The Empirical Study of the Influence of RMB Interest Rate on Exchange Rate:1981-2003

The quantitative analysis of the influence of RMB interest rate on exchange rate is of great significance in the marketization of interest rate and choosing exchange rate system in China. The empirical study which includes unit root test of time series variable, co-integration test and setting up error correction model shows that whether in the long-term or the short-term,the RMB interest rate has a reverse influence on exchange rate. In the long-term, the interest rate has a stronger influence on exchange rate,but in the short-term, the interest rate has an inferior influence on exchange rate. It is mainly through the commodity market that the interest rate acts on the exchange rate indirectly in China.