基于汇率联动视角的东亚人民币板块研究

发布时间：2018-10-09 11:33

【摘要】：2007年美国房地产次贷危机引发的金融风暴席卷全球，美元自布雷顿森林体系崩溃后首度遭遇到前所未有的信任危机。从欧洲到拉美，再到亚洲，，全球刮起一股“去美元化”的旋风，各国纷纷采取措施减少国际经济贸易和投资等领域对美元的依赖。全球性金融危机充分反映了美元本位隐含的矛盾和问题，有迹象表明美元本位正逐渐走向衰落。危机以后，一种新的世界秩序正在出现，其重心逐渐向中国倾斜，而人民币的国际化是其中的关键力量。近年来，人民币区域化的进程不断加速，人民币在东亚的地位日益凸显，东亚或已形成了人民币板块。本文首先从美元霸权、货币替代、原罪论和浮动恐惧论四个方面对东亚美元本位进行理论分析；其次，深度剖析东亚美元本位走向衰落的缘由，以及东亚人民币板块崛起原因；然后，实证分析东亚人民币板块的状况。实证结果表明：第一，“人民币板块”正稳步崛起。从联动分析结果来看，韩元、林吉特、菲律宾比索、新加坡元、泰铢和台币与人民币汇率高度相关，并且它们之间也具有较高的相关度。从波动溢出效应分析结果来看，二次汇改后，人民币与韩元、菲律宾比索、台币和越南盾之间存在双向波动溢出效应；人民币对港币和新加坡元存在单向波动溢出效应。从东亚货币篮子权重分析结果来看，二次汇改后，剔除美元影响后的人民币汇率对港币、印尼盾、韩元、林吉特、新加坡元和台币影响显著；在不考虑美元影响的情况下，人民币汇率对9个东亚货币的影响均是显著的。第二，东亚仍旧是一个强势美元区。从东亚货币篮子中美元权重来看，美元仍占有绝对的优势地位，2008年全球性金融危机的爆发对美元在东亚的地位削弱有限。第三，人民币在东亚地位显著提升，东亚俨然已形成了美元、欧元和人民币“三足鼎立”之势。人民币对美元汇率已是东亚货币汇率的重要参考，可以预计的是，人民币在东亚将发挥更为重要的作用，甚至是发挥亚洲支柱货币作用。最后，本文结合前人的研究成果以及当前的国际经济形势，对人民币区域化、国际化以及人民币参与区域货币金融合作提出相应的政策建议。
[Abstract]:In 2007, the financial turmoil triggered by the U.S. real estate subprime mortgage crisis swept the world, and the dollar experienced an unprecedented crisis of trust for the first time since the collapse of the Bretton Woods system. From Europe to Latin America to Asia, there has been a whirlwind of de-dollarization, with countries taking steps to reduce their dependence on the dollar in areas such as international economic, trade and investment. The global financial crisis fully reflects the contradictions and problems implied by the dollar standard, and there are signs that the dollar standard is gradually declining. After the crisis, a new world order is emerging, with its focus gradually tilting towards China, in which the internationalization of the yuan is a key force. In recent years, the process of RMB regionalization has been accelerating, and the status of RMB in East Asia has become increasingly prominent, and the RMB plate may have formed in East Asia. Firstly, this paper makes a theoretical analysis of the East Asian dollar standard from four aspects: the hegemony of US dollar, the substitution of currency, the theory of original sin and the theory of floating fear, and secondly, deeply analyzes the reasons for the decline of the US dollar standard in East Asia and the rise of the RMB plate in East Asia. Then, the empirical analysis of the situation of the East Asian RMB plate. The empirical results show that: first, the RMB plate is rising steadily. According to the linkage analysis, the Korean won, ringgit, Philippine peso, Singapore dollar, Thai baht and Taiwan dollar are highly correlated with the RMB exchange rate, and there is also a high correlation between them. From the analysis of volatility spillover effect, it can be seen that there are two-way volatility spillover effects between RMB and Korean won, Philippine peso, Taiwan dollar and Vietnamese dollar, and one-way volatility spillover effect between RMB and Hong Kong dollar and Singapore dollar after the second exchange rate reform. From the results of the weight analysis of the East Asian currency basket, after the second exchange rate reform, the RMB exchange rate, after excluding the influence of the US dollar, had a significant impact on the Hong Kong dollar, the Indian rupiah, the Korean won, the ringgit, the Singapore dollar and the Taiwan dollar; without considering the impact of the US dollar, The impact of RMB exchange rate on 9 East Asian currencies is significant. Second, East Asia remains a strong dollar zone. In terms of the dollar's weight in the East Asian basket, the dollar remains overwhelmingly dominant, and the 2008 global financial crisis weakened the dollar's position in East Asia. Third, the renminbi's status in East Asia has risen significantly, with the dollar, the euro and the renminbi in a "three-pronged" position. The yuan against the dollar is already an important reference for East Asian currencies, and it can be expected that the yuan will play a more important role in East Asia, even as a pillar currency in Asia. Finally, based on the previous research results and the current international economic situation, this paper puts forward corresponding policy recommendations on RMB regionalization, internationalization and the participation of RMB in regional monetary and financial cooperation.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F823.1

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