人民币与“一带一路”国家货币汇率的波动溢出效应研究  

Research on the Spillover Eff ects of Exchange Rate Fluctuations between RMB and the Currencies of"Belt and Road"Countries

作　　者：杨欣达 高云龙[1] 王锐玲 Yang Xinda;Gao Yunlong;Wang Ruiling(College of Economics&Management,Hebei University of Economics and Business,Shijiazhuang,Hebei 050062)

机构地区：[1]河北经贸大学经济学院,河北石家庄050062

出　　处：《中国商论》2025年第2期110-114,共5页China Journal of Commerce

基　　金：河北省社会科学发展研究重点课题“河北省深度融入‘一带一路’建设的国别贸易政策研究”(20220101019);2025年度河北经贸大学研究生创新计划项目。

摘　　要：“一带一路”倡议提出十年来,促进了区域经济合作和金融一体化,在此背景下衡量汇率市场的波动溢出效应变得至关重要。本文通过修正的ICSS算法对“一带一路”沿线国家货币汇率变动的方差结构断点进行识别,将其引入ARMA(1,0)-GARCH(1,1)模型中,计算出各个国家汇率的条件波动率,并在此基础上计算各国之间的波动溢出指数。研究发现,人民币波动更多地受到自身冲击的影响;“一带一路”沿线国家的溢出效应具有双向性和非对称性,人民币汇率的波动对邻国汇率的影响较为显著;汇率的波动溢出效应具有时变性,人民币在“一带一路”沿线国家中的溢出指数长期表现为净溢出,但短期内为净溢入,值得注意的是国内汇率制度改革和外部政治经济冲击都会放大人民币的净溢出效应。基于此,本文得出以下政策启示:持续发掘人民币的使用需求,并加强中国与“一带一路”沿线国家的货币合作,以及加强人民币离岸市场建设,仅供参考。Over the past decade,the Belt and Road Initiative has promoted regional economic cooperation and financial integration.In this context,it is crucial to measure the spillover effects of exchange rate market fluctuations.This paper employs a modified ICSS algorithm to identify breaks in the variance structure of exchange rate fluctuations in the currencies of Belt and Road countries and incorporates these into an ARMA(1,0)-GARCH(1,1)model to calculate the conditional volatility of exchange rates for each country.On this basis,spillover indices between countries are calculated.The findings indicate the following:RMB fluctuations are more influenced by its own shocks;the spillover effects among Belt and Road countries are bidirectional and asymmetric,with RMB exchange rate fluctuations having a significant impact on neighboring countries.The spillover effects of exchange rate fl uctuations are time-varying,with the RMB's spillover index in Belt and Road countries showing net spillover in the long run but net inflow spillover in the short run.Notably,domestic exchange rate regime reforms and external political and economic shocks amplify the net spillover effect of the RMB.Based on these findings,the following policy implications are derived:continuously explore the demand for RMB usage,strengthen monetary cooperation between China and Belt and Road countries,and enhance the development of the RMB off shore market.

关 键 词：外汇市场 结构突变 风险溢出 溢出指数 “一带一路” 

分 类 号：F832.6[经济管理—金融学] F822