人民币与东亚主要货币汇率溢出效应及其影响因素研究  

Research on the Spillover Effect Between RMB and Major Currencies in East Asia and Its Influencing Factors

作　　者：程正涛 Cheng Zhengtao

机构地区：[1]北京师范大学经济与工商管理学院,北京100875

出　　处：《上海金融》2024年第5期50-68,共19页Shanghai Finance

摘　　要：本文基于Diebold和Yilmaz溢出指数的时变参数向量自回归模型选取在岸人民币、离岸人民币、日元和韩元为研究对象,从汇率关联性的角度来评估在岸和离岸人民币的区域影响力以及识别溢出效用的影响因素。本文研究结果表明:第一,在岸和离岸人民币与日韩国家货币的关联性总体上均呈现出不断上升的趋势,其中在岸和离岸人民币在系统中均为净溢出者,日元为净溢入者,而韩元则是在净溢出者和溢入者之间转换;第二,相比于在岸人民币,离岸人民币与日韩货币关联性更强,并且影响力更胜一筹,但仍与美元在东亚区域的影响力有较大差距;第三,贸易规模、金融市场规模和经济政策不确定性对在岸人民币的净溢出效应有着重要影响,而货币稳定性、金融市场规模、经济增速和地缘政治风险指数则对离岸人民币的净溢出效应有着重要作用。其他变量如大宗商品价格等因素影响有限,仅在危机或其他特定时期发挥作用。This study utilizes a time-varying parameter vector autoregressive model with Diebold and Yilmaz spillover index to examine the regional influence of CNY,CNH,JPY,and KRW.It assesses the spillover effects from the perspective of exchange rate correlations and identifies factors influencing spillover effects.The findings indicate:firstly,the connectedness between CNY and CNH with JPY and KRW shows a general upward trend.Both CNY and CNH are transmitters in the system,while the JPY is receiver,and the KRW oscillates between being a transmitter and receiver.Secondly,both CNY and CNH exhibit significant spillover effects on JPY and KRW,indicating the established regional influence of the Renminbi.The CNY demonstrates a stronger impact compared to CNH.Thirdly,after the Renminbi exchange rate reform on August 11th,trade volume,financial market size,and economic policy uncertainty significantly impact the net spillover effects of CNY,while currency stability,financial market size,economic growth rate,and geopolitical risk index are crucial for CNH’s net spillover effects.Other variables such as commodity prices have limited impact,mainly observed during crises or specific periods.

关 键 词：在岸人民币 离岸人民币 溢出效应 中日韩货币合作 动态模型平均 

分 类 号：F823[经济管理—财政学]