and complex. In this paper,we study the existence and uniqueness of fixed points on the forward curve when two economies adjust their target interest rates. At first,we propose the condition for existence and uniqueness of fixed points on the forward curve,when the term structure of interest rate occurs various changes caused by interest rate adjustment. Then,based on the macroeconomic situations and monetary policy implemented by U.S. and Canada,we select five typical cases to verify the 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 meet certain conditions.