区域金融合作提升了人民币货币锚效应吗?——基于签订货币互换协议的证据  

Does Regional Financial Cooperation Expand the RMB Monetary Anchor Effect?-Evidence from Bilateral Swap Agreement

作　　者：朱孟楠[1] 袁凯彬 刘紫霄 Zhu Mengnan;Yuan Kaibin;Liu Zixiao(School of Economics,Xiamen University)

机构地区：[1]厦门大学经济学院

出　　处：《国际金融研究》2020年第11期87-96,共10页Studies of International Finance

基　　金：国家自然科学基金面上项目“重大突发公共卫生事件冲击下的全球金融风险溢出及其管理研究”(72073113);教育部哲学社会科学重大课题攻关项目“中国外汇储备的科学管理与运用战略问题研究”(12JZD027)资助。

摘　　要：双边货币互换协议(BSA)是深度参与区域金融合作、构建全球金融安全网的重要工具。本文利用2005年7月—2019年6月162个经济体的汇率及其与中国人民银行签署BSA的数据,探究参与区域金融合作与人民币货币锚之间的因果关系。结果显示,签署BSA显著提高人民币货币锚约12.80个百分点,在考虑潜在的选择偏误、反向因果和遗漏变量等内生性问题后,结论依然稳健。进一步研究发现,货币互换协议的人民币锚效应来源于金融合作和经贸合作的强化,在资本账户更开放、与中国经贸联系更紧密,以及发展中经济体中更为显著。本文结论对深入推进人民币国际化,完善其金融计价职能具有一定的意义。A vast of literature has examined the degree of the exchange rate co-movements between RMB and Pacific Asian as well as the Belt-and-Road currencies, which is also referred to as the RMB bloc. In contrast to a growing evidence that RMB has been playing an important role to impact other currencies' co-movements in the past decade, little has been known about the source of the anchor effect. China has launched the RMB internationalization with a set of policy instruments since the year 2009. Among the instruments, there is a crucial one named bilateral swap agreement(BSA)that was designed for providing overseas RMB liquidity from the PBoC given the capital account inconvertibility in China, as well as forming global safety financial network, following Chiang Mai Initiative, with foreign monetary authorities in the post-financial crisis era. Emerging literature has studied the determinants of the PBoC BSA theoretically and empirically. However, to our best knowledge, there is little evidence about the correlation of the BSA and the RMB on foreign currencies co-movement. Based on a hand-collected data set of PBoC bilateral swap agreements, this paper investigates the causal effect of overseas RMB liquidity on the RMB's currency spillover. We find that overseas RMB liquidity have significantly enhanced the RMB's currency spillover by 12.80 percentage point, which is robust after considering collinearity, as well as potential bias from endogeneity of the August 2015 exchange rate reform and selection bias. Further analysis indicates that the effect is only significant in countries with floating exchange rate regime and more ties in finance and trade with China. The results have strong policy implication for further promoting the RMB internationalization and particularly for improving its role in terms of unit of account.

关 键 词：人民币国际化 双边货币互换协议 货币锚 渐进双重差分 

分 类 号：F822[经济管理—财政学]