“逆周期因子”提高了人民币国际化水平吗?:基于信息溢出的视角

Does "Counter-Cycle Factor" Increase the Level of RMB Internationalization?: Based on the Perspective of Information Spillover

文章基于2014年3月19日至2019年12月27日国际外汇市场交易数据,运用DAG(有向无环图)和VAR模型的动态信息溢出指数的方法,分阶段对启动"逆周期因子"与否以及人民币与国际外汇市场主要货币间汇率收益率及其波动率的溢出效应方向和规模进行了研究,考察人民币在国际外汇市场的参与度和影响力的动态变化,进而分析"逆周期因子"对人民币国际化的影响。研究结果表明:"逆周期因子"增强了人民币与其他国家或地区货币的互动,提高了市场参与度和国际影响力;人民币在国际外汇市场上接受了外界信息溢出;与其他国家相比,人民币对其他国家或地区的信息溢出水平均处于较低水平,国际影响力与国际货币相比还存在较大差距。总体而言,引入逆周期因子有利于人民币收益保持稳定,波动性降低,在一定程度上提高了人民币国际化程度。

Based on the international foreign exchange market transaction data from March 19,2014 to December 27,2019,this paper applies DAG( Directed Acyclic Graph) and dynamic information spillover index methods based on VAR model to study the direction and scale of the spillover effect of the exchange rate of return between the RMB and the major currencies of the major international foreign exchange markets and their volatility,exam the dynamic changes in the participation and influence of the RMB in the international foreign exchange market,and then analyze the impact of " counter-cyclic factor" on RMB internationalization by stages,whether starting " counter-cyclic factor" or not. The research results show that,firstly,the " counter-cyclical factor" strengthens the interactions of the RMB and other currencies and regions,and increased market participation and international influence. Secondly,the RMB in the international foreign exchange market accepts information spillovers from outside world.Thirdly compared with other countries and regions,RMB overflows to other countries and regions at a relatively low level,there is still a large gap between international influence and international currencies. Overall,the introduction of a counter-cyclical factor is conducive to the stability of RMB returns,reduced volatility,and increased the degree of RMB internationalization.