人民币在岸市场的国际影响力研究:基于修正的溢出指数模型

The international influence of the RMB onshore market:Based on modified information spillover index model

本文提出了修正的Diebold&Yilmaz溢出指数模型,利用该模型对2005年7月至2017年12月在岸人民币汇率及七种主要发达国家货币汇率的信息溢出关系进行分析,结果表明:1)虽然目前人民币在岸市场的国际影响力还比较有限,远低于发达国家的影响力水平,但已然呈现出不断上升的趋势,尤其是2015年"811"汇改之后,人民币对外影响力有了大幅提升;2)从滚动窗口分析和结构变点检验结果来看,人民币汇率形成机制的市场化改革以及国际地位的提升是导致人民币国际影响力发生结构变化的两大主因.总体而言研究证实了加权修正的Diebold&Yilmaz溢出指数模型能够更灵敏地反映出人民币国际影响力的变动;同时还表明提升人民币国际地位的关键途径之一就是继续推进汇率市场的市场化改革进程.

This paper modified the Diebold&Yilmaz spillover index model by weighting method,and used this model to analyze the information spillover relationship between RMB and seven major developed contries'currency from July 22,2005 to the end of 2017.The results showed that:The current international influence of the RMB is not high,far lower than the influence levels of other developed countries'currencies,but it shows a rising trend;especially after the"811"exchange reform in 2015,the international influence of the RMB has been greatly improved;from the rolling window analysis and structure change-point test,the improvement of the marketization level of the RMB exchange rate formation mechanism and international status are two main factors that have led to major changes in the international influence of the RMB.Overall,the weighted modified Diebold&Yilmaz spillover index model can more sensitively reflect changes in the international influence of the RMB.To improve the international influence of the RMB,one key is to continuously increase the marketization level of the exchange rate market.