亚洲区域汇率的短期变动——对亚洲货币单位(AMU)月度指标的检验

The Cause of the Short-term Change in Asian Regional Exchange Rates:An Empirical Study on Monthly AMU Index

在亚洲汇率合作进程中,区域篮子货币的设想最为引人注目。本文针对Ogawa等(2005)推出的亚洲货币单位(AMU)指数,运用月度数据对双边汇率变动进行说明,试图揭示影响区域货币对AMU汇率变动的主要经济因素和国别差异,评价AMU作为区域篮子货币的合理性。实证结果表明,区域各主要经济体与货币篮子之间的汇率变动具有某些共同特征,汇率表现的时间惯性基本一致,对美元汇率比较敏感,这意味着将上述指标纳入到区域汇率合作监控体系下具有现实合理性,但是影响变量的差异同时也意味着汇率合作上仍将面临很大的挑战。

Among those suggestions on Asian monetary cooperation,the basket-pegging is the most significant one.Based on the Ogawa & Shimizu(2005)which calculated the regional basket currency unit named Asia Monetary Unit(AMU),this paper intendeds to answer the question what factor has caused exchange rates variation since the year 2000.Using the modified method of Optimal currency areas index and monthly data,the paper finds that there exists the common feature in AMU's exchange rate movements:coherent time lag and sensitivity to USD exchange rate.However,the gaps in determinant factors and economic structures among Asian economies mean that the great works should be done to stabilize the regional exchange rate.