经济政策不确定性、外汇市场预期与人民币国际化:基于境外主体持有人民币资产的视角

Economic Policy Uncertainty,Foreign Exchange Market Expectations and RMB Internationalization:Based on the Perspective of Foreign Entities Holding RMB Assets

文章基于境外主体持有人民币资产的视角,从政府政策和市场预期两个维度构建经济政策不确定性、外汇市场预期不确定性与人民币国际化的TVP-SV-VAR模型,验证经济政策不确定性和外汇市场预期不确定性对人民币国际化的时变影响。结果表明:境外主体持有人民币资产对外汇市场预期不确定性冲击的响应呈现明显时变特征,在外汇市场预期不稳定时期,境外主体持有人民币股票资产规模显著下降,持有债券资产规模增幅趋缓;经济政策不确定性不仅会显著增强外汇市场预期不确定性,也会对境外主体持有人民币资产产生影响,其中境外主体持有人民币股票资产对经济政策不确定性的冲击整体呈现出负向响应,而债券资产呈现出正向响应。方差分解结果显示:对人民币股票资产变动而言,外汇市场预期不确定性的解释力最高;对人民币债券资产变动而言,经济政策不确定性的解释力最高。文章认为,提高境外投资者持有人民币资产意愿需加强政策和市场沟通,以此来降低经济政策不确定性与外汇市场预期不确定性,为人民币国际化提供稳定的政府和市场环境。

Based on the perspective of the Domestic RMB Financial Assets held by foreign entities,this paper constructs the three-factor TVP-SV-VAR model of the economic policy uncertainty,the foreign exchange market expectation uncertainty and the RMB internationalization to verify the impact of the economic policy uncertainty and the market exchange rate expectation uncertainty on the RMB internationalization. The results show that: in the period of unstable market expectations,the scale of RMB stock assets held by foreign entities significantly decreased,and the growth rate of holding bond assets slowed down,which means the expected uncertainty of market exchange rate has an obvious time-varying impact on RMB assets held by foreign entities;economic policy uncertainty could not only enhance the foreign exchange market expectations uncertainty,but also affects the proportion of RMB assets held by foreign entities,which the impact of RMB stock assets held by overseas entities presents a negative response to the uncertainty on economic policy while bond assets held by those presents a positive response. Meanwhile,the time-varying variance decomposition result shows that the uncertainty in market expectations has the highest explanatory ability for the change in RMB stock assets,while the economic policy uncertainty has the highest explanatory ability for the change in RMB bond assets. Therefore,in order to improve the willingness of foreign investors holding RMB assets,it is necessary to strengthen policy and market communication to reduce the uncertainty of economic policy and market expectations,which could provide a stable government and market environment for the internationalization of RMB.