人民币跨境流通对中国货币政策影响的经验研究
|
摘要
在运用两阶段间接估算法对2010年以来人民币境外存量进行估算的基础上,首先通过脉冲响应分析和方差分解,分析了人民币境外存量变化对中国数量型货币政策的影响;其次,通过广义矩估计,分析了人民币跨境流量变化对中国价格型货币政策的影响。实证结果显示:人民币境外存量的增加会引起国内外利差小幅变化,还会使国内M_2长久性增加;人民币跨境流动的净流向与国内利率呈现弱的负相关关系,但并不显著。因此,货币当局应完善人民币境外流通监测体系,在制定货币政策时适时考虑人民币跨境活动对国内货币环境和金融风险的额外影响,有效调控境内外市场的资本管制力度的差异,加大境外人民币的有效投资渠道,发展人民币离岸市场。
In this paper, two-stage indirect estimation method is used to estimate the overseas stock of RMB since 2010, and based on this, pulse impact and variance analysis are conducted to analyze the impact of the change of the overseas stock of RMB on China's quantitative monetary policy. Then, generalized method of moments is used to analyze the impact of RMB cross-border circulation change on the price-based monetary policy. The empirical results show that the increase of RMB overseas stock will lead to small changes in the interest rate spread between domestic and foreign market, and the long-term increase of M_2 in China. A weak negative correlation between the net flow of RMB cross-border activity and domestic interest rates can be found, but it is not significant. Therefore, monetary authority should strengthen the monitoring system of overseas RMB circulation, and take the additional impact of RMB cross-border activities on domestic monetary conditions and financial risk into consideration when setting monetary policies. The difference of capital control between the domestic and offshore market should be controlled effectively, and the channels of offshore RMB investment should be expanded while developing RMB offshore market.
In this paper, two-stage indirect estimation method is used to estimate the overseas stock of RMB since 2010, and based on this, pulse impact and variance analysis are conducted to analyze the impact of the change of the overseas stock of RMB on China's quantitative monetary policy. Then, generalized method of moments is used to analyze the impact of RMB cross-border circulation change on the price-based monetary policy. The empirical results show that the increase of RMB overseas stock will lead to small changes in the interest rate spread between domestic and foreign market, and the long-term increase of M_2 in China. A weak negative correlation between the net flow of RMB cross-border activity and domestic interest rates can be found, but it is not significant. Therefore, monetary authority should strengthen the monitoring system of overseas RMB circulation, and take the additional impact of RMB cross-border activities on domestic monetary conditions and financial risk into consideration when setting monetary policies. The difference of capital control between the domestic and offshore market should be controlled effectively, and the channels of offshore RMB investment should be expanded while developing RMB offshore market.
引文
[1] 张明,何帆.人民币国际化进程中在岸离岸套利现象研究[J].国际金融研究,2012,(10):47-54.
[2] 朱孟楠,张雪鹿.境内外人民币汇率差异的原因研究[J].国际金融研究,2015,(5):87-96.
[3] Funke M.,Shu C.,Cheng X.and Eraslan S.Assessing the CNH–CNY Pricing Differential:Role of Fundamentals,Contagion and Policy[J].Journal of International Money and Finance,2015,37(6):245-262.
[4] 严兵,张禹,刘娜.人民币离岸与在岸汇率差异及其波动研究[J].世界经济研究,2017,(5):12-27.
[5] 郭敏,贾君怡.人民币外汇市场稳定性管理——基于内地与香港人民币汇率价差的视角[J].国际贸易问题,2016,(1):155-165.
[6] 王书朦.汇率预期波动视角下境外人民币需求动态变化——基于离岸人民币市场的研究[J].国际金融研究,2016,(11):66-75.
[7] 陈丽,甄峰.香港离岸与在岸人民币套汇问题研究[J].国际金融研究,2017,(1):89-96.
[8] Zhang M.,Zhang B.The Boom and Bust of the RMB's Internationalization:A Perspective from Cross-Border Arbitrage [J].Asian Economic Policy Review,2017,12(2):256-257.
[9] 李婧,吴远远,赵啟麟.人民币在岸市场与香港离岸市场汇率溢出效应和联动机制研究:“8.11”汇改前后的比较[J].世界经济研究,2017,(9):13-24.
[10] 马宇,张莉娜.人民币离岸与在岸汇率关联性及风险溢出研究——基于Copula-GARCH-CoVaR方法[J].云南财经大学学报,2018,(4):70-81.
[11] 郑晓亚,陈华.人民币境外需求的测算与决定因素研究——基于需求函数与非线性方法的实证分析[J].云南财经大学学报,2018,(8):54-64.
