本文将货币锚模型中的非汇率变量与锚效应的关系由线性拓展为U形和倒U形,以我国2010年以后的四次汇改为结构性断点,采用Frankel经典货币锚模型测度人民币对44种货币的锚效应,并从直接形成渠道剖析人民币成为货币锚的机制。结果表明：第一,人民币总体上对44种货币存在显著的锚效应。第二,贸易开放渠道与人民币锚效应之间存在U形关系,资本开放渠道在不同汇改时段与锚效应分别存在U形和倒U形关系,官方储备渠道与锚效应存在倒U形关系。第三,初步放宽汇率浮动区间限制后,资本开放渠道和官方储备渠道能够促进人民币锚效应的形成,宽松的浮动区间有助于贸易开放渠道发挥作用。第四,汇率中间价市场化定价改革削弱了资本开放渠道和官方储备渠道的作用,降低了人民币锚效应,各渠道难以通过逆周期因子发挥作用。研究结果为推进汇率制度改革和提升人民币国际影响力提供了参考依据。
Abstract
The exchange rates of global currencies have fluctuated frequently and widely after the financial crisis in 2008, thus finding a more suitable anchor currency has become a common problem. With the acceleration of RMB internationalization and the enhancement of China's global influence, RMB has been qualified to be the currency anchor.
Based on the structural break test of four exchange rate formation reforms after 2010, the paper measures RMB's anchor effect in 44 currencies around the world by adopting Frankel's model, then analyzes the internal logic from the perspective of U-shaped and inverted U-shaped effects of direct formation channels.
The results show that, above all, RMB has significant anchoring effect on 44 currencies. and there are U-shaped and inverted U-shaped relationships. Moreover, capital-openness channel and official-reserve channel enhance RMB's anchor effect after preliminary relaxation of the fluctuation range, while a looser range is conductive to boost the trade-openness channel. Finally,“8·11 Reform” weakens the role of capital-openness channel and official-reserve channel.
Contributions lie in the following points. Firstly, the relationship between the non -exchange -rate variable and the currency anchor effect is extended from linear correlation to U-shaped and inverted U-shaped correlation. Secondly, the formation mechanism of RMB's anchor effect is comprehensively analyzed from the direct channels. Thirdly, influences of different types and stages of reforms are considered.
关键词
货币锚 /
人民币 /
直接形成渠道 /
汇率形成机制改革
{{custom_keyword}} /
Key words
Anchor Currency /
RMB /
Direct Formation Channels /
Exchange Rate Formation Reform
{{custom_keyword}} /
中图分类号：
F822
{{custom_clc.code}}
({{custom_clc.text}})
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
参考文献
[1] 巴曙松,杨现领. 货币锚的选择与退出:对最优货币规则的再考察[J]. 国际经济评论,2011(1):141-154
[2] 丁剑平,方琛琳,叶伟.“一带一路”区块货币参照人民币“隐性锚”分析[J]. 国际金融研究,2018(10):23-32
[3] 冯永琦,代佳航,瞿亢. 人民币在东亚区域货币“锚”效应及其影响因素研究[J]. 国际金融研究,2020(2):56-65
[4] 郭建伟. 中亚五国货币与其锚货币是线性关系吗?——引入外部市场依赖程度的分析[J]. 数量经济技术经济研究,2018,35(10):40-58
[5] 李巍. 伙伴、制度与国际货币——人民币崛起的国际政治基础[J]. 中国社会科学,2016(5):79-100
[6] 刘刚,张友泽. 人民币在“一带一路”货币圈发挥了锚效应吗?——基于人民币与主要国际货币比较研究[J]. 国际金融研究,2018(7):32-41
[7] 彭红枫,朱怡哲. 资本账户开放、金融稳定与经济增长[J]. 国际金融研究,2019(2):3-12
[8] 徐奇渊,杨盼盼. 东亚货币转向钉住新的货币篮子?[J]. 金融研究,2016(3):31-41
[9] 杨荣海,李亚波. 资本账户开放对人民币国际化“货币锚”地位的影响分析[J]. 经济研究,2017,52(1):134-148
[10] 张明,李曦晨. 人民币国际化的策略转变:从旧“三位一体”到新“三位一体”[J]. 国际经济评论,2019(5):80-98
[11] 周颖刚,程欣,王艺明. 为什么人民币越来越重要呢?——基于网络分析方法的汇率证据[J]. 管理科学学报,2019,22(9):12-38
[12] Bergsten C F.The Dollar and the Euro[J]. Foreign Affairs,1997,76(4):83-95
[13] Edwards S.Openness,Trade Liberalization and Growth in Developing Countries[J]. Journal of Economic Literature,1993,31(3):1358-1393
[14] Frankel J A,Wei S J.Estimation of De Facto Exchange Rate Regimes:Synthesis of the Techniques for Inferring Flexibility and Basket Weights[J]. IMF Economic Review,2008,55(3):384-416
[15] Frankel J A,Wei S J.Yen Bloc or Dollar Bloc? Exchange Rate Policies of the East Asian Economies[M]. University of Chicago Press,1994:295-333
[16] Fratzscher M,Mehl A.China's Dominance Hypothesis and the Emergence of a Tri-Polar Global Currency System[J]. The Economic Journal,2014,124(581):1343-1370
[17] Ito T.A New Financial Order in Asia:Will a RMB Bloc Emerge?[J]. Journal of International Money and Finance,2017,74:232-257
[18] Keddad B.How Do the Renminbi and Other East Asian Currencies Co-Move[J]. Journal of International Money and Finance,2019,91:49-70
[19] Meissner C M,Oomes N.Why Do Countries Peg the Way They Peg? The Determinants of Anchor Currency Choice[J]. Journal of International Money and Finance,2009,28(3):522-547
[20] Mundell A R.A Theory of Optimum Currency Areas. American Economic Review[J]. 1961,51(4):657-665
[21] Spencer M.A “Yuan” Bloc in Asia? Not Yet[R]. Deutsche Bank Global Economic Perspectives,2013
[22] Subramanian A,Kessler M.The Renminbi Bloc Is Here:Asia Down,Rest of the World to Go?[J]. Journal of Globalization and Development,2013,4(1):49-94
{{custom_fnGroup.title_cn}}
脚注
{{custom_fn.content}}
基金
*本文获国家社会科学基金重点项目“非对称货币权力下国际经济金融制裁与反制裁效果研究”（19AGJ011）、江苏高校哲学社会科学重大项目“人民币国际化背景下中资银行‘走出去’防范国外反洗钱制裁的研究”（2017ZDAXM009）资助
{{custom_fund}}
京公网安备 11010202008337号
