人民币与新兴市场货币的联动分析

The Co-movement of RMB and Emerging Market Currencies

在人民币国际化背景下,本文基于标准Frankel-Wei框架,将两步回归法与分段回归相结合,以2005年7月21日-2018年12月31日作为样本区间,探究人民币与新兴市场货币的联动程度及其结构性变化。研究发现:人民币作为“地区性重要货币”,与东南亚和美洲的新兴市场货币联动性较强;地区层面的时变权重显示人民币与新兴市场货币的联动性绝大多数时间弱于美元;2010年汇率制度改革后,人民币与更多的新兴市场货币表现出正向联动性,2015年汇率制度改革对人民币与美洲地区新兴市场货币联动性影响较大。相关结论对于人民币国际化战略的设计与实施具有参考价值。

In the context of Renminbi( RMB) internationalization,this paper combines the two-step regression method with the piecewise regression based on the standard Frankel-Wei framework,and takes July 21,2005--December 31,2018 as the sample interval to explore the linkage degree and structural changes between the RMB and currencies of emerging market countries. The study finds that the RMB is a"regional important currency"and has strong co-movements with Southeast Asian and American countries. Time-varying weights at the regional level suggest that the RMB’s comovements with emerging market currencies is,for the most part,weaker than the dollar’s. After the reform of the exchange rate system in 2010,the RMB has shown positive co-movements with more emerging market currencies. The reform of the exchange rate system in 2015 has a greater impact on the co-movements between the RMB and the emerging markets in the Americas. Our paper has valuable policy implications for the RMB internationalization.