什么造就了避险货币?——基于机器学习方法的分析

What Makes Safe-haven Currency: Analysis Based on Machine Learning Method

今年伊始,新冠疫情在全世界范围内肆虐,对全球经济造成了沉重打击。在当前全球不确定性不断上升的背景下,如果人民币依旧能够持续升值并保持稳健(即成为避险货币),一方面将有效地减少资本外流从而保障我国金融安全与稳定,另一方面也能够极大地提升人民币的国际地位。本文通过一个类因子模型发现,影响一国货币汇率收益与避险价值的既包括本国因素,还包括本国经济联系密切的其他各国因素(本文称其为外国因素)和全球风险因素。随后,本文利用机器学习方法对此进行了实证检验,分析表明:(1)本国与外国因素均会对货币避险价值造成影响,其中利率因素的影响最为明显,而价格水平因素的影响程度则相去甚远;(2)多数基本面因素不会直接地影响货币避险价值,但会通过影响经济基本面的各类因素对其造成显著的间接影响;(3)本国利率水平、金融要素市场建设与资本市场开放情况对于货币避险价值具有重要意义,但其中大多数外国因素对货币避险价值的影响相对较小。

Since the beginning of this year, the COVID-19 epidemic wreaked havoc all over the world and raised the risks of financial and economic crises once again. Under the background of increasing global uncertainty, if RMB can still maintain appreciation and remain stable(i.e. become a safe haven currency), on the one hand, it will effectively reduce capital outflow, thus ensuring China’s financial security and stability, on the other hand, it can greatly enhance the international status of RMB. Using an exchange rate factor model, the article finds that not only native factors but also foreign and global risk factors could affect currency performance and safe-haven value, then the theoretical result is tested by an empirical model using machine learning methods. The empirical result shows that:(1) Both native and foreign factors have certain influences on the safe-haven value of currency, and interest rate factor has the most obvious influence among all factors, while the influence of price level factor has a large gap than interest rate;(2) Fundamental factors in most countries will not directly affect the safe-haven value of currency, but will have a significant indirect impact through various factors affecting economic fundamentals;(3) Native interest rate, financial market construction level, and capital market openness are of great significance for both currency performance and safe-haven value, while most foreign factors only affect currency performance and have relative small effect on safe-haven value.