汇率波动对货币国际化具有非线性效应吗?——基于金融市场发展视角

Does Exchange Rate Volatility Have a Nonlinear Effect on Currency Internationalization?——From the Perspective of Financial Market Development

本文基于国际货币三大职能,采用面板平滑转移回归(PSTR)模型研究汇率波动对货币国际化的非线性效应。结果显示,随着金融市场发展程度的提高,汇率波动对货币国际化具有显著的非线性影响:在外汇储备份额和外汇市场交易份额模型中,当金融市场发展程度由低区制转为高区制时,汇率波动对货币国际化的负面影响明显减弱,甚至由抑制作用转变为正效应;在国际债券市场份额模型中,当金融市场发展程度由低区制转为高区制时,汇率波动对货币国际债券市场份额提升的促进作用显著降低;对人民币国际化的反事实模拟发现,由于当前中国金融市场发展程度较低,汇率波动对人民币国际化具有阻碍作用。因此,为了稳步推进人民币国际化进程,中国应在深化汇率市场化改革和加快建设开放发达金融市场的同时,保持人民币汇率在合理均衡水平上基本稳定。

Based on the three functions of international currency, this paper mainly investigates the nonlinear effect of exchange rate volatility on currency internationalization by adopting the panel smooth transition regression （PSTR） model. The results demonstrate that exchange rate volatility has a significant nonlinear impact on currency internationalization with the development of financial market. Specifically, in the foreign exchange reserves share model and foreign exchange trans- actions share model, when the development of financial market transfers from lower level to higher level, the negative influ- ence of exchange rate volatility is significantly weakened and even turned into positive effect;In the international bonds share model, the positive effect of exchange rate volatility on the international bond share is significantly decreased when the devel- opment of financial market transforms from lower degree to higher degree;The counterfactual analysis of RMB international- ization implicates that, the exchange rate volatility of RMB generates a pronounced inhibitory effect on RMB internationaliza- tion due to the low level of Chinese financial market development at present. Therefore, in order to steadily promote the pro- cess of RMB internationalization, China should deepen the reform of exehange rate marketization and accelerate the construc- tion of China＇s financial market, and keep the RMB exchange rate basically stable at a reasonable and balanced level.