人民币作为国际储备货币的前景分析:以韩国的需求为例

The Prospect of RMB as an International Reserve Currency: Taking South Korea's Demand as an Example

文章使用附加惯性、贸易和外债约束以及带交易成本的MV-DCC-GARCH模型,求解2012年第三季度至2015年第四季度韩国央行外汇储备的最优币种结构,分析人民币成为韩国储备货币后的最优权重及其动态变化,并通过情景假设模拟人民币充当韩国储备货币的前景。研究发现:人民币占比对货币收益率的刻画方式高度敏感,在随机游走和完全预见假设下,人民币的平均最优权重分别为16.37%和10.85%,在非抛补利率平价假设下,权重降至2.49%;人民币的引入主要挤占主导性国际货币尤其是美元的份额,说明央行投资方向调整客观上会造成储备多元化;汇率波动加剧不利于人民币储备地位的稳定;人民币使用惯性的增强、跨境贸易中以人民币结算比例的提高以及以人民币计价的外债增加均能增加其份额。

The MV-DCC-GARCH model with reserve currencies' inertia,trade and external debt constraints as well as transaction cost is used to solve the optimal currency structure in the Korean central bank from the third quarter of 2012 to the fourth quarter of 2015. The paper also analyzes RMB' s prospect as reserve currency in various simulated scenarios. The study finds: first,the proportion of the RMB-denominated assets in the Korean central bank's foreign exchange reserve is highly sensitive to the way of describing money yield. Under random walk and fully foreseen assumptions,the average optimal weight of the RMB is respectively 16. 37% and 10. 85%,and under the assumption of uncovering interest rate parity,the average optimal weight of the Renminbi falls to 2. 49%. Second,the introduction of the RMB mainly squeezes dominant international currencies' share. Third,the volatility of the RMB exchange rate is not conducive to the stability of the reserve status. Fourth,the increase in RMB's inertia,the increase of the proportion of RMB settlement in cross-border trade and RMB-denominated foreign debt can increase the share of RMB in the official foreign exchange reserves.