美元互换网络的发展历程及其有效性分析--基于COVID-19期间美元融资成本的视角

The Development History and Effectiveness Analysis of the US Dollar Swap Network:Perspective of US Dollar Financing Costs during the COVID-19 Pandemic

新冠病毒感染疫情全球蔓延后,美联储迅速启用美元互换网络,通过央行间大规模货币互换,再次度过流动性困境。通过梳理美元互换网络的形成过程,阐述发展阶段与结构特征,指出历次危机对美元互换网络的“催化”和推动作用。基于此,深入分析美元互换网络对缓解疫情中离岸美元流动性压力的效果。选取2019年6月至2021年4月的美元流动性指标和互换规模数据,使用ARMA-EGARCH模型,发现美元互换网络的大规模使用能有效降低欧洲美元、货币掉期和货币市场渠道的美元融资成本。美元互换网络的成功经验可为中国加速构建人民币互换网络、推动人民币国际化提供借鉴。

After the global spread of the COVID-19 epidemic,the Fed quickly launched the US dollar swap net-work and once again overcame the liquidity dilemma through large-scale currency swaps between central banks.The US dollar swap network is an important system for providing liquidity and maintaining international status on the US dollar.This paper combs the construction process of the US dollar swap network,then clarifies its development stages and structural characteristics to point out the"catalysis"and"promotion"effect of previous crises on the network.Furthermore,this paper analyzes the effect of the US dollar swap network on alleviating the pressure on offshore US dollar liquidity during the epidemic.By using liquidity indicators and network usage data from June 2019 to April 2021,this paper uses the ARMA-EGARCH model,finding that the large-scale use of the network can effectively al-leviate the US dollar financing costs on the channels of Eurodollar,currency swap and currency market.The success of the US dollar swap network can provide references for accelerating the RMB swap network's construction and pro-moting the internationalization of RMB.