经济政策不确定性、人民币互换与国际股票市场稳定

Economic Policy Uncertainty,RMB Swap Agreements and International Stock Market Stability

近年来中国积极与多个国家签订人民币互换协议,这对推动国际金融合作、促进全球金融稳定发展具有重要意义。研究发现,人民币互换协议的签订可以缓解全球经济政策不确定性对国际股票市场的冲击。作用机制检验显示,人民币互换对经济政策不确定性国际溢出效应的调节作用至少有一部分是通过汇率波动中介机制发挥作用的。拓展性分析发现,经济政策不确定性越高,股票市场波动越大,而人民币互换协议的签订可以缓解经济政策不确定性的国际溢出效应。进一步研究发现,人民币互换协议的调节作用具有非对称性,在经济政策不确定性较高时更强,而且这一调节效应在发展中国家中更大。上述结论为人民币互换在全球金融治理中发挥的积极作用提供了实证支持。

With the increasing complexity of international situation and the frequent occurrence of black swan events,global economic policy uncertainty has been rising,leading to significant shocks in the international capital markets.In order to promote international cooperation and financial stability,China has been committed to a win-win strategy to forge a new type of international relationship featuring mutual respect,fairness and justice,and win-win cooperation.As regards currency cooperation,by the end of 2020,the People’s Bank of China had signed bilateral currency swap agreements worth of 3.99 trillion yuan with the central bank or monetary authorities of 40 countries and regions.During the period of economic policy uncertainty,it is highly significant to contribute Chinese wisdom and power to the improvement of global financial governance by answering the question of whether and how RMB swap agreements can promote the stability of international capital markets.RMB has become the world’s largest currency swap circle.However,most studies on RMB swap agreements mainly focus on promoting the development of international trade and speeding up the process of RMB internationalization,and there lacks evidences about the impacts of RMB swap agreements on the international spillover effects of economic policy uncertainty.By shedding spotlight on global equity markets,this paper examines whether RMB swap agreements are effective in mitigating the shocks of global economic policy uncertainty on the international equity markets.The conclusions of this paper are as follows.First,rising global economic policy uncertainty can cause substantially high international volatility in the global stock markets,while RMB swap agreements can effectively mitigate the negative impacts of global economic policy uncertainty shocks on the international stock markets,and such adjustment is robust to alternative measures,different specifications and reduced samples.Second,the decline of the real effective exchange rate volatility is one possible channel through which RMB swap agreements can work.Third,there exist asymmetrical adjustments of RMB swap agreements under different levels of economic policy uncertainty,which becomes more pronounced under a high level of economic policy uncertainty.Forth,heterogeneity analysis shows that the effect of the adjustment is particularly pronounced in subsamples with developing countries,African countries and Europe countries.This paper makes a significant contribution to the existing literature as follows.Previous studies mainly focus on the measurement of economic policy uncertainty and its spillover effects on the global markets,while ignoring the role of monetary cooperation in preventing instability of the international financial markets.This paper answers the question of the effect of RMB swap agreements on the international equity market stability under economic policy uncertainty,which enriches the literature on not only the influence of economic policy uncertainty and countermeasures,but also the role of bilateral currency swap agreements.In addition,our findings have important policy implications.As increasing RMB swap agreements plays a significant role in promoting international capital market stability under a high level of economic policy uncertainty,all economies,especially emerging markets,should sign currency swap agreements more actively in order to stabilize exchange rate,reduce international capital market volatility,and enhance bilateral economic cooperation.At the same time,China can continue to expand the scope of RMB swap agreements and improve relevant rules,including a larger maximum size and longer validity.In addition,it is important for China to steadily push forward the process of RMB internationalization,create a global partnership on connectivity,build a community of shared future for the mankind,and strengthen China’s contribution to the reform of the global governance system.