全球外汇市场溢出效应与人民币国际影响力研究

The Spillover Effect of Global Foreign Exchange Market and RMB’s International Influence

选取2006—2020年全球25种货币的汇率收益率,采用基于分位数向量自回归模型的溢出指数方法,从静态和动态两个方面考察正常状态与极端状态下全球外汇市场溢出效应的差异,并且构建相对溢入溢出指数量化差异程度,探讨极端状态下的人民币国际影响力。研究发现:第一,基于条件均值与条件中位数的溢出指数可以很好地捕捉正常状态下全球外汇市场的溢出效应,而对极端状态下的溢出效应产生误判。第二,相比正常状态,极端状态下全球外汇市场的总溢出水平显著上升,两两货币间的溢出效应大多被低估,并且极端贬值状态下的溢出效应更强。第三,极端状态下,绝大多数货币的溢入水平均呈现上升趋势,且新兴经济体货币上升幅度更大;溢出水平的变化则存在差异,新兴经济体货币表现为大幅上升而多数发达经济体货币则为小幅下降。第四,在两种极端状态下,人民币的方向性溢出水平大幅上升,且溢出水平上升幅度更大,人民币由正常状态下的净接收者转变为极端状态下的净输出者,国际影响力显著增强。

With the deepening of global economic integration,trade and capital flows between countries in the world have become more and more frequent,and a closely interconnected exchange rate network has gradually formed.At the same time,extreme events such as the global financial crisis,the European sovereign debt crisis,the Brexit,the Sino-US trade frictions and the COVID-19 have occurred frequently,all of which have had a certain impact on the global foreign exchange market.In this context,it is particularly important to keenly capture the connectedness of foreign exchange markets of various countries and scientifically examine exchange rate risk spillovers from a global perspective.However,previous studies often use the Diebold and Yilmaz(DY)spillover index based on vector autoregression(VAR)model to investigate the spillover effects of exchange rate,which extends the spillover relationship based on conditional mean to the whole conditional distribution,making it difficult to accurately capture the spillover effects of global foreign exchange market in extreme states.This paper examines the differences between the spillover effects of the global foreign exchange market in normal state and extreme states from the static and dynamic aspects,constructs the relative spillover-from and spillover-to indexes to quantify the difference degree,and investigates the international influence of RMB in extreme states by selecting exchange rate returns of 25 global currencies from 2006 to 2020 and utilizing the spillover index based on the quantile vector autoregression(QVAR)model.The findings are as follows.Firstly,the spillover index based on the conditional mean and the conditional median can well capture the spillover effect of the global foreign exchange market in normal state,while misjudging the spillover effect in extreme states.Secondly,compared with normal state,the total spillover level of the global foreign exchange market has risen significantly in extreme states,the spillover effect between currencies is mostly underestimated,and the spillover effect in the extreme state of depreciation is stronger.Thirdly,in extreme states,the spillover-from level of the great majority currencies shows an upward trend,which the currencies of emerging economies have risen even more.However,there are differences in the changes in spillover-to level in extreme states.Currencies in emerging economies have risen sharply,while most developed economies have fallen slightly.Fourthly,in the two extreme states,the directional spillover level of RMB increases significantly,and the spillover-to level increases to a greater extent.It is concluded that the RMB has changed from a net receiver in normal state to a net sender in extreme states,and its international influence has strengthened remarkably.The marginal contribution of this paper mainly includes the following three aspects.First,this paper adopts the spillover index based on QVAR model to measure the spillover effects under the whole conditional distribution,and studies the difference of the spillover effects of 25 global currencies in normal and extreme states.Second,from both static and dynamic aspects,this paper makes a detailed analysis of the changes of total and directional spillovers in extreme states,and constructs the relative spillover-from and spillover-to indexes to quantify the difference degree.Third,this paper deeply analyzes the changes in the spillover effects of RMB in extreme states,and further discusses the international influence of RMB in extreme states.The research in this paper sheds light on how to deal with extreme shocks.Relevant departments should improve the foreign exchange risk monitoring and early warning system,grasp the spillover characteristics of the foreign exchange market in extreme states,and actively formulate emergency plans to deal with shocks from the extreme foreign exchange risk.Emerging economies should pay more attention to the impact of extreme shocks on the foreign exchange market,and should not only strengthen the prevention of the impact of imported risks,but also effectively control the rise of domestic risk spillovers.While unswervingly promoting the process of RMB internationalization,China should also have the adversity consciousness,improve the risk prevention and mitigation mechanism,and enhance the stability of the domestic financial system.