人民币计价结算背景下汇率制度选择研究--基于汇率变动时变传递效应的视角

RMB Invoicing & Settlement and Exchange Rate Regime: A Perspective from Time Varying Pass-through Effects of Exchange Rate Fluctuation

国际贸易计价货币的选择会直接影响汇率变动对物价、出口和产出的传递效应,进而对最优汇率制度选择有重要影响。人民币计价结算为研究计价货币转换背景下汇率变动传递效应的差异提供了一个良好的样本。本文采用随机波动的时变系数结构向量自回归模型(SV-TVP-SVAR),讨论了汇率变动传递效应的时变特征,发现人民币计价结算能够在一定程度上缓解汇率变动对价格、出口和产出的冲击,人民币计价结算背景下实行更加弹性的汇率制度是可行的。

Invoicing currencies in international trade directly affect the pass-through effect of exchange rate fluctuation on prices, and thus has implications for optimal exchange rate regime. RMB invoicing ＆ settlement provides a nice sample for the research of exchange rate pass-through effects in the context of invoicing currency switch. In this paper, time-varying pass-through effects are explored by a time-varying parameter structural vector auto-regression model （SV-TVP-SVAR） . Responses and volatilities of price, export and output are alleviated to some extent after the adoption of RMB invoicing and settlement which implied a more flexible exchange rate regime.