人民币货币锚地位的动态变化及其驱动因素*

贝泽赟, 程欣, 周颖刚

国际金融研究 ›› 2023 ›› Issue (10) : 16-27.

PDF(1849 KB)
PDF(1849 KB)
国际金融研究 ›› 2023 ›› Issue (10) : 16-27.
构建中国特色哲学社会科学

人民币货币锚地位的动态变化及其驱动因素*

  • 贝泽赟, 程欣, 周颖刚
作者信息 +

Research on the Dynamic Changes of RMB's Anchor Currency Status and the Underlying Drivers

  • Bei Zeyun1,4, Cheng Xin3, Zhou Yinggang1,2
Author information +
文章历史 +

摘要

本文使用网络建模方法,根据不同货币汇率的互动关系构造了全球汇率传导网络,反映了全球各货币之间锚定关系的结构演变。在此基础上,构造了衡量货币锚地位的指数——全球汇率传导指数。该指数显示:美元仍是全球货币体系中最重要的锚货币,并且一直处于全球汇率传导网络的核心位置;随着人民币国际化进程的加快,人民币的锚地位波动上升。在新冠疫情和全球金融市场动荡的背景下,人民币的锚地位保持稳定。本文还参考最优货币区理论,实证研究了货币锚地位的影响因素,发现经济体的经济规模、利率变动、国际贸易和跨境金融投资是驱动货币锚地位变化的主要因素。

Abstract

Since the 2008 financial crisis, the international monetary system has undergone a significant transformation, which is reflected not only in the currency usage in international transactions but also in the increased interaction influence among different currencies. The existing anchor currency model(Frankel & Wei, 1994, 2007), which is based on a single linear regression, cannot measure the co-movement and anchoring effect of various currencies.
Using the dynamic networks of the major global currency exchange rate transmission, this paper introduces the global exchange rate transmission indices to identify the anchor currency status of currencies These indices incorporatee the co-movement of exchange rates across the monetary system. The evidence shows that the US dollar has consistently held a central and dominant position within the global monetary system. With the internationalization of RMB, its anchor currency impact on other major currencies has been on the rise. During the COVID-19 crisis, RMB' s status as an anchor currency remained stable.
Following the optimum currency area theory, a further analysis of the driving force on currencies' anchor currency status reveals that economic growth, international trades, and financial investments are significant factors for major anchor currencies to enhance their anchor power. However, financial investments display an insignificant impact on the RMB's anchor power, possibly due to China's limited degree of financial openness. This paper proposed three suggestions. Firstly, as economic development is the foundation of currency value and anchor power, the paper suggests accelerating economic development and industrial upgrading. Secondly, as the financial linkages are the main driving factors of the anchor status of the major anchor currencies, the paper recommends accelerating financial opening and providing more conveniences for financial foreign investment. Thirdly, as several exchange rate reforms helped improve the RMB's anchor currency status, the paper proposes a gradual promotion of RMB internationalization through ongoing reform efforts.

关键词

人民币 / 锚货币 / 网络分析 / 全球汇率传导指数

Key words

RMB / Anchor Currency / Network Analysis / The Global Exchange Rate Transmission Index

引用本文

导出引用
贝泽赟, 程欣, 周颖刚. 人民币货币锚地位的动态变化及其驱动因素*[J]. 国际金融研究, 2023(10): 16-27
Bei Zeyun, Cheng Xin, Zhou Yinggang. Research on the Dynamic Changes of RMB's Anchor Currency Status and the Underlying Drivers[J]. Studies of International Finance, 2023(10): 16-27
中图分类号: F821   

