人民币的避险属性——趋势性特征与影响因素

Renminbi as a Safe-haven Currency:Characteristics and Influencing Factors

本文使用2010年7月至2022年9月二十国集团(G20)的汇率数据和全球风险指标数据,构建门限回归模型考察人民币的避险属性,并检验人民币避险属性的影响因素。实证结果表明:在全球风险指数急剧上升的时期,人民币对英镑、新兴市场经济体货币指数、除美元外G20货币指数都呈现出显著的避险属性;国家风险水平、金融开放程度、债券市场流动性和跨境资本套利是影响人民币避险属性的关键因素。推动国民经济实现高质量发展、保持稳定适度的外汇储备、丰富人民币计价金融产品、审慎推进资本账户开放、增强人民币在“一带一路”国家的影响力等举措将有利于巩固和提升人民币的避险属性。

This paper uses a threshold regression model to investigate whether the Renminbi is a safe-haven currency and focuses on what influencing factors facilitate the Renminbi to become a safe haven.The sample spans from July 2010 to September 2022.The empirical results show that during the high-global-risk period,the Renminbi has become a safe-haven currency against the British pound,the currency index of emerging market economies,and the G20 currency index except the US dollar.Further analysis shows that the country's risk,degree of financial openness,bond market liquidity,and cross-border capital arbitrage are the key factors affecting the safe-haven properties of the Renminbi.This paper proposes that promoting the high-quality development of the national economy,maintaining a stable and moderate foreign exchange reserve,enriching RMB-denominated financial products,prudently promoting the opening of capital account,promoting the integration of offshore and onshore RMB,and strengthening the influence of RMB in the countries along the“Belt and Road”will be more productive to the improvement of RMB security.