基于MIU模型的国际货币惯性研究

发布时间：2018-04-26 15:23

  本文选题：国际货币 + 惯性　； 参考：《复旦大学》2014年硕士论文

【摘要】：国际货币具有惯性的特质,如国际关键货币——美元。美元即使因贬值使得贮藏价值下降,但仍旧可以长期保持其霸主的地位。因此本文旨在研究这种惯性的形成以及受到什么因素的影响,以期给人民币国际化在政策上以启示。本文针对国际货币的惯性现象,建立MIU的扩展模型,在模型中引入两种国际货币,分析国际关键货币惯性的形成和影响因素。理论部分发现国际关键货币的使用份额与其货币效用贡献系数、本国货币名义利率以及对其他国际货币的汇率变化这三个因素相关。在此基础上,估计出美元的货币效用贡献系数在99%的置信区间下为0.64-0.66(不同估计方法略有差异),同时数值模拟发现美元对主要货币年贬值率在4%-5%时,其份额仍旧可以达到50%以上,即仍能够保持住其国际货币的主导地位。在实证方面,本文对美元及欧元区的数据进行实证分析。本文搜集2000年-2012年美元的使用份额、美国国债收益率、美元兑欧元汇率波动率及美国的贸易特化指数等相关季度数据,对其进行协整分析,并建立误差修正模型。实证结果表明,美元的份额与汇率波动有负相关关系,与贸易特化指数有正相关关系。实证第二部分对欧盟区非欧元区六国的数据进行分析,实证结果发现本文的理论结论可以应用到区域性关键货币中,欧元作为跨境结算货币的比例与汇率波动和国债利差呈负相关,与贸易特化指数呈正相关。通过理论及实证分析,本文认为即使美元相对于其他主要国际货币保持温和的贬值,但由于在交易媒介中更有优势,其国际关键货币的地位还会惯性保持。欧元在区域内为区域内的关键货币,在区域内欧元更具交易媒介的优势,因此能够保持在区域内的优势地位。人民币在国际化政策制定中,应该考虑提升自身的效用贡献额,使世界形成对人民币的长期需求,促使国际化稳步发展。
[Abstract]:International currencies have inertia, such as the dollar, the key international currency. The dollar can remain dominant for a long time, even as its value falls as a result of depreciation. Therefore, the purpose of this paper is to study the formation of this inertia and the influence of what factors, in order to give policy implications for RMB internationalization. In this paper, an extended model of MIU is established for the inertial phenomenon of international currency. Two kinds of international currency are introduced into the model, and the formation and influence factors of inertia of international key currency are analyzed. In the theoretical part, it is found that the use share of international key currency is related to the contribution coefficient of monetary utility, the nominal interest rate of domestic currency and the exchange rate change to other international currencies. On this basis, it is estimated that the contribution factor of monetary utility of the United States dollar is 0.64-0.66 at a confidence interval of 99% (different methods vary slightly, and the numerical simulation shows that when the annual depreciation rate of the United States dollar against major currencies is between 4% and 5%, its share can still reach more than 50%. That is, still able to maintain its dominant position as an international currency. In the empirical aspect, this article carries on the empirical analysis to the dollar and the euro area data. This paper collects the relevant quarterly data such as the use share of the US dollar from 2000 to 2012, the yield of US Treasury bonds, the volatility of the exchange rate between the US dollar and the euro, and the trade specialization index of the United States, and makes a cointegration analysis of the data, and establishes an error correction model. The empirical results show that the dollar share has a negative correlation with the exchange rate fluctuation and a positive correlation with the trade specialization index. In the second part, we analyze the data of the six non-euro zone countries in the European Union. The empirical results show that the theoretical conclusions of this paper can be applied to the regional key currencies. The proportion of euro as a cross-border settlement currency is negatively correlated with exchange rate fluctuations and Treasury bond spreads, and is positively correlated with the trade specialization index. Through theoretical and empirical analysis, this paper argues that even if the dollar keeps a moderate depreciation relative to other major international currencies, its position as a key international currency will remain inertial because of its advantages in the trading medium. The euro is the key currency in the region, and the euro has the advantage of trading medium in the region, so it can maintain its dominant position in the region. In making the internationalization policy, the RMB should consider to enhance its utility contribution, make the world form the long-term demand for RMB, and promote the steady development of internationalization.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6
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本文编号：1806582