人民币货币锚效应及其影响因素研究:基于Heckman两阶段模型的新证据

RMB Currency Anchor Effect and Its Influencing Factors: New Evidence Based On Heckman Two-stage Model

文章运用修正的两步Frankel-Wei模型测度了人民币在全球109个经济体的货币锚效应,然后采用Heckman两阶段模型,着重分析上述经济体选择锚定人民币和锚定人民币权重的影响因素,以及不同地区的异质性。研究发现,人民币已成为49个经济体的货币锚,并对亚洲、非洲和拉丁美洲地区具有较强的影响力。近年来,人民币的货币锚效应在波动中逐渐增强。上述经济体选择锚定人民币和锚定人民币权重的影响因素具有较大差异,其中,贸易渠道是人民币成为货币锚的主渠道,其他经济体对中国贸易依存度越高,越有利于其选择锚定人民币。在锚定人民币权重方面,贸易渠道的影响有所下降,金融渠道和全球外生冲击开始发挥重要影响。其中,货币政策同步性和人民币汇率市场化改革对锚定人民币权重有利,而国际原油价格和全球风险指数均对其不利。亚洲、非洲、拉丁美洲、欧洲和大洋洲地区在上述方面的影响因素具有较强的异质性,中国政府应充分考虑这些差异以推动人民币在全球范围内发挥货币锚效应。

This paper uses modified two-step Frankel-Wei model to measure the currency anchor effect of RMB in 109 economies around the world,and then uses Heckman two-stage model to analyze influencing factors of the economies in choosing to anchor RMB and RMB weight,as well as the heterogeneity in different regions. The results show that RMB has become the currency anchor of 49 economies and has a strong influence on Asia,Africa and Latin America. In recent years,RMB ecurrency anchor effect has gradually increased in fluctuation. The influencing factors of economies choose to anchor RMB and RMB weight are significant different. Trade channel is the main channel for RMB to be currency anchor. The higher dependence of other economies on China’s trade,the more likely for them to choose to anchor RMB. In terms of anchoring RMB weight,the impact of trade channels has declined,while financial channels and global exogenous shocks have begun to play important roles. Among them,the synchronization of monetary policy and improvement of marketization of exchange rate are good to anchor RMB weight,while the international crude oil price and global risk index have negative effects. The influencing factors in Asia,Africa,Latin America,Europe and Oceania area have strong heterogeneity. Chinese government should fully consider these differences in order to promote RMB to play currency anchor effect in the global scope.