人民币境外存量估计——基于ARDL模型的实证分析

Estimation of RMB Cash Stocks outside China's Mainland Based on ARDL Model

本文根据现金（M0）需求的决定因素,通过建立ARDL模型并将其转换为误差修正模型（ECM）形式,运用1992~2000年的季度数据,通过线性回归拟合出我国境内现金货币需求函数的表达式;并在必要的假设前提下,利用扣除境内需求的方法,估算出2001~2008年境外人民币的存量。结果显示,人民币境外存量的规模呈现出在波动中上升的态势,尤其是2006年以来人民币的跨境流量和境外存量有明显的大幅增加,这与人民币升值有密切关系。人民币境外存量季度末的平均值和最大值已由2001年的116.8亿元和389.6亿元分别增加到2008年的926.5亿元和2007年的1 781.6亿元。另外,人民币境外存量的季节性波动幅度较大,这给我国的货币政策操控带来一定的困难。

We set up ARDL econometric models based on money demand theory,and estimate the domestic money demand function of China by linear model with the quarterly data form 1992Q1 to 2000Q4 in this paper.Then we estimate the RMB cash stocks outside China's Mainland from 2001 to 2008 under some necessary hypotheses.The outcome shows that the RMB cash stocks outside China's Mainland increased with fluctuation obviously from 2001 to 2008,and there was a leap of the scale in 2006,the quarterly average and maximum of RMB cash stocks outside China's Mainland had increased from 11.68 billion Yuan and 38.96 billion Yuan of 2001 to 92.6 billion Yuan of 2008 and 172.2 billion Yuan of 2006 respectively.Additionally,there was a drastic quarterly fluctuation for RMB cash stocks China's Mainland,which means the monetary policies of the central bank of China becomes more difficult.