参考文献

[1] 曹彤,赵然.从多核心货币区视角看人民币国际化进程[J].金融研究,2014(8):47-63
[2] 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
[3] 黄乃静,汪寿阳.中欧货币汇率的极端风险传播研究[J].管理科学学报,2018(12):1-17
[4] 李稻葵,刘霖林.人民币国际化:计量研究及政策分析[J].金融研究,2008(11):1-16
[5] 彭红枫,谭小玉.人民币国际化研究:程度测算与影响因素分析[J].经济研究,2017(2):125-139
[6] 陶士贵,胡静怡.人民币何以成为货币锚?——基于汇改视角的直接形成渠道分析.国际金融研究. 2021(1):76-86
[7] 万蕤叶,陆静. 金融危机期间汇率风险传染研究[J]. 管理科学学报,2018(6):12-28
[8] 王孝松,刘韬,胡永泰.人民币国际使用的影响因素——基于全球视角的理论及经验研究[J].经济研究,2021(4):126-142
[9] 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
[10] 徐扬,汤珂,谢丹夏.人民币国际化及其影响因素:基于汇率联动视角[J].国际金融研究,2023(3)61-73
[11] 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(1):134-148
[12] 张冲,叶茜茜,丁剑平.全球货币“隐性锚”指数研究[J].国际金融研究,2023(1):52-61
[13] 周颖刚,程欣,王艺明, 为什么人民币越来越重要呢?——基于网络分析的汇率数据[J],管理科学学报,2019(9):12-38
[14] 中国人民大学国际货币研究所.人民币国际化报告2023[M].北京:中国人民大学出版社,2023
[15] 朱孟楠,袁凯彬,刘紫霄.区域金融合作提升了人民币货币锚效应吗?——基于签订货币互换协议的证据[J].国际金融研究,2020(11):87-96
[16] Alter A,Beyer A.The Dynamics of Spillover Effects During the European Sovereign Debt Turmoil[J]. Journal of Banking & Finance,2014,42(4):134-153
[17] Banerjee R,Devereux M B,Lombardo G.Self-Oriented Monetary Policy,Global Financial Markets and Excess Volatility of International Capital Flows[J]. Journal of International Money and Finance,2016,68:275-297
[18] Baruník J,Křehlík T.Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk[J]. Journal of Financial Econometrics,2018,16(2):271-296
[19] Cheng X,Chen H,Zhou Y.Is the Renminbi a Safe-Haven Currency? Evidence From Conditional Coskewness and Cokurtosis[J]. Journal of International Money and Finance,2021,113:102359
[20] Diebold FX,Yılmaz K .On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms[J]. Journal of Econometrics,2014,182(1):119-134
[21] Diebold F X,Yilmaz K.On the Past,Present,and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness[J]. Journal of Econometrics,2023,234:115-120
[22] Eichengreen B,Lombardi D.RMBI or RMBR? Is the Renminbi Destined to Become a Global or Regional Currency?[J]. Asian Economic Papers,2017,16:35-59
[23] Fama E F,French K R.A Five-Factor Asset Pricing Model[J]. Journal of Financial Economics,2015,116(1):1-22
[24] Fornaro L.A Theory of Monetary Union and Financial Integration[J]. The Review of Economic Studies,2022,89(4):1911-1947
[25] Frankel J,Xie D.Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes[J]. American Economic Review,2010,100(2):568-572
[26] Frankel J A,Wei S J.Yen Bloc or Dollar Bloc? Exchange Rate Policies of the East Asian Economies. In Macroeconomic Linkage:Savings,Exchange Rates, and Capital Flows[M]. University of Chicago Press,1994:295-333
[27] Frankel J A,Wei S J.Assessing China's Exchange Rate Regime[J]. Economic Policy,2007,22(51):576-627
[28] Fruchterman T M,Reingold E M.Graph Drawing by Force‐Directed Placement[J]. Software:Practice and Experience,1991,21(11):1129-1164
[29] Georgiadis G.Determinants of Global Spillovers from US Monetary Policy[J]. Journal of International Money and Finance,2016,67:41-61
[30] Ito T.A New Financial Order in Asia:Will a RMB Bloc Emerge?[J]. Journal of International Money and Finance,2017,74:232-257
[31] Keynes J M.A Tract on Monetary Reform[M]. London, Macmillan, 1923
[32] McKinnon R I. Optimum Currency Areas[J]. American Economic Review,1963,53(4):717-725
[33] 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
[34] Mundell R. A.A theory of Optimum Currency Areas[J]. The American Economic Review,1961,51(4):657-665
[35] Yang Z, Zhou Y.Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes[J]. Management Science,2017,63(2):333-354
[36] Yang Z,Zhou Y,Cheng X.Systemic Risk in Global Volatility Spillover Networks:Evidence from Option‐Implied Volatility Indices[J]. Journal of Futures Markets,2020,40:392-409

基金

*本文获国家自然科学基金基础科学中心项目“计量建模与经济政策研究”(71988101)、国家自然科学基金项目“条件协偏(峰)度、人民币与国际避险货币:基于区制转换模型的研究”(71871195)、国家自然科学基金项目“人民币汇率系统重要性及其影响机制研究:基于网络分析的视角”(72103170)、国家社会科学基金重大项目“新形势下资本市场重大风险防范与化解研究”(19ZDA060)的资助
PDF(1849 KB)

131

Accesses

0

Citation

Detail

段落导航
相关文章

/