黄金国际板市场波动与人民币国际化关系研究  

Research on the Relationship between the Fluctuation of the Gold International Board Markets and RMB Internationalization

作　　者：姜萌捷 季俊伟 JIANG Mengjie;JI Junwei(Chengdu University of Technology Chengdu,Sichuan 610000)

机构地区：[1]成都理工大学,四川成都610000

出　　处：《中国商论》2023年第4期124-128,共5页China Journal of Commerce

基　　金：2022年大学生创新创业训练计划项目。

摘　　要：人民币国际化对我国经济发展起着重要作用,上海黄金交易所于2014年推出黄金国际板,主要目的在于提升我国在国际黄金市场上的国际影响力和推进人民币国际化进程,其发展水平也会受到人民币国际化的影响。本文重点考察了黄金国际板市场波动和人民币国际化之间的关系,并选取2014年9月至2022年1月黄金国际板市场主力合约收盘价和人民币环球指数的月度数据,先采用EGARCH模型计算黄金国际板市场的波动,然后采用VAR模型考察其对人民币国际化的影响。实证结果发现:黄金国际板市场波动对人民币国际化存在不良影响,人民币国际化水平的提升会加剧黄金国际板市场的波动,原因可能是现阶段黄金国际板市场的流动性不足,市场成熟度较低。RMB internationalization plays an important role in China’s economic development.Shanghai Gold Exchange launched the Gold International Board in 2014.Its main purpose is to enhance China’s international influence in the international gold markets and promote the process of RMB internationalization,and its development will also be af fected by RMB internationalization.This paper focuses on the relationship between the fluctuation of Gold International Board markets and RMB internationalization,selects the monthly data of the main contract closing price and RMB globalization index of Gold International Board markets from September 2014 to January 2022,first uses the EGARCH model to calculate the volatility of Gold International Board markets,and then uses the VAR model to investigate its impact on RMB internationalization.The empirical results show that the fluctuation of the Gold International Board markets harms the RMB internationalization,and the improvement of the RMB internationalization will aggravate the fluctuation of the Gold International Board markets,which may be due to the lack of liquidity of the Gold International Board markets at the present stage and immature markets.

关 键 词：人民币国际化 黄金国际板 波动率 EGARCH模型 VAR模型 

分 类 号：F830.92[经济管理—金融学]