新冠肺炎疫情前后人民币与非美货币溢出效应特征的变化:来自30分钟高频数据的证据

The Change of the Spillover Effect of RMB and non US Currency before and after the COVID-19: Evidence from 30 Minutes High Frequency Data

新冠肺炎疫情超预期扩散扭转了人们对全球经济发展预期,深度影响全球主要货币表现,人民币因表现良好而市场地位有所提升,但未来不确定性对人民币国际化带来了巨大挑战。文章运用30分钟高频数据,首先将辅助回归分析和引入疫情影响分析并作为虚拟变量,其次通过VAR-BEKK-GARCH模型分三阶段考察疫情不同时期人民币与其他非美货币的关系特征变化。研究发现,全球疫情爆发后离岸人民币的独立性和影响力均明显增强,但与不同货币间的均值溢出、波动溢出和持续性也出现结构性变化。在疫情"常态化"和中美关系"不确定性"增加的背景下,抓住疫情提供的人民币国际化时间窗口,稳步加速推动人民币国际化是当务之急。

The novel coronavirus pneumonia epidemic has exceeded the expected diffusion,reversing the global economic development expectations,and deeply affecting the main global currency performance. The RMB has improved because of its good performance and market position,but the uncertainty of the future will bring great challenges to RMB internationalization. Based on 30 minute high-frequency data,the paper first through auxiliary regression analysis and the introduction of the epidemic as a dummy variable,and then through VAR-BEKK-GARCH model,to investigate the changes in the characteristics of the relationship between RMB and other non US currencies in different periods of the epidemic. It is found that after the outbreak of the global epidemic,the independence and influence of offshore RMB are significantly enhanced,but the mean spillover,volatility spillover and persistence between offshore RMB and different currencies also show structural changes. Under the background of " normalization" of the epidemic situation and increasing " uncertainty" of Sino US relations,it is imperative to seize the time window of RMB internationalization provided by the epidemic situation and steadily accelerate the promotion of RMB internationalization.