人民币具备避险货币的属性吗?--基于货币避险功能和对冲功能的实证研究  

Does RMB Have the Attribute of Safe Haven Currency?An Empirical Study Based on Currency Hedging and Offsetting Functions

作　　者：王晋斌[1] 厉妍彤 刘璐 WANG Jinbin;LI Yantong;LIU Lu(School of Economics,Renmin University of China;Institute of International Economy,University of International Business and Economics)

机构地区：[1]中国人民大学经济学院 [2]对外经济贸易大学国际经济研究院

出　　处：《中国人民大学学报》2022年第2期63-76,共14页Journal of Renmin University of China

摘　　要：本文综合使用两种方法利用门限模型来检验人民币的避险货币属性,即一是通过检验在高风险时期人民币与传统避险货币的相对价值是否与全球市场风险负相关来考察其避险功能,二是通过检验在高风险时期人民币超额回报是否与股票市场回报负相关来考察其对冲功能。研究结果显示:(1)在各种市场风险设定下,人民币相对于英镑和欧元已经具备相对避险货币的属性,但人民币还不具备相对于SDR货币篮子的整体避险属性或绝对避险属性;(2)人民币主要依靠投资收益来吸引投资者,距离成为国际上普遍使用的避险货币还有很大的成长空间。This paper examines the hedging function of RMB by investigating whether the relative value of RMB and traditional hedging currency is negatively correlated with global market risk in high-risk period.It also examines the offsetting function of RMB by exploring whether the excess return of RMB is negatively correlated with stock market return in high-risk period.Then it applies the Threshold Model to test whether RMB has the attribute of safe haven currency.The results show that under the settings of various market risks,RMB has the attribute of safe haven currency relative to both Pound sterling and Euro.However,RMB does not yet have the overall or absolute safe haven attribute relative to SDR basket currency,for RMB mainly relies on investment income to attract investors.We still have a long way to go to make RMB a safe haven currency widely used in the world.

关 键 词：人民币 避险货币 避险功能 对冲功能 

分 类 号：F832.6[经济管理—金融学]