从多本位的视角研究货币汇率指数的属性

发布时间：2018-07-04 15:32

本文选题：货币指数 + 多本位国际储备　；参考：《金融研究》2009年12期

【摘要】：当本币国际化进程加快,对其汇率指数的编制需求就会上升。JP摩根在2007年就用双边贸易权重编制了人民币指数,本研究用派氏链式指数法编制人民币汇率指数,它考虑到了多边市场的竞争因素。编制货币汇率指数的目的之一是让投资者有效地和无扭曲地掌握该货币汇率的走势。本研究试图用没有"国家符号"的黄金、石油和特别提款权三种本位测试上述两种人民币指数、美元宽指数、欧元指数和亚洲货币单位。检验发现尽管中国与美国、欧元区、日本等有相当大贸易和投资往来,但在上述指数中的影响是不同的。在欧元指数和亚洲货币单位中看不到人民币的影响。唯在美元宽指数中能看到大中华货币(人民币、新台币和港币)有较大影响。货币指数中体现了其域际属性。就如英镑与欧元指数,加拿大元、墨西哥比索与美元宽指数,韩元与人民币指数等。可见地理位置影响还是根深蒂固的。
[Abstract]:When the internationalization of the local currency accelerates, the demand for the exchange rate index will rise. JP Morgan compiled the RMB index using the bilateral trade weight in 2007. It takes into account competition in multilateral markets. One of the purposes of the currency index is to give investors an effective and undistorted grasp of the currency's movements. This study attempts to test the renminbi index, the dollar breadth index, the euro index and the Asian currency unit on the basis of gold, oil and special drawing rights without a "national symbol". The test found that although China has considerable trade and investment with the United States, the euro zone and Japan, the impact on the index is different. The impact of the renminbi is not visible in the euro index and the Asian currency unit. Only in the broad dollar index can see the greater Chinese currency (renminbi, Taiwan dollar and Hong Kong dollar) has a greater impact. Currency index embodies its interdomain attribute. For example, the pound and euro index, the Canadian dollar, the Mexican peso and the dollar wide index, the Korean won and the yuan index. It can be seen that geographical location is still deeply rooted.
【作者单位】：上海财经大学现代金融研究中心;
【基金】：国家社科基金(07BJY155) 2008年国家社会科学基金重大项目(08&ZD036)的研究成果
【分类号】：F832.6

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