摘要
本研究运用网络分析的计量模型构造了G20经济体货币汇率间相互影响的动态网络,并从网络重要性这一新的角度构造了人民币国际影响力指数,指数衡量了人民币汇率带动其它货币汇率同向变动的能力.2005年汇改以来,人民币的国际影响力越来越大.这一方面得益于人民币的市场化改革和人民币汇率的相对稳定,另一方面也得益于中国不断增长的对外贸易、投资以及较高的利差.
With an innovative network approach,this study presents strong evidence of CNY's growing influence in the global monetary system.We identify networks of exchange rate spillovers and examine time-varying spillover intensities among CNY and other currencies of G20 countries.Shocks from CNY,the onshore CNY exchange rate,generate intensifying net spillovers since China initiated market reforms in 2005.Further analysis shows that market-oriented reforms and stability of CNY exchange rate is an important driving force of its growing importance.Moreover,international trade,outward investment and interest rate are important economic sources of increasing CNY spillover effect.
作者
周颖刚
程欣
王艺明
ZHOU Ying-gang;CHENG Xin;WANG Yi-ming(Center for Macroeconomic Research of Xiamen University,Xiamen 361005,China;Key Laboratory of econometrics(Xiamen University),Ministry of Education,Xiamen 361005,China;The School of Economics,Xiamen University,Xiamen 361005,China;The Wang Yanan Institute for Studies in Economics,Xiamen University,Xiamen 361005,China)
出处
《管理科学学报》
CSSCI
CSCD
北大核心
2019年第9期12-38,共27页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(71871195
71988101)
教育部人文社会科学研究规划资助项目(8YJA790121)
中央高校基本科研业务费专项资金资助项目(20720171002)
关键词
人民币汇率
溢出效应
金融网络
向量自回归
广义脉冲响应
CNY exchange rate
spillover effect
financial network
vector auto-regression
generalized impulse response