基于匯率聯(lián)動視角的東亞人民幣板塊研究
發(fā)布時間：2018-10-09 11:33
【摘要】：2007年美國房地產(chǎn)次貸危機引發(fā)的金融風(fēng)暴席卷全球，美元自布雷頓森林體系崩潰后首度遭遇到前所未有的信任危機。從歐洲到拉美，再到亞洲，，全球刮起一股“去美元化”的旋風(fēng)，各國紛紛采取措施減少國際經(jīng)濟貿(mào)易和投資等領(lǐng)域?qū)γ涝囊蕾�。全球性金融危機充分反映了美元本位隱含的矛盾和問題，有跡象表明美元本位正逐漸走向衰落。危機以后，一種新的世界秩序正在出現(xiàn)，其重心逐漸向中國傾斜，而人民幣的國際化是其中的關(guān)鍵力量。近年來，人民幣區(qū)域化的進程不斷加速，人民幣在東亞的地位日益凸顯，東亞或已形成了人民幣板塊。 本文首先從美元霸權(quán)、貨幣替代、原罪論和浮動恐懼論四個方面對東亞美元本位進行理論分析；其次，深度剖析東亞美元本位走向衰落的緣由，以及東亞人民幣板塊崛起原因；然后，實證分析東亞人民幣板塊的狀況。實證結(jié)果表明：第一，“人民幣板塊”正穩(wěn)步崛起。從聯(lián)動分析結(jié)果來看，韓元、林吉特、菲律賓比索、新加坡元、泰銖和臺幣與人民幣匯率高度相關(guān)，并且它們之間也具有較高的相關(guān)度。從波動溢出效應(yīng)分析結(jié)果來看，二次匯改后，人民幣與韓元、菲律賓比索、臺幣和越南盾之間存在雙向波動溢出效應(yīng)；人民幣對港幣和新加坡元存在單向波動溢出效應(yīng)。從東亞貨幣籃子權(quán)重分析結(jié)果來看，二次匯改后，剔除美元影響后的人民幣匯率對港幣、印尼盾、韓元、林吉特、新加坡元和臺幣影響顯著；在不考慮美元影響的情況下，人民幣匯率對9個東亞貨幣的影響均是顯著的。第二，東亞仍舊是一個強勢美元區(qū)。從東亞貨幣籃子中美元權(quán)重來看，美元仍占有絕對的優(yōu)勢地位，2008年全球性金融危機的爆發(fā)對美元在東亞的地位削弱有限。第三，人民幣在東亞地位顯著提升，東亞儼然已形成了美元、歐元和人民幣“三足鼎立”之勢。人民幣對美元匯率已是東亞貨幣匯率的重要參考，可以預(yù)計的是，人民幣在東亞將發(fā)揮更為重要的作用，甚至是發(fā)揮亞洲支柱貨幣作用。 最后，本文結(jié)合前人的研究成果以及當(dāng)前的國際經(jīng)濟形勢，對人民幣區(qū)域化、國際化以及人民幣參與區(qū)域貨幣金融合作提出相應(yīng)的政策建議。
[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.
【學(xué)位授予單位】：廣東財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F823.1
本文編號：2259191
[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.
【學(xué)位授予單位】：廣東財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F823.1
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