人民币在东盟影响力的测度——基于汇率动态相关性视角

Measurement of RMB’s Influence in ASEAN——from Perspective of Exchange Rate Dynamic Correlation

文章利用VAR-DCC-MVGARCH模型对人民币汇率与东盟七国汇率进行分析,通过动态相关性测度人民币在东盟区域的影响力。结果表明:总体来看,人民币对东盟七国货币影响力的排名从高到低依次为新加坡元、马来西亚林吉特、泰铢、印尼卢比、菲律宾比索、越南盾和柬埔寨瑞尔。长期来看,人民币对实行非固定汇率制度且与我国经贸关系稳定的东盟国家的影响力不断提升。短期来看,人民币对东盟国家的影响力具有一定的波动性,特别是对实行非固定汇率制度的东盟国家波动性较大。

This paper uses the VAR-DCC-MVGARCH model to analyze the exchange rate of Renminbi(RMB) and the exchange rates of the seven countries of Association of Southeast Asian Nations(ASEAN), and then measures the influence of RMB on ASEAN region through dynamic correlation. The results show that on the whole, the influence of RMB on the currencies of the seven ASEAN countries is ranked from highest to lowest by the Singapore dollar, the Malaysian ringgit and the Thai baht, Indonesian rupiah, the Philippinespeso, Vietnamese dong and Cambodian riel respectively. In the long run, the influence of RMB on ASEAN countries which have a non-fixed exchange rate system and a stable economic and trade relationship with China is constantly increasing. In the short term, the influence of RMB on ASEAN countries fluctuates to a certain extent, especially for ASEAN countries with non-fixed exchange rate system.