人民币汇率参照货币篮子与东亚货币联动的研究  

作　　者：丁剑平[1] 杨飞[2] 

机构地区：[1]上海财经大学现代金融研究中心 [2]上海财经大学

出　　处：《国际金融研究》2007年第7期36-42,共7页Studies of International Finance

基　　金：国家自然科学基金(项目编号:70341023和70373075);创价大学中日友好学术研究资助项目;上海财经大学211项目资助。

摘　　要：近年来采用参照篮子货币设定汇率波动的经济体在增加,这反映了全球区域各经济体汇率倾向于管理浮动和相对独立的势头(即区域汇率独立板块)。人民币也是如此,在汇改后参照美元比重显著减小,而区域货币权重逐步增大。虽然这延续着有效汇率研究的发展方向,但是它更加表现为一种市场力量的选择。区域内某些货币相互联动的增加,反映了这一组货币汇率波动的独立性。本研究通过回归发现,人民币与港币、林吉特、韩元和台币联动走得越来越近,在集体降低对美元的参照比重之后,这几种货币互相间参照比重上升。而在它们后面又有互动的其他货币。这种货币联动的方差和持续性模式是亚洲未来货币独立板块形成的雏形。中国汇改后在对亚洲货币集体降低美元权重中发挥主导作用。也只有亚洲区域内货币独立板块的形成,才能从外部真正减轻人民币目前的升值压力,充分展现出其灵活弹性。人民币参照货币篮子调整影响整个亚洲,而反过来也为人民币未来的改革创造外部条件。Recently, more and more economies set their currency＇s external value in terms of a currency basket, showing the independent trend of managed floating exchange rate in a region. RMB follows the same pattern. The weight of US dollar in its basket has been reduced dramatically, whereas, the weights of regional currencies have been added gradually. This study follows the approach of effective exchange rate with emphasis on market selection. The empirical estimation shows a trend of clustered volatility in regional currencies, the volatility of RMB is closely correlated with Hong Kong dollar, Malaysian Ringgit, Korean Won and Taiwan dollar. The clustered currencies reduced their previous weight of US dollar. They refer to the volatility among themselves instead. The weight, covariance and duration pattern are shaping up in these Asian currencies. It is a model of the future currency in the East Asia. The RMB exerts a great impact on the clustered Asian currencies in their lowering the weight of U.S dollar. With independent floating of the Asian currencies, the RMB would reduce its pressure of unilateral appreciation fundamentally. This will in turn establish favorable external condition for its future reform and make it more flexible.

关 键 词：人民币汇率 参照货币篮子 东亚汇率 多元GARCH BEKK模型 

分 类 号：F831[经济管理—金融学]