人民币对三种货币汇率波动特征与区域影响分析——基于MSAR模型及Bai-Perron检验  

Analysis of RMB Exchange Rate Volatility Characteristics and Regional Impact Against Three Currencies——Based on the MSAR Model and Bai-Perron Test

作　　者：朱迪飞 Zhu Difei(The People's Bank of China Zhangye Branch,Zhangye 734099,Gansu)

机构地区：[1]中国人民银行张掖市分行,甘肃张掖734099

出　　处：《中国商论》2024年第15期31-36,共6页China Journal of Commerce

摘　　要：由于汇率时间序列经常呈现出波动的频繁性、非线性与易受国内外因素影响的特点,因此本文利用MSAR模型及Bai-Perron检验分析了人民币对美元、欧元、卢布的汇率波动所处的不同状态及结构性断点来捕捉汇率波动的结构性显著变化。党的二十大报告指出有序推进人民币国际化,人民币国际化先从区域化开始,人民币影响力的体现是人民币汇率波动对其他国家汇率波动有显著的作用,这种作用相对主要国际货币如美元、日元、欧元、英镑等相当或影响更大,因此选取与我国贸易往来密切的周边东南亚及亚太等八个国家的货币汇率波动作为分析对象,同样运用MSAR模型进行实证检验。结果表明,人民币汇率对以上选取货币汇率具有两种状态的明显转换特点,且人民币汇率波动在升值和贬值两种状态下对其他货币的升值和贬值起到一定的作用,这种作用与国际货币相当,人民币在周边区域表现出一定的影响力。Due to the frequent volatility,nonlinearity,and susceptibility to domestic and international factors in exchange rate time series,this paper uses the MSAR model and Bai-Perron test to analyze the different states and structural breakpoints of RMB against USD,EUR and RUB exchange ratefluctuations to capture the significant structural changes in exchange ratefluctuations.The Report to the 20th National Congress of the Communist Party of China points out that RMB internationalization should be promoted in an orderly manner.The manifestation of the RMB's influence is that the fluctuations in the RMB exchange rate significantly impact the exchange rate fluctuations of other countries.This impact is not much different or even greater than that of major international currencies such as USD,JPY,EUR,and GBP.Therefore,in this paper,the currency exchange ratefluctuations of eight neighboring Southeast Asian and Asia-Pacific countries with close trade contacts with China are selected as the analysis objects,and the MSAR model is also used for empirical testing.The results show that the RMB exchange rate has obvious conversion characteristics of two states to the above-selected currency exchange rates,and thefluctuation of RMB exchange rate plays a certain role in the appreciation and depreciation of other currencies under both appreciation and depreciation states.This role is equivalent to that of international currencies,and RMB exhibits a certain level of influence in the surrounding regions.

关 键 词：汇率波动 结构突变点 平滑概率 MSAR模型 人民币区域化 

分 类 号：F822[经济管理—财政学]