动态最优货币区视角下国际货币竞争与货币锚效应形成  

International Currency Competition and Currency Anchor Formation in a Dynamic Optimal Currency Area Perspective

作　　者：王文浩 徐璐璐 闫家弘 何适 Wang Wenhao;Xu Lulu;Yan Jiahong;He Shi

机构地区：[1]山东财经大学金融学院 [2]华中科技大学经济学院 [3]中南财经政法大学经济学院

出　　处：《宏观经济研究》2025年第1期8-30,共23页Macroeconomics

基　　金：教育部人文社会科学研究基金项目“RCEP区域人民币影响力的测度、影响因素与提升路径研究”(21YJC790043);湖北省高等学校哲学社会科学研究重大项目“中国自由贸易试验区高质量发展研究——兼论对湖北的启示”(22ZD016);教育部人文社会科学研究基金项目“大宗商品全球供应链网络结构与大宗商品货币效应形成研究”(24YJC790180);山东省自然科学青年项目“全球价值链视角下出口汇率弹性的新测算及动态决定因素研究”(ZR2022QG069);山东省高等学校青年创新团队发展计划“数字货币与货币政策创新团队”(2022RW085)的资助。

摘　　要：本文利用时变参数回归模型测算了2005-2022年间44个浮动汇率制国家基于人民币、美元、欧元、日元和英镑的动态最优货币区(OCA)指数,并采用改进的货币锚模型,从动态OCA视角检验了国际货币竞争与货币锚效应形成的关系。结果显示:(1)基于人民币、美元、欧元、日元和英镑的不同加总动态OCA指数的变化趋势相似,且受全球极端事件冲击而呈现出显著的波动。人民币的动态OCA指数在样本期内与美元、欧元相近,表明人民币已逐渐具备成为国际主流货币的潜力。(2)在国际货币竞争中占优的货币具有显著的货币锚效应,国际货币发挥货币锚作用的关键是降低与其他经济体的货币合作成本。进一步分析发现,五种主要国际货币在不同时期和不同地域发挥货币锚效应均存在异质性。人民币的货币锚效应在2008年国际金融危机后显现,并在亚洲和南美洲更为突出。(3)针对全球不确定性风险的调节效应发现,不确定性风险对五种主要国际货币的锚效应产生了不同的影响,但全球不确定性风险并不会增强人民币在货币竞争中所产生的锚效应,说明人民币并非是被广泛认可的避险货币。本文对从货币锚角度扩大人民币国际影响力和促进人民币国际化具有重要意义。This article measures the dynamic optimal currency area(OCA)indicesbasedonthe renminbi,US dollar,euro,Japanese yen,and pound sterling for 44 floating exchange rate system countries during the period of 2005-2022 using a time-varying parametric regression model,and examines the relationship between international monetary competition and formation of currency anchors effect from the dynamic OCA perspective using an improved currency anchor model.The results show that:(1)The different summed dynamic OCA indices based on RMB,USD,EUR,JPY and GBP have similar trends and show significant fluctuations due to the shocks of extreme global events.The dynamic OCA index of the RMB is similar to that of the US dollar and the Euro during the sample peri-od,indicating that the RMB has gradually acquired the potential to become a mainstream international currency.(2)Currencies that prevail in international currency competition have a significant currency anchor effect,and the key for international curren-cies to play the role of currency anchor is to reduce the cost of monetary cooperation with other econo-mies.Further analysis reveals that there is hetero-geneity in the currency anchor effect of the five major international currencies at different times and in different regions.The currency anchor effect of the renminbi appeared after the international finan-cial crisis in 2008 and was more prominent in Asia and South America.(3)The moderating effect for global uncertainty risk finds that uncertainty risk has different impacts on the anchor effect of the five international currencies,but global uncertainty risk does not enhance the anchor effect of the RMB in currency competition,suggesting that the RMB is not a widely recognized risk aversion currency.This article is of great significance in expanding the in-ternational influence of the RMB and promoting the internationalization of the RMB from the perspective of currency anchor.

关 键 词：动态最优货币区 国际货币竞争 货币锚效应 人民币国际化 

分 类 号：F83[经济管理—金融学]