The Realization of Interest Rate Parity in China
基于利率平价理论构建指标P衡量人民币升值压力，实证发现P对人民币即期汇率波动影响不显著，但能预测和解释外汇储备变化，表明利率平价在中国以外汇储备积累速度变化而非汇率自由浮动的方式实现。
The theory of interest rate parity is one of the most important theories in the determination of exchange rate.However,actual exchange rate often deviates from the equilibrium situation as described and the degree of deviation could usually be used to measure the appreciation depreciation pressure of RMB.In this paper,we construct the index P as a measurement of the appreciation pressure of RMB based on the theory of interest rate parity,and empirical research is conducted to the relationship of P with RMB spot exchange rate and FX reserves. We get the conclusion that P does not significantly contribute to the fluctuation of RMB spot exchange rate,while could to some extent be used to predict and explain the change in FX reserves.The implication is that interest rate parity manifests itself in the form of the change in the accumulation velocity of FX reserves instead of the free floating of exchange rate in China.At the same time,the capital account of China is actually in a quasi-open condition as implied by the influence on FX supplies of the change in the spread of interest rate in china and foreign countries.