人民币货币锚地位的动态变化及其驱动因素  

Research on the Dynamic Changes of RMB's Anchor Currency Status and the Underlying Drivers

作　　者：贝泽赟 程欣 周颖刚 Bei Zeyun;Cheng Xin;Zhou Yinggang(Wang Yanan Institute for Studies in Economics,Xiamen University;School of Economics,Xiamen University;Institute of Chinese Financial Studies,Southwestern University of Finance and Economics;Department of Economics and Finance,City University of Hong Kong)

机构地区：[1]厦门大学王亚南经济研究院 [2]香港城市大学经济及金融系,中国 [3]西南财经大学金融学院 [4]西南财经大学中国金融研究院 [5]厦门大学经济学院

出　　处：《国际金融研究》2023年第10期16-27,共12页Studies of International Finance

基　　金：国家自然科学基金基础科学中心项目“计量建模与经济政策研究”(71988101);国家自然科学基金项目“条件协偏(峰)度、人民币与国际避险货币:基于区制转换模型的研究”(71871195);国家自然科学基金项目“人民币汇率系统重要性及其影响机制研究:基于网络分析的视角”(72103170);国家社会科学基金重大项目“新形势下资本市场重大风险防范与化解研究”(19ZDA060)的资助。

摘　　要：本文使用网络建模方法,根据不同货币汇率的互动关系构造了全球汇率传导网络,反映了全球各货币之间锚定关系的结构演变。在此基础上,构造了衡量货币锚地位的指数——全球汇率传导指数。该指数显示:美元仍是全球货币体系中最重要的锚货币,并且一直处于全球汇率传导网络的核心位置;随着人民币国际化进程的加快,人民币的锚地位波动上升。在新冠疫情和全球金融市场动荡的背景下,人民币的锚地位保持稳定。本文还参考最优货币区理论,实证研究了货币锚地位的影响因素,发现经济体的经济规模、利率变动、国际贸易和跨境金融投资是驱动货币锚地位变化的主要因素。Since the 2008 financial crisis,the international monetary system has undergone a significant transformation,which is reflected not only in the currency usage in international transactions but also in the increased interaction influence among different currencies.The existing anchor currency model(Frankel&Wei,1994,2007),which is based on a single linear regression,cannot measure the co-movement and anchoring effect of various currencies.Using the dynamic networks of the major global currency exchange rate transmission,this paper introduces the global exchange rate transmission indices to identify the anchor currency status of currencies These indices incorporatee the co-movement of exchange rates across the monetary system.The evidence shows that the US dollar has consistently held a central and dominant position within the global monetary system.With the internationalization of RMB,its anchor currency impact on other major currencies has been on the rise.During the COVID-19 crisis,RMB's status as an anchor currency remained stable.Following the optimum currency area theory,a further analysis of the driving force on currencies'anchor currency status reveals that economic growth,international trades,and financial investments are significant factors for major anchor currencies to enhance their anchor power.However,financial investments display an insignificant impact on the RMB's anchor power,possibly due to China's limited degree of financial openness.This paper proposed three suggestions.Firstly,as economic development is the foundation of currency value and anchor power,the paper suggests accelerating economic development and industrial upgrading.Secondly,as the financial linkages are the main driving factors of the anchor status of the major anchor currencies,the paper recommends accelerating financial opening and providing more conveniences for financial foreign investment.Thirdly,as several exchange rate reforms helped improve the RMB's anchor currency status,the paper proposes a gradual promotion of RMB inte

关 键 词：人民币 锚货币 网络分析 全球汇率传导指数 

分 类 号：F821[经济管理—财政学]