中国经济政策不确定性与人民币“货币锚”地位:基于MS-VAR模型的实证研究

Economic Policy Uncertainly and the Anchor Currency Status of RMB:A Markov-Switching Approach

近年来,中国所面临的内外部环境不确定性显著增加,这给人民币国际化带来了新机遇与新挑战。文章在厘清中国经济政策不确定性影响人民币“货币锚”地位的贸易和金融渠道之基础上,通过构建MS-VAR模型,实证检验了经济政策不确定性在不同区制下对人民币“货币锚”地位的非线性影响。研究发现,经济政策不确定性对人民币“货币锚”地位的影响显著,且存在时变区制差异。时变差异方面,经济政策不确定性正冲击在前期会强化人民币“货币锚”地位,但在后期会抑制人民币“货币锚”地位。区制差异方面,在高波动区制时期,政策不确定性冲击对人民币“货币锚”地位的抑制效果持续时间更长,影响程度更深;原因在于,高波动区制下的人民币汇率波动幅度更大,他国贸易条件恶化程度更严重。异质性分析证实了国际贸易结构的调节作用:在与中国双边贸易依赖度较高的地区,政策不确定性冲击在后期会强化人民币“货币锚”地位;而在与中国贸易联系较低的地区,冲击效果则相反,表现为在后期减弱人民币“货币锚”地位。

In recent years,the uncertainty of China′s internal and external environment has increased significantly,presenting new opportunities and challenges to the internationalization of RMB.Building on the clarification of trade and financial channels,this paper empirically tests the nonlinear influence of economic policy uncertainty on the currency anchor status of RMB using the MSVAR model.It is found that economic policy uncertainty(EPU)has a significant impact on the currency anchor status of RMB,and this effect varies over time and across different regimes.Regarding the time-varying effects,EPU initially strengthens the anchor status of RMB during the early stages of an impulse,but restrains it in the later stages.Meanwhile,in the regime of high volatility of EPU,the restraining effect of EPU on the RMB′s anchor status is more prolonged and has a more profound impact.This can be explained by greater fluctuations in the RMB exchange rate and a more severe deterioration in the terms of trade during periods of high EPU volatility.Moreover,the results of heterogeneity analysis confirm the moderating effect of international trade structure.In regions with high dependence on bilateral trade with China,EPU tends to strengthen the anchor status of the RMB.However,in regions with fewer trade links with China,the impact effect is the opposite.