人民币国际化推动了中国与RCEP成员国股票市场协动吗?——基于核PCA和SV-TVP-SVAR模型的分析  

An Analysis Based on PCA and SV-TVP-SVAR Model:Will RMB Internationalization Promote the Co-movement of the Stock Markets of China and RCEP Countries?

作　　者：刘子煜 张左敏暘 李思韵 黄轲 Liu Ziyu;Zhang Zuominyang;Li Siyun;Huang Ke

机构地区：[1]四川中弘远大企业管理股份有限公司 [2]广西大学经济学院 [3]广西财经学院研究生院 [4]中国电建集团成都勘测设计院有限公司投资与资产运营公司 [5]南宁学院数字经济学院量化金融实验室 [6]广西大学中英区块链产业技术研究院

出　　处：《东南亚纵横》2022年第5期14-26,共13页Crossroads：Southeast Asian Studies

基　　金：国家社会科学基金面上项目“‘一带一路’建设与人民币东亚汇率走廊构建研究”(19XGJ017)阶段性成果。

摘　　要：恰值RCEP生效实施一周年即将到来之际,文章选取RCEP成员国股票市场指数,利用机器学习中较新颖的核PCA方法改进了股票市场吸收率指数(KAR指数),该指数能够刻画各国股指协动性变化特征。据此进一步研究人民币国际化不断深化时期,对RCEP成员国股票市场协动性程度的影响。研究发现:RCEP成员国股市大幅下跌之前,KAR指数都会大幅上升,在KAR指数大幅上升后,股指往往大幅下跌,而在KAR指数急剧下降后,股价则大幅上涨。人民币国际化对RCEP成员国股票市场协动性具有显著影响,人民币国际化程度越高,中国与RCEP成员国的协动性越低,反映出人民币在被国际市场接受的过程中充当了“稳定器”的作用。在短期当人民币国际化程度降低时,中国与RCEP成员国股市之间的协动性上升,系统性风险趋同,且影响持续。文章的研究对监测跨国股票市场系统风险管理和跨国的资产组合的风险对冲具有重要启示。Upon the coming of the first anniversary of the RCEP implementation, this paper uses the stock market index of RCEP member states and the novel Kernel PCA method in machine learning to improve the stock market absorption rate index(KAR index), which can describe the codynamic characteristics of stock indexes of various countries. On this basis, the influence of the deepening of RMB internationalization on the degree of co-mobility of the RCEP national stock market will be further studied. It is found that the KAR index will rise sharply before the stock market index of RCEP countries falls greatly. After the KAR index goes up drastically, the stock index tends to go down dramatically, while after the KAR index drops significantly, the stock price is on a strong rise. The internationalization of the RMB has a significant impact on the co-mobility of the stock markets of RCEP countries. The higher the internationalization of the RMB, the lower the co-mobility between China and RCEP member countries, reflecting the role of the RMB as a "stabilizer" in the process of being accepted by the international market. In the short term, when the internationalization degree of the RMB decreases, the coactivity between the stock markets of China and RCEP countries will increase, and the systemic risks will converge with the continuous influence. The study in this paper has important implications for monitoring the systematic risk management of transnational stock markets and the risk hedging of transnational asset portfolios.

关 键 词：RCEP成员国 人民币国际化 股票市场 机器学习 

分 类 号：F832.6[经济管理—金融学]