本文關鍵詞： 兩岸四地 人民幣周邊化 貨幣錨效應 VAR-GARCH-BEKK模型 匯率聯(lián)動　出處：《金融經濟學研究》2017年04期 　論文類型：期刊論文

【摘要】：“一帶一路”倡議下人民幣周邊化、區(qū)域化已成為推動人民幣國際化的必由之路,而在中國大陸與香港、澳門、臺灣(1)之間推進人民幣周邊化則是人民幣區(qū)域化的優(yōu)先選擇。運用貨幣錨效應模型和VAR-GARCH-BEKK模型,使用2005年7月21日至2017年6月9日之間的人民幣匯率日數(shù)據(jù)分四個階段實證檢驗人民幣在港澳臺“錨貨幣”選擇中的影響程度和人民幣與港澳臺貨幣匯率的聯(lián)動性及持續(xù)性。貨幣錨效應模型的估計結果表明人民幣已成為港澳臺貨幣匯率波動中重要的“隱性錨”;VAR-GARCH-BEKK模型估計結果表明美元仍然是影響港澳臺匯率波動的最重要因素,人民幣周邊化的經濟基礎受到人民幣匯改以及人民幣與美元之間強弱關系的影響�，F(xiàn)階段應將推進兩岸四地人民幣周邊化作為人民幣區(qū)域化的本地戰(zhàn)略加以實施,可考慮先行啟動港澳地區(qū)的貨幣單一化進程,并等待臺灣政治形勢發(fā)生變化后擇機逐漸將臺灣納入到“人民幣區(qū)”范圍內。
[Abstract]:Under the proposal of "Belt and Road", RMB circumference and regionalization have become the only way to promote the internationalization of RMB. In mainland China, Hong Kong, Macao, The promotion of RMB circumference between Taiwan and Taiwan is the preferred choice for RMB regionalization. The monetary anchor effect model and the VAR-GARCH-BEKK model are used. Using the daily data of RMB exchange rate from July 21st 2005 to June 9th 2017, this paper empirically examines the influence of RMB on the choice of "anchor currency" between Hong Kong, Macao and Taiwan and the linkage between RMB and currency exchange rate of Hong Kong, Macao and Taiwan. The estimated results of the currency anchor effect model show that the RMB has become an important "hidden anchor" in the fluctuation of Hong Kong, Macao and Taiwan currency exchange rate. The result of the VAR-GARCH-BEKK model indicates that the US dollar is still the most important factor affecting the exchange rate fluctuation of Hong Kong, Macao and Taiwan. The economic base of RMB circumference is affected by the RMB exchange rate reform and the relationship between the strength of RMB and the US dollar. At this stage, it should be implemented as a local strategy of promoting the RMB periphery of the four places of the two sides of the Taiwan Strait as a regionalization of the renminbi. We may consider starting the process of currency unitization in Hong Kong and Macao, and waiting for Taiwan's political situation to change and gradually bring Taiwan into the "RMB zone".
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本文編號：1528123