利率对国际铸币税的影响
发布时间：2018-12-11 15:21
【摘要】：随着人民币于2016年10月1日正式加入SDR一篮子货币,并占据其中10.92%的份额,人民币国际化进程也取得了质的飞跃,步入了新的阶段。人民币自此获得了更多的国际认可,可以在更大程度上直接进行交易而无须汇兑,这对于我国的国际铸币税有着不可小觑的影响。同时,随着我国利率市场化的改革逐渐深入,利率的浮动频率较以往更加频繁,利率作为货币的机会成本也对我国的金融经济发挥了越来越重要的作用。由此本文提出了一个问题:利率对国际铸币税是否能够产生影响以及产生怎样的影响呢?因此,本文的研究目的和意义就在于通过分析对于一种国际货币,利率变动对一国的国际铸币税的影响,从而更加地了解当我国金融市场上的利率发生波动时,我国的国际铸币税的可能变化方向。尤其是人民币成为了一种国际货币后,对这种影响的分析就更加的有实际意义。以往对于铸币税的研究大多集中于分析通胀率、货币量的影响,很少涉及利率因素。本文创新地使用了 COFER数据作为国际铸币税的代理变量,以被储备国的角度从定性到定量地研究利率水平对一国的国际铸币税是否产生影响以及产生怎样的影响。本文对国际铸币税的定义为一国凭借国际地位发行储备货币并为他国所持有,从而几乎无偿地占有他国的产品和资源所获得的经济利益。在假设远期汇率合约的价格总是与人们预期的未来即期汇率相同的情况下,利用无抛补利率平价理论,我们认为在利率上升时,汇率在未来会下降,从而通过经常账户减少国际铸币税。另外,通过资本账户,利率也应当产生同样的负向影响。为了进一步明确这一影响,本文利用费雪方程式推断利率对国际铸币税的影响应该是负向的。如今IMF定义的官方外汇储备货币有七中,包括美元、欧元、英镑、日元、瑞士法郎、澳大利亚美元和加拿大美元,本文选取了前五种作为研究对象,研究其在2001年到2015年间共计60个季度中,LIBOR三个月利率的每季度平均值对各国国际铸币税也就是COFER数据给出的各自的被储备量的影响。实证分析中,经过面板校正标准误得出利率滞后项系数显著为负。另外,取对数后的模型经过全面FGLS分析以及原模型利用变系数模型也都得出了相同的结论,即每种货币的利率滞后项系数均显著为负值,也就是说当期利率的提高会导致下一期国际铸币税的减少,反之亦然。
[Abstract]:With the renminbi formally joining the SDR basket of currencies on October 1, 2016, and accounting for 10.92 percent of the currency, the internationalization of the renminbi has also made a qualitative leap into a new stage. Since then, the RMB has gained more international recognition, allowing it to trade more directly without exchange, which has a significant impact on China's international seigniorage. At the same time, with the deepening reform of interest rate marketization, the floating frequency of interest rate is more frequent than before, and the opportunity cost of interest rate as currency has played an increasingly important role in China's financial economy. This paper raises a question: can interest rate have an impact on international seigniorage and what kind of impact? Therefore, the purpose and significance of this paper is to analyze the impact of interest rate changes on a country's international seigniorage for an international currency, so as to better understand when interest rates fluctuate in China's financial markets. The possible change direction of international seigniorage in China. Especially the RMB has become an international currency, the analysis of this impact is more meaningful. Previous researches on seigniorage mostly focused on the analysis of inflation rate and the influence of monetary quantity. This paper innovatively uses COFER data as the proxy variable of international seigniorage and studies whether and how the interest rate level affects a country's international seigniorage from the perspective of reserve country. In this paper, the international seigniorage is defined as the economic benefit that a country issues a reserve currency by virtue of its international status and is held by other countries, thus almost free of charge of the products and resources of other countries. On the assumption that the price of forward exchange rate contracts is always the same as the expected future spot exchange rate, using the no-subsidy interest rate parity theory, we think that when interest rates rise, the exchange rate will fall in the future. Thus reducing international seigniorage through the current account. In addition, through the capital account, interest rates should also have the same negative impact. In order to further clarify this effect, this paper uses Fisher's equation to infer that the influence of interest rate on international seigniorage should be negative. There are now seven of the official foreign exchange reserve currencies defined by the IMF, including the US dollar, the euro, the pound, the yen, the Swiss franc, the Australian dollar and the Canadian dollar. To study the impact of the quarterly average of LIBOR three-month interest rates on the international seigniorage of countries, the amount of reserves given by the COFER data, for a total of 60 quarters between 2001 and 2015. In the empirical analysis, the coefficient of interest rate lag is significantly negative through panel correction criteria. In addition, the logarithmic model has been analyzed by FGLS and the original model has obtained the same conclusion by using the variable coefficient model, that is, the coefficient of interest rate lag term of each currency is significantly negative. In other words, the increase in current interest rates will lead to a reduction in the next international seigniorage, and vice versa.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6
[Abstract]:With the renminbi formally joining the SDR basket of currencies on October 1, 2016, and accounting for 10.92 percent of the currency, the internationalization of the renminbi has also made a qualitative leap into a new stage. Since then, the RMB has gained more international recognition, allowing it to trade more directly without exchange, which has a significant impact on China's international seigniorage. At the same time, with the deepening reform of interest rate marketization, the floating frequency of interest rate is more frequent than before, and the opportunity cost of interest rate as currency has played an increasingly important role in China's financial economy. This paper raises a question: can interest rate have an impact on international seigniorage and what kind of impact? Therefore, the purpose and significance of this paper is to analyze the impact of interest rate changes on a country's international seigniorage for an international currency, so as to better understand when interest rates fluctuate in China's financial markets. The possible change direction of international seigniorage in China. Especially the RMB has become an international currency, the analysis of this impact is more meaningful. Previous researches on seigniorage mostly focused on the analysis of inflation rate and the influence of monetary quantity. This paper innovatively uses COFER data as the proxy variable of international seigniorage and studies whether and how the interest rate level affects a country's international seigniorage from the perspective of reserve country. In this paper, the international seigniorage is defined as the economic benefit that a country issues a reserve currency by virtue of its international status and is held by other countries, thus almost free of charge of the products and resources of other countries. On the assumption that the price of forward exchange rate contracts is always the same as the expected future spot exchange rate, using the no-subsidy interest rate parity theory, we think that when interest rates rise, the exchange rate will fall in the future. Thus reducing international seigniorage through the current account. In addition, through the capital account, interest rates should also have the same negative impact. In order to further clarify this effect, this paper uses Fisher's equation to infer that the influence of interest rate on international seigniorage should be negative. There are now seven of the official foreign exchange reserve currencies defined by the IMF, including the US dollar, the euro, the pound, the yen, the Swiss franc, the Australian dollar and the Canadian dollar. To study the impact of the quarterly average of LIBOR three-month interest rates on the international seigniorage of countries, the amount of reserves given by the COFER data, for a total of 60 quarters between 2001 and 2015. In the empirical analysis, the coefficient of interest rate lag is significantly negative through panel correction criteria. In addition, the logarithmic model has been analyzed by FGLS and the original model has obtained the same conclusion by using the variable coefficient model, that is, the coefficient of interest rate lag term of each currency is significantly negative. In other words, the increase in current interest rates will lead to a reduction in the next international seigniorage, and vice versa.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6
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