人民币国际化对汇率波动的影响研究——基于资本账户开放视角

Research on Influence of Internationalization of RMB on Exchange Rate Volatility——From the Perspective of Capital Account Opening

本文首先通过构建人民币国际化、资本账户开放和汇率波动的联动模型,分析三者的互动关系并提出实证假设;其次基于2009—2019年的季度数据,采用带随机波动率的向量自回归(SV-TVP-VAR)模型,对人民币国际化、资本账户开放和汇率波动之间的动态关系进行实证分析。研究结果表明,人民币国际化程度的提高有助于推动资本账户开放;推进人民币国际化和资本账户开放均会导致汇率波动幅度增加,其中资本账户开放影响更为显著。

This paper first constructs a linkage model of RMB internationalization,capital account opening and exchange rate fluctuation,then analyzes interaction among the three followed by an empirical hypothesis.Secondly,based on quarterly data from 2009 to 2019,this paper adopts a Vector Autoregressive(SV-TVV-VAR)Model with Stochastic Volatility to empirically analyze the dynamic relationship among RMB internationalization,capital account opening and exchange rate volatility.The result shows that the improvement of RMB internationalization will promote the opening of the capital account.Promoting the internationalization of RMB and the opening of the capital account will increase exchange rate volatility,among which capital account opening has more significant influence.