汇率网络结构变迁、人民币影响力与汇率波动传导——来自“一带一路”沿线国家的证据

Structural Change of Exchange Rate Network,Influences of RMB and Transmission of Exchange Rate Volatility--Evidence from Countries Along the Belt and Road

本文基于Granger-Geweke因果关系检验方法,构建"一带一路"沿线主要国家汇率动态因果网络,探究在金融危机冲击与"一带一路"倡议下的汇率网络结构变迁,从节点属性角度刻画人民币影响力的时变路径,测度人民币汇率市场地位与波动传导能力的变化,运用DCC-GARCH模型,捕捉人民币在"一带一路"沿线各区域间汇率波动传导的动态特征。结果表明:第一,汇率网络结构变迁存在显著的事件驱动特征,在金融危机冲击与"一带一路"倡议下,汇率网络结构发生突变,并且金融危机对汇率网络结构的冲击效应更大,"一带一路"倡议提出后,汇率网络具有"小世界"特性。第二,金融危机期间与"一带一路"倡议提出后,人民币影响力显著提升,并且"一带一路"倡议提出后,人民币影响力的提升幅度更大,人民币汇率市场地位与波动传导能力显著提升。第三,"一带一路"倡议提出后,人民币同各国货币的联动效应显著增强,贸易依存度、金融合作程度与加入"一带一路"倡议的时间是影响人民币同"一带一路"沿线主要国家货币间联动效应的主要因素,依照联动效应大小对各区域排序的结果为东盟、南亚、西亚与欧盟和独联体国家。

The proposal of"Belt and Road"provided the currency network condition for RMB internationalization.Based on the Granger-Geweke causality method,the paper constructs the dynamic causal network of the main countries along the"Belt and Road",and explores the structural change of the exchange rate network under the impact of the financial crisis and the"Belt and Road"initiative.Then,it identifies the time-varying path of RMB Influences,and captures the change of RMB exchange rate market position and volatility transmission.By using the DCC-GARCH model,it analyzes the dynamic characteristics of RMB exchange rate volatility.The results show that,firstly,there is a significant"event driven"feature in the structural change of the exchange rate network.Under the impact of the financial crisis and the"Belt and Road"initiative,the structure of the exchange rate network has abruptly changed.Secondly,during the financial crisis and after the"Belt and Road"initiative,the influence of RMB increases significantly and the market position and volatility transmission capacity of RMB exchange rate increases significantly.Thirdly,after the"Belt and Road"initiative,the co-movement effect of RMB with the major currencies along the"Belt and Road"has been enhanced.The ranking of dynamic effect is ASEAN,South Asia and CIS,West Asia and EU.The paper proposes three policy suggestions.Firstly,to prevent and control exchange rate market risks by closely following the time-varying characteristics of exchange rate network structure changes.Secondly,to promote the convertible business of RMB capital account,open more cross-border RMB settlement pilots,and increase the scale of local currency swap agreements with countries along the"Belt and Road".Thirdly,to expand the degree of trade and financial cooperation,increase investment quotas for infrastructure projects,and call on more countries to join the"Belt and Road"initiative to expand the scope of RMB exchange rate fluctuations.