以亚洲货币单位为基础的东亚各国汇率的稳定性分析  

A Study on the Exchange Rate Stability of ASEAN+3 Denominated in Asian Monetary Unit

作　　者：刘冰玉[1,2] 滕建州[1] 刘志蛟[1] 

机构地区：[1]东北师范大学经济学院,吉林长春130117 [2]赤峰学院,内蒙古赤峰024000

出　　处：《经济问题》2013年第5期90-94,共5页On Economic Problems

基　　金：教育部人文社科基金项目"我国宏观经济总量与金融总量的动态特征及因果关系研究"(08JC790014);教育部留学回国人员科研启动经费;中央高校基本科研业务费专项资金项目"东亚主要经济体经济增长路径的动态特征研究"(09ssXT109);中央高校基本科研业务费专项资金项目"外汇储备风险管理与结构优化"(11ssXT112)

摘　　要：区域货币合作对于降低汇率波动引发的金融风险及促进区域经济发展具有重要意义。合作的现实基础是构建最优货币区,选择锚货币并使各国货币与其保持一致的变化趋势,维持区域内的固定汇率,对区域外则实行浮动汇率。采用非对称指数平滑转移自回归(AESTAR)模型研究东盟和中、日、韩13国货币相对于亚洲货币单位(AMU)的偏离指数的动态特征,探讨构建最优货币区的可行性。实证结果显示,中国、印尼、马来西亚、缅甸和新加坡5国货币对AMU偏离指数为非线性全局平稳,其中印尼和缅甸的货币对AMU的偏离指数向均值调整的过程更表现出非对称性,其他8个国家则是非平稳过程。研究结论表明,当前13国建立最优货币区并不符合东亚各国经济发展的现实。Regional monetary cooperation in East Asian countries is of great importance in managing financial risk, as well as developing regional economies, The key point of optimum currency area is that the real exchange rate keeps consistency inside the region but float with other countries＇ outside the region. The article utilizes asym- metric exponential smooth transition autoregressive to examine the stationarity of 13 currencies＇ deviation indicators to AMU. The result shows that China, Indonesia, Malaysia, Myanmar and Singapore to AMU deviation indicators are in nonlinear stationarity, in which Indonesia and Myanmar are asymmetric and nonlinear stationarity. It is difficult to establish immediately optimum currency area among 13 countries.

关 键 词：亚洲货币单位的偏离指数 非对称指数平滑转移自回归 单位根检验 

分 类 号：F82[经济管理—财政学]