人民币作为国际储备货币的前景分析:以韩国的需求为例

发布时间：2018-03-16 08:47

本文选题：人民币　切入点：国际储备货币　出处：《世界经济研究》2017年09期 　论文类型：期刊论文

【摘要】：文章使用附加惯性、贸易和外债约束以及带交易成本的MV-DCC-GARCH模型,求解2012年第三季度至2015年第四季度韩国央行外汇储备的最优币种结构,分析人民币成为韩国储备货币后的最优权重及其动态变化,并通过情景假设模拟人民币充当韩国储备货币的前景。研究发现:人民币占比对货币收益率的刻画方式高度敏感,在随机游走和完全预见假设下,人民币的平均最优权重分别为16.37%和10.85%,在非抛补利率平价假设下,权重降至2.49%;人民币的引入主要挤占主导性国际货币尤其是美元的份额,说明央行投资方向调整客观上会造成储备多元化;汇率波动加剧不利于人民币储备地位的稳定;人民币使用惯性的增强、跨境贸易中以人民币结算比例的提高以及以人民币计价的外债增加均能增加其份额。
[Abstract]:Using the MV-DCC-GARCH model with additional inertia, trade and foreign debt constraints and transaction costs, the optimal currency structure of the Bank of Korea's foreign exchange reserves from in the third quarter of 2012 to in the fourth quarter of 2015 is solved. This paper analyzes the optimal weight and dynamic change of RMB as Korea's reserve currency, and simulates the prospect of RMB as Korean reserve currency through scenario hypothesis. The study finds that the ratio of RMB is highly sensitive to the way of depicting the rate of return of currency. Under the assumption of random walk and full foresight, the average optimal weight of RMB is 16.37% and 10.85, respectively. Under the assumption of non-subsidy interest rate parity, the weight is reduced to 2.49.The introduction of RMB dominates the share of the dominant international currency, especially the US dollar. It shows that the adjustment of the investment direction of the central bank will objectively lead to diversification of reserves; the intensification of exchange rate fluctuations is not conducive to the stability of the reserve status of the renminbi; An increase in the renminbi settlement ratio in cross-border trade and an increase in foreign debt denominated in renminbi will increase its share.
【作者单位】：武汉大学经济与管理学院金融系;
【分类号】：F832.6

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