人民币与RCEP成员国货币汇率波动溢出效应研究

Research on volatility spillover effect between RMB and currencies of RCEP member countries

研究人民币与RCEP主要成员国货币间的波动溢出效应,对提升人民币在区域内国际地位具有重要意义。本文通过修正的ICSS算法识别各国汇率的方差结构断点,将其引入ARMA-GARCH模型得到各国汇率的条件波动率,然后基于波动率建立向量自回归模型,计算各成员国货币间的波动溢出指数。研究表明:人民币波动更多地受到自身冲击的影响;波动溢出效应具有双向性和非对称性,RCEP经济体货币表现出不同程度的波动溢出和波动接收。其中,中国是汇率波动率溢出效应的净输出国;汇率的波动溢出效应具有时变性,人民币在样本期多数时间表现为波动净输出方,但在新冠疫情出现后的一段时期内,表现为波动溢出效应净输入。基于此,得出持续挖掘人民币使用需求、加强中国与RCEP成员国的货币合作、加强人民币离岸市场建设等政策启示。

Studying the volatility spillover effects between the RMB and the currencies of the major RCEP member countries is important for enhancing the international status of the RMB in the region. This paper uses a modified ICSS algorithm to identify structural breaks in variance of each country’s exchange rate, introduces them into an ARMA-GARCH model to obtain the conditional volatility of each country’s exchange rate, and then builds a vector autoregressive model based on the volatility to calculate the volatility spillover index between the currencies of each member country. The study shows that the volatility of the RMB is more influenced by its own shocks;the volatility spillover effect is bi-directional and asymmetric,with all currencies of RCEP member countries exhibiting different degrees of volatility spillover and volatility reception at the same time. Among them, China is a net contributor of exchange rate volatility spillovers;the volatility spillovers of exchange rates are time-varying, with the RMB showing a net contributor of volatility for most of the sample period, but a net receiver of volatility spillovers in the period after COVID-19. Based on this, the study suggests to continuously explore the demand for international use of the RMB, strengthen monetary cooperation between China and other RCEP member countries, and strengthen the construction of the RMB offshore market.