摘要
本文通过文献梳理,以1999年第一季度至2012年第二季度的面板数据(美、欧、日、英)为样本,应用非线性面板平滑转换回归(PSTR)模型对国际货币的影响因子进行研究。在众多的影响因子中,那些体现内在结构的因子,诸如网络外部性、经济增长和净出口(以下简称"三因子")对其货币国际化程度具有非线性的影响,这种非线性特征源于自身的内生性并且在影响国际货币占比时出现在高低两种不同的体制(惯性区间),随着三因子规模的变动,在两种体制之间进行平滑转换,这也为未来新进入的国际货币创造了切入机会。
As pointed out by Chinn M （2012）, there exists a nonlinear relationship between affecting factors and the ratio of international currencies when they became major ones. In the inertia zone they will take turns to go up and down. Similar to the literature survey, this study finds the factors such as network externality, economic growth and net export （three components） exert a great impact on the formulation of the international currencies by Panel Smooth Transition Regression （PSTR） based on the panel data （US Dollar, Euro, Yen and Pound Sterling） between 1999 Q1 and 2012Q2. Among many factors, only these three components are endowed with nonlinearity due to their endogenous structures. The nonlinear dynamics originated from their endogeneity affect the ratio of international currencies worldwide. The feature accounts for the changes of regimes high and low respectively to the inertia of the currencies, whieh switch smoothly within the regimes together with momentum of network externality and economic scale. The result will shed light on the new comers in their approach to become international currencies.
出处
《国际金融研究》
CSSCI
北大核心
2014年第12期35-46,共12页
Studies of International Finance
基金
国家自然科学基金委管理科学部主任基金2013年第5期应急研究项目(71341047)
2013年度上海市社科规划课题"从计价货币角度看人民币国际化问题"
上海财经大学研究生科研创新基金(项目编号:CXJJ-2013-318)资助
关键词
国际货币影响因子
PSTR
非线性
Factors in Formulating International Currency
PSTR
Nonlinearity
