人民币国际化、汇率波动与国内货币供给——基于状态空间模型与SVAR模型的实证研究

Internationalization of RMB,Exchange Rate Fluctuation and Money Supply of China——Empirical Study Based on State Space Model and SVAR Model

利用2004年2月到2016年8月共151个月度数据,通过构建状态空间模型与SVAR模型,同时考虑状态变量与时间序列数据,实证研究了人民币国际化、汇率波动与国内货币供给之间的动态关系。结果表明:人民币国际化程度的提升会导致国内货币供给与人民币实际有效汇率的上升;国内货币的增加有利于人民币境外存款规模的扩大,而实际有效汇率的上升和超额货币供给作用相反。这一结果可能与当前阶段人民币国际化主要以跨境贸易人民币结算为主要内容有关。因此,在推行人民币国际化进程中应当实施积极稳健的货币政策和汇率政策。

By collecting the offshore RMB deposit as a measure of the internationalization degree of RMB, while analyzing the state variables and time series data, we empirically analyzed the interactive relationship among the internationalization of RMB, exchange rate fluctuation and Chinese money supply by constructing the state space model and the SVAR model. Results showed that the appreciation of the international- ization of the RMB would lead to the increase of the domestic money supply and the real effective exchange rate of RMB; that money supply increase was conducive to the expansion of the size of RMB offshore de- posits, but real effective exchange rate rise and excess money supply had the opposite effect. This result may be related to the current stage of internationalization of the RMB cross-border RMB trade settlement. Therefore, in the process of promoting the internationalization of RMB, a positive and prudent monetary policy and exchange rate policy should be implemented.