人民币在东亚区域货币“锚”效应及其影响因素研究

Research on the Currency “Anchoring” Effect of RMB in East Asia and Its Influencing Factors

本文运用状态空间模型的时变参数回归,测度2005年7月21日-2018年9月30日不同阶段人民币在东亚区域的货币"锚"效应,并利用变截距固定效应面板模型对人民币在东亚区域内货币"锚"效应的多重影响因素进行分析。研究表明,美元在东亚区域内货币"锚"效应略有下降,但仍然难以取代;欧元和英镑在东亚区域内货币"锚"效应下降很大;而日元近几年在东亚区域内货币"锚"效应显著提升;人民币在东亚区域的货币"锚"效应自2010年以来显著提升,大部分时期已经接近美元的水平,但很容易受国际经济形势和突发事件的影响。东亚其他国家和地区与中国大陆的经济增长率差异、通货膨胀率差异、利率差异,东亚其他国家和地区对中国大陆产品市场依赖程度和人民币国际化程度都对人民币在东亚区域发挥"锚"效应有显著影响。其中,东亚其他国家和地区与中国大陆经济周期同步性、东亚其他国家和地区对中国大陆产品市场依赖程度和人民币国际化程度是推动人民币在东亚区域内货币"锚"效应提升的最主要因素。

RMB internationalization has made great progress since China proposed the RMB internationalization strategy,while RMB has played a huge role in investment and trade in the East Asian region. Using the state space model of timevarying parameters regression, this paper measures the"anchoring"effect of RMB in East Asia, and analyzes the multiple factors behind such effect by using the variable intercept in fixed effect panel model.The results show that the"anchoring"effect of the US dollar has decreased a little, but it is still difficult to replace that in East Asia. The currency"anchoring"effect of Euro and Pound has decreased greatly, while that of Yen has increased significantly in recent years in East Asia. The currency" anchoring" effect of RMB in East Asia has been significantly improved since 2010. It has been close to the level of US dollar for most of the time, but it is easily affected by the international economic situation and emergencies. The difference of inflation rate and interest rate between East Asian economies and China has a significant impact on the"anchoring"effect of RMB in East Asia. However, the economic synchronization between the East Asian economies and China, the degree of dependence on China’s market from East Asian economies, the degree of RMB internationalization are the most important factors to promote the currency"anchoring"effect of RMB in East Asia.The marginal contribution of this paper is as followed. First, in order to measure the" anchoring" effect of currencies such as the US dollar, Yen, and RMB in East Asia, the paper uses Swiss Franc, which is independent of the US dollar, Euro,and Yen, as an independent currency to replace the special drawing rights(SDR) in the Frankel-Wei model. Second, the paper examines the changes in the currency"anchoring"effect in East Asian at the four different stages from July 21, 2005 to September 30, 2018. Third, some comprehensive variables of economy and trade differences between China and East Asian economies were selected to examine the main factors affecting the"anchoring"effect of the RMB.