人民币汇率与RCEP国家货币汇率联动及其成因——基于马尔科夫区制转换模型的实证分析

The Facts and Causes of Co-Movements between RMB and RCEP Economies Foreign Exchanges——An Empirical Study Based on Markov Regime-Switching Models

本文将我国推进人民币国际化进程与境外自贸区建设相结合,从人民币汇率的区域影响力角度研究人民币的国际化地位。通过两区制FTP-MS和TVTP-MS马尔科夫区制转换模型,实证分析人民币汇率与RCEP区域10个目标经济体货币汇率间的联动关系。实证研究发现:人民币汇率不仅影响RCEP区域内新兴经济体货币汇率的波动,还会在一定程度上影响新西兰等发达经济体货币汇率的波动,且人民币汇率对这些货币汇率的影响具有明显的时变性区制转换特征。本文建议,我国政府应充分发掘RCEP红利空间,积极支持人民币在RCEP区域内发挥融资货币、结算货币和储备货币作用,成为该区域的“货币锚”,并在亚太区域经济一体化过程中进一步推动人民币国际化进程。

Summary:Against the background of China's promotion of RMB Internationalization and Free Trade Agreement,this paper studies the regional impact of CNY on the foreigm exchange rates of 1O RCEP economies.The empirical study is based on two-regime Markov regime switching models,FTP-MS and TVTP-MS specifically.It's found that RMB affects not only the fluctuation of the foreigm exchange rates of Asian emerging economies within the RCEP region,but also some currencies of developed economies such as NZD.Besides,the asymmetric impact of RMB on RCEP currencies shows significant time-varying regime-switching characteristics.The empirical results suggest that the Chinese government should fully exploit the"dividends"of RCEP and actively promote a bigger role of RMB as a key currency of financing,settlement and reserve within the RCEP so that RMB can become the foreigm exchange anchor currency over the region.Moreover,the process of RMB Internationalization could also be promoted in the process of Asia-Pacific economic integration.