中日韩货币合作与东亚独立货币板块的构建:基于核心货币汇率联动的实证研究  

China-Japan-Korea Monetary Cooperation and the Construction of the East Asian Independent Currency Sector:Empirical Analysis of Exchange Rate Linkage Based on Core Currency

作　　者：蔡彤娟 林润红 Cai Tongjuan;Lin Runhong

机构地区：[1]广西大学中国边疆经济研究院 [2]对外经济贸易大学国际经济研究院

出　　处：《世界经济研究》2020年第6期24-34,M0002,共12页World Economy Studies

基　　金：国家社会科学基金重大项目“东北亚命运共同体构建中国的思想引领与行动”(项目编号:18ZDA129)的阶段性成果。

摘　　要：面对美元新周期和美国货币政策的不确定性,中日韩三国加强区域货币合作有利于共同抵御外部冲击,同时为未来东亚独立货币板块奠定基础。文章在理论论证"核心货币-主要货币汇率联动-东亚独立货币板块"路径机制的基础上,以区域核心货币与外围货币的汇率联动为研究对象,建立VAR-DCC-MVGARCH模型检验美元、日元、人民币、韩元四大核心货币与东亚其他货币汇率联动的均值溢出效应和动态相关性。结果表明,美元在东亚地区的锚货币地位依然稳固,人民币和日元也初步具备成为区域核心货币的能力,韩元影响相对较弱。文章建议中日韩三国加强货币合作,从提高区域内货币使用比例、增强功能性合作、增进政治互信入手,促进"货币互换+自贸区建设"双轮驱动,以更紧密的经济联动带动汇率联动,推动东亚独立货币板块的形成和巩固,提升区域核心货币的国际地位。Confronting the new US dollar cycle and the uncertainty of US monetary policy,strengthening regional monetary cooperation between China,Japan and South Korea is conducive to jointly withstanding external shocks and laying the foundation for the future East Asian currency plate.On the basis of theoretically demonstrating the path mechanism of"core currency-main currency exchange rate linkage-formation of east asian independent currency sector",taking the exchange rate linkage between regional core currency and peripheral currency as the research object,this paper establishes a VAR-DCC-MVGARCH model to test the mean spillover effect and dynamic phase of the exchange rate linkage between the four core currencies of US dollar,Japanese yen,RMB and Korean yuan and other currencies in East Asia.The results show that the anchor currency status of the US dollar in East Asia is still stable,the RMB and the Japanese yen have the status of regional core currencies,and the influence of the Korean yuan is relatively weak.It is suggested that China,Japan and South Korea strengthen monetary cooperation,starting with three major countermeasures:increasing the proportion of currency used in the region,enhancing functional cooperation and enhancing political mutual trust,to promote the two-wheel drive of"currency swap+FTA construction",to drive exchange rate linkage with closer economic linkage,and to enhance the international status of regional core currencies.On this basis,the establishment of core currency unit will ultimately achieve the long-term goal of East Asian Currency Sector.

关 键 词：中日韩货币合作 区域核心货币 东亚独立货币板块 汇率联动 VAR-DCC-MVGARCH 模型 

分 类 号：F831.6[经济管理—金融学] F224