Research On Linkage Mechanism Of RMB Interest Rate And Exchange Rate Under The Financial Market Reform Background

Under the condition of open economy,macroeconomic internal and external equilibrium is the various countries’ economic development goals.At present,China has entered the "thirteenth five-year plan for national economic and social development",facing the goal of maintaining rapid economic growth and the equilibrium internal and external development of macroeconomic.But the internal and international economic environment is complex,in order to achieve more than6.5% of the growth target is quite difficult.On the one hand,internal economy has the problems of insufficient domestic demand,excess capacity,low investment and export contribution rate.On the other hand,the global economy is bad,economy,technology,science and technology is in a transition phase,coupled with the developed countries’ economic,political instability factors,lead to highly unstable development in our country under the new normal.Adjusting the RMB interest rate and exchange rate policy moderately can effectively reduce the influence of external shocks and achieve the goal of economic internal and external equilibrium.This thesis studies the linkage mechanism of RMB interest rate and exchange rate based on ten years time series data under the financial market reform background.First,this thesis describe classical theory of the fluctuations mechanism of interest rate and exchange rate,and summarize the measurement methods of RMB interest rate and exchange rate fluctuation mechanism.On this basis,to examine the fluctuations mechanism of China’s national inter-bank lending interest rate in different periods,this thesis extend the Cox-Ingersoll-Ross model,and construct regime switching MS-CIR model.The results showed that,there are mean reversion characteristic in interbank interest rate of different term structure.RMB interest rate volatility mechanism conforms to the market segmentation theory,MS-CIR model can identify low volatility and high volatility regime different market term structure of interest rates.Second,through non-linear test of effective RMB exchange,two mechanism LSTAR model was established to further study the fluctuation mechanism of RMB exchange rate.The result suggested,during exchange rate reform,it presented mean reversion characteristics of RMB rate fluctuation,which verified purchasing power parity theory.Secondly,from May,2009 to September,2015,RMB exchangeelasticity enhanced,conducing to rapidly absorb negative impacts from financial crisis,2008.Therefore,exchange rate reform policy made notable achievement.Third,benefiting from the advantages of Copula theory on the aspects of capturing financial time series non-linear and asymmetrical study,the thesis constructed VAR-Copula model for exploring the depending relationship between RMB exchange rate and interest rate.The study demonstrated,the interest and exchange rate fluctuated along the same direction in‘full sample’and‘interval 2’,while in ‘interval 1’,their fluctuation were opposite;tail asymmetrical phenomenon was not observed of the interest and exchange rate fluctuation.Other than strong correlation between interest and exchange rate,a gradually subdued tendency appeared for their relationship.Eventually,based on empirical research of the exchange rate and interest rate fluctuation theory,the thesis proposed several politic suggestions for augmenting exchange rate and interest rate linkage from the point view of interest rate reform improvement,exchange rate marketization,capital controls looseness and economic development pattern transformation.