“一带一路”区块货币参照人民币“隐性锚”分析  

Analysis on the“Hidden Anchor”Role of RMB Referenced by Currency Blocs along the“Belt and Road”

作　　者：丁剑平 方琛琳 叶伟 

机构地区：[1]上海国际金融与经济研究院 [2]上海财经大学金融学院

出　　处：《国际金融研究》2018年第10期23-32,共10页Studies of International Finance

基　　金：国家社科基金重大项目(16ZDA031);中国自由贸易区协同创新中心(2017110415);中国经济改革研究基金会项目(2017110468)资助

摘　　要：除官方宣布的"显性锚"之外,那些不宣布钉住但实际参照篮子货币的"隐性锚"则需要测试才能判断。本文在Frankel&Wei (1994)和陈学彬(2016)研究的基础上,依据短期汇率波动和长期汇率波动的差异,对模型进行改进回归。发现"一带一路"地区参照人民币的排序结果为中亚、独联体、东南亚、中东欧、南亚、西亚北非。在人民币汇改及"一带一路"倡议推进下,独联体和中亚是参照人民币最为显著的两块区域,显示出弱势美元时间段对人民币参照的依赖,而西亚、北非和南亚地区则参照人民币较弱或不显著。本文表明,汇率波动与影响汇率决定因素的关系虽然随着回归时间频率不同而有所侧重,但短期和长期两者不能绝对分开。这种参照篮子货币权重模式超越了经济地理上的"引力模型"对参照权重的解释。In addition to the countries who declare their currencies pegging on the currency anchor（de nominal anchor）, for those countries who de facto peg their currencies on the currency basket without the declaration, it requires the methodology to fathom the ＂hidden anchor＂. Based on the approaches of Frankel-Wei（1994） and Xuebing Chen（2016）to calibrate currency reference behavior, we revise their estimations via the discrepancy between short and long exchange rates volatilities. The findings go as follows concerning RMB ＂hidden anchor＂ ranking series（ from high to low pegging） ：Middle Asia the Commonwealth of the Independent States（ CIS） Southeast Asia plus Mongolia Mid-East Europe South Asia West Asia and North Africa. After the RMB exchange rate reform and the promotion of ＂Belt and Road＂ initiatives, CIS and Middle Asia are two blocs with the highest weight of reference on RMB during weak-dollar periods. Whereas South Asia, West Asia and North Africa are the areas with relatively low weight of reference on RMB. Since the references and exchange rate determinants vary in time frequency, it is better to combine short and long term data in the analysis. The economic geography, such as the ＂gravity model＂, can＇t fully explain this reference weight of currency pegging basket.

关 键 词：“一带一路”区块货币 隐性锚 参照篮子 人民币国际化 

分 类 号：F821[经济管理—财政学]