人民币美元汇率走势对东亚货币影响的实证研究  

An Empirical Study of whether East Asia Currencies Follow RMB Based on the Data of Nominal Exchange Rate against Dollar since 2005

作　　者：许祥云[1] 贡慧[2] 

机构地区：[1]南京财经大学国际经贸学院,江苏南京210046 [2]复旦大学经济学院,上海200433

出　　处：《国际经贸探索》2012年第8期70-79,共10页International Economics and Trade Research

基　　金：江苏高校优势学科建设工程资助项目的支持

摘　　要：文章使用GARCH模型对2005年7月以后东亚货币对美元名义汇率影响因素进行实证研究,发现在金融危机之前,人民币汇率对林吉特、韩元、新加坡元和新台币四种货币的汇率影响显著,而金融危机后,菲律宾比索对美元汇率也受到了人民币的影响,同时人民币对大部分货币的影响系数在增强。这说明人民币正在成为东亚地区重要的"锚货币",而这种"锚"作用的一个重要实现方式是引导其他货币对美元汇率的变动;但VIX指数的影响一直比较显著,这凸显了人民币作为区域货币锚的不稳定性。The paper makes an empirical research on the nominal exchange rate of East Asia currencies against dollar by using GARCH model. It finds that RMB had a significant effect on Malaysian ringgit, Korea won, Singapore dollar and Taiwan Residents dollar before the Subprime Crisis, and Philippines pesos also had been affected by RMB besides the above- mentioned currencies after the Subprime Crisis. The study shows that RMB is emerging as an important ＂anchor＂ currency in East Asia, and that one mechanism to fulfill the role of ＂anchor＂ is to lead other currencies＇ nominal exchange rate against dollar. But the VIX index as a proxy for global market certainty is always significant, which indicates that RMB is not a stable ＂anchor＂.

关 键 词：东亚货币 人民币 美元名义汇率 VIX指数 

分 类 号：F830[经济管理—金融学]