地缘政治风险对汇率波动的影响——国际资本流动的中介效应  

The Impact of Geopolitical Risks on Exchange Rate Volatility:The Mediating Effect of International Capital Flows

作　　者：石涛[1] 韩笑 乔聪 蒋庚华[1] SHI Tao;HAN Xiao;QIAO Cong;JIANG Geng-hua(School of Economics and Management,Shanxi University,Taiyuan 030031,China;Sanford School of Public Policy,Duke Runshan University,Kunshan 215316,China)

机构地区：[1]山西大学经济与管理学院,山西太原030031 [2]昆山杜克大学桑福德公共政策学院,江苏昆山215316

出　　处：《经济问题》2024年第11期20-29,共10页On Economic Problems

基　　金：国家社会科学基金资助项目“全球价值链对中国出口绩效的影响机制研究”(18BJL099)。

摘　　要：在当前复杂的国际环境中,地缘政治风险正成为影响宏观经济变动和全球外汇市场价格波动的重要因素,是中国人民币国际化进程不可忽视的风险来源。以2000年1月至2022年12月43个国家面板数据为研究样本,运用固定效应模型实证研究政治局势不稳定对汇率波动的影响与机制。实证结果表明,地缘政治风险显著提高汇率波动水平,地缘政治风险指数增加1%,汇率波动性增加0.984%;短期跨境资本流动是地缘政治风险影响汇率波动的重要机制;地缘政治风险对汇率波动的增加作用具有异质性,对非OECD成员国的增加作用较OECD成员国更为显著,对欧美地区的增加作用较亚非拉地区汇率波动更大,在2008年金融危机后的增加作用更加明显;前期地缘政治风险与前期汇率波动均会显著影响当期汇率波动,地缘政治风险对汇率波动的增加作用具有持续性。国际政治局势不稳定对于汇率波动的影响正在逐渐长期化,在此背景下,研究结论为通过维持政治稳定性减少资本流动降低汇率波动风险,推进人民币国际化进程提供了经验证据。In the current complex international environment,geopolitical risks are becoming a significant factor influencing macroeconomic fluctuations and global foreign exchange market volatility,representing an indispensable risk source in the process of the internationalization of the Chinese Renminbi.This paper utilizes panel data from 43 countries spanning January 2000 to December 2022 and employs a fixed-effects model to empirically investigate the impact and mechanism of political instability on exchange rate volatility.The empirical results indicate that geopolitical risks significantly increase the level of exchange rate volatility;a 1%increase in the geopolitical risk index leads to a 0.984%increase in exchange rate volatility.Short-term cross-border capital flows are identified as an important mechanism through which geopolitical risks affect exchange rate volatility.The impact of geopolitical risks on exchange rate volatility exhibits heterogeneity:it is more pronounced in non-OECD countries compared to OECD countries,affects the exchange rates in Europe and North America more significantly than those in Asia,Africa,and Latin America,and has become more evident since the 2008 financial crisis.Both prior geopolitical risks and prior exchange rate volatility significantly influence current exchange rate volatility,and the increasing effect of geopolitical risks on exchange rate volatility is persistent.The influence of international political instability on exchange rate volatility is becoming increasingly long-term.Against this backdrop,the findings of this study provide empirical evidence for reducing exchange rate volatility risks by maintaining political stability and controlling capital flows,thereby advancing the internationalization of the Renminbi.

关 键 词：地缘政治风险 汇率波动 资本流动 人民币国际化 

分 类 号：F823[经济管理—财政学]