货币替代、通货膨胀与人民币汇率波动——人民币自由兑换可行性研究

Currency Substitution,Inflation and RMB Exchange Rate Fluctuation——Feasibility Study on RMB Convertibility

从货币替代现象出发,探讨人民币自由兑换的可行性,对于推进人民币国际化进程具有重要意义。本文采用广义方法对我国货币替代水平进行测度,并运用时变参数向量自回归模型,双向研究我国货币替代、通货膨胀与人民币汇率波动之间的动态传导关系。研究结果表明:第一,汇率波动、通货膨胀对货币替代的影响具有较强的时变特征,汇率波动对货币替代的影响主要体现在短期,通货膨胀对货币替代的影响体现在长期。第二,货币替代对汇率波动的影响具有较强的时变特征,但对通货膨胀的影响随时间变化较稳定。第三,在较为极端的不同国际国内经济形势下,货币替代与汇率波动、通货膨胀的双向传导结果没有显著差异。第四,实现人民币自由兑换的短期必要条件为人民币汇率的稳定或升值,长期的必要条件为维持较低的通货膨胀率。因此,构建及完善外汇监管体系,加强短期汇率波动风险评估,建立通货膨胀预警监测机制,设立自由兑换区域试点,能够有效降低货币替代风险。

Starting from the phenomenon of currency substitution, this paper discusses the feasibility of free RMB convertibility, which is of great significance for promoting the process of RMB internationalization. This paper uses a generalized method to measure the level of currency substitution in China, and uses time-varying parameter vector auto-regressive model to study the dynamic transmission relationship among currency substitution, inflation and RMB exchange rate fluctuation in China. The results show that: Firstly, the impact of exchange rate fluctuation and inflation on currency substitution is time-varying. The impact of exchange rate fluctuation on currency substitution is mainly reflected in the short term, while the impact of inflation is reflected in the long term. Secondly, currency substitution has a strong time-varying effect on exchange rate fluctuations, but its effect on inflation is stable over time. Thirdly, there is no significant difference between the two-way transmission results of currency substitution and exchange rate fluctuations and inflation under different international and domestic economic forms. Fourthly, the short-term necessary condition for realizing the free convertibility of RMB is the stability or appreciation of RMB exchange rate, and the long-term necessary condition is to maintain a low inflation rate. Therefore, building and perfecting the foreign exchange supervision system, strengthening the risk assessment of short-term exchange rate fluctuations, establishing the inflation early warning and monitoring mechanism, and setting up the free exchange zone pilot can effectively reduce the risk of currency substitution.