货币国际计价职能发展过程中子金融市场的作用——基于边限协整模型的实证研究

The Role of Sub-Financial Market during the RMB Internationalization Process:An Empirical Study based on Bounds Testing Approach

金融市场并不是一个孤立的概念,每个子市场对于货币国际职能拓展的影响是否都一样?资本市场与货币国际化进程之间是否具有长期均衡关系?笔者构建了一个反映主要国际货币国际计价职能指数与目标国选定子金融市场之间均衡关系的六重套利模型,并利用边限协整模型进行了实证检验。结论认为:国际债券市场和银行海外本币业务的拓展在短期和长期内均与欧元和日元的国际计价职能水平有显著的关联性,且国际债券市场的影响程度最大;银行海外外币资产负债业务对美元和欧元国际计价水平在短期和长期都会产生一个显著的负向影响;资本市场仅在短期内与货币国际计价职能存在瞬时关联性,长期关联性不显著;而国际货币市场、衍生品市场的影响无论在长期还是短期内均不具备统计显著性。

There are interactional relationships among financial submarket. Whether the effects of each specific submarket on currency＇s international function are absolutely the same？ Is there any long-term equilibrium relation between capital market and currency internationalization process？ Based on these questions,this study constructs a sixfold arbitrage model and applies bounds testing approach to make empirical analysis. The result demonstrates that both international bond market and the bank＇s domestic currency-dominated business expansion significantly influence Euro and Japanese Yen＇s international pricing function no matter in the long run or in the short run. However,the relation between capital market and currency international pricing function is temporary,the long-term relation are not significant for all the USD,EURO and Japanese Yen models.