人民币国际化与汇率波动性衡量体系重构  

The Internationalization of RMB and the Reconstruction of the Measurement System for Exchange Rate Volatility

作　　者：王欣然 刘綦泽 Wang Xinran;Liu Qize

机构地区：[1]清华大学社会科学学院 [2]清华大学经济管理学院

出　　处：《开发性金融研究》2024年第2期22-35,共14页Development Finance Research

摘　　要：本文认为,当前全球货币体系中,单一使用美元衡量汇率波动性的现状不利于推进人民币国际化进程。因此,需要构建更客观的汇率衡量体系。进而,本文提出这一衡量体系的具体实现方式:(1)构建基于虚拟标准货币(VSC)的收益序列;(2)以构建好的VSC收益序列为输入,构建ARCH和GARCH波动性模型,刻画汇率波动性,其中,收益序列构建可拆分为构建基于VSC的数据集、计算基于VSC定价的外汇资产的收益率和计算VSC数据集收益率三个步骤。由此,本文得出的结论包括:(1)该方法可识别不同成分货币的差异,给出的波动性衡量对高波动更敏感,且对由单个货币特质性波动引起的市场波动具有一定的过滤能力;(2)与以美元为衡量标准相比,以VSC作为衡量标准更具全面性、科学性,人民币相对VSC升值,体现出其超越其他成分货币的稳健性,利于缓解市场恐慌,促进人民币国际化。由此,本文基本论证了以此种评价体系来衡量人民币国际化的可信性与可行性。与理论模型对应,本文提出了三项政策建议,目的在于为人民币国际化提出可操作的实践路径。This paper suggests that reliance on the US dollar for measuring exchange rate volatility reinforces its dominance in the current global economic landscape and RMB internationalization.Hence,it advocates for a more objective foreign exchange measurement system.The proposed approach involves:(1)establishing a yield sequence using a virtual standard currency(VSC);(2)employing ARCH and GARCH models with the VSC yield sequence to gauge exchange rate volatility.The yield sequence creation involves:(1)building a VSC-based dataset;(2)calculating yields of foreign exchange assets using the VSC;(3)computing yields of the VSC dataset.Findings indicate:(1)The method detects volatility differences among currencies,offering heightened sensitivity to high volatility and filtering individual currency-induced market volatility;(2)Compared to the USD benchmark,the VSC benchmark is more comprehensive and scientific.The RMB’s appreciation against the VSC underscores its resilience,easing market panic and advancing RMB internationalization.This validates the credibility and feasibility of this evaluation system.Additionally,the paper proposes three policy suggestions to facilitate RMB internationalization in alignment with the theoretical model.

关 键 词：人民币国际化 去美元化 汇率 虚拟标准货币(VSC) 

分 类 号：F832.6[经济管理—金融学]