[12] 李婧,管涛,何帆.人民币跨境流通的现状及对中国经济的影响[J].管理世界,2004,(9):45-52.
[13] 蒋万进,阮健弘,张文红.人民币现金跨境流动调查[J].中国金融,2004,(6):38-39.
[14] 钟伟.人民币在周边国家流通的现状、问题及对策[J].管理世界,2008,(1):165-166.
[15] Porter R.D.,Judson R.A.The Location of U.S.Currency:How Much is Abroad [J].Federal Reserve Bulletin,1996,82(Oct):883-903.
[16] Chan,K.S.,Currency Substitution between the Hong Kong Dollar and the RMB in South China [J].Pacific Economic Review,2002,(7):37-55.
[17] Cheung,K.Y.,Fan,C.S.,Currency Substitution:The Use of Hong Kong Dollars in Southern China[J].Journal of Economic Integration,2002,17,(3):596-607.
[18] 徐奇渊,刘力臻.香港人民币存量估计:M1口径的考察[J].世界经济,2006,(9):49-57.
[19] 巴曙松,严敏.人民币现金境外需求规模的间接测算研究:1999～2008[J].上海经济研究,2010,(1):19-25.
[20] 陶士贵,叶亚飞.人民币境外存量的估算及其对我国货币供给量的影响[J].财贸经济,2013,(9):67-75.
[21] 宋芳秀,刘芮睿.人民币境外存量的估算及其影响因素分析[J].世界经济研究,2016,(6):12-21.
[22] Gao H.Internationalization of the Renminbi and Its Implications for Monetary Policy[M].Currency internationalization:International Experiences and Implications for the Renminbi,Basingstoke:Palgrave Macmillan,2010:209-219.
[23] 徐奇渊,何帆.人民币国际化对国内宏观经济的影响——基于人民币跨境结算渠道的分析[J].广东社会科学,2012,(4):29-37.
[24] He D.,McCauley R.N.Offshore Markets for the Domestic Currency:Monetary and Financial Stability Issues[R].BIS Working Papers,2010,53(1002):301-337.
[25] 马骏.人民币离岸市场与资本项目开放[J].金融发展评论,2012,(4):1-41.
[26] 伍戈,杨凝.人民币跨境流动与离岸市场货币创造:兼议对我国货币政策的影响[J].比较,2015,(4):35-45.
[27] 沙文兵,童文俊.人民币境外存量与汇率互动关系研究——基于2004—2012年季度数据的实证分析[J].世界经济研究,2014,(2):10-15.
[28] 王芳,甘静芸,钱宗鑫,何青.央行如何实现汇率政策目标——基于在岸-离岸人民币汇率联动的研究[J].金融研究,2016,(4):34-49.
[29] Kawai M.,Liu L.G.Trilemma Challenges for the People's Republic of China[J].Social Science Electronic Publishing,2015,(1):49-89.
[30] 严佳佳,郭春松,黄欣.人民币境外存量对我国货币供应量的影响研究[J].国际金融研究,2017,(7):76-85.
[31] 胡再勇.我国货币政策自主性的实证研究[J].当代财经,2010,(1):48-57.
[32] Clarida R.,Gal J,Gertler M.Monetary Policy Rules in Practice-New Research in Macroeconomics [J].European Economic Review,1998,(42):1033-1067.
(1)2015年一季度前,人民银行将贸易和直接投资两个项目的人民币收付数据分开公布,自2015年二季度后将二者合并公布。
[2] 朱孟楠,张雪鹿.境内外人民币汇率差异的原因研究[J].国际金融研究,2015,(5):87-96.
[3] Funke M.,Shu C.,Cheng X.and Eraslan S.Assessing the CNH–CNY Pricing Differential:Role of Fundamentals,Contagion and Policy[J].Journal of International Money and Finance,2015,37(6):245-262.
[4] 严兵,张禹,刘娜.人民币离岸与在岸汇率差异及其波动研究[J].世界经济研究,2017,(5):12-27.
[5] 郭敏,贾君怡.人民币外汇市场稳定性管理——基于内地与香港人民币汇率价差的视角[J].国际贸易问题,2016,(1):155-165.
[6] 王书朦.汇率预期波动视角下境外人民币需求动态变化——基于离岸人民币市场的研究[J].国际金融研究,2016,(11):66-75.
[7] 陈丽,甄峰.香港离岸与在岸人民币套汇问题研究[J].国际金融研究,2017,(1):89-96.
[8] Zhang M.,Zhang B.The Boom and Bust of the RMB's Internationalization:A Perspective from Cross-Border Arbitrage [J].Asian Economic Policy Review,2017,12(2):256-257.
[9] 李婧,吴远远,赵啟麟.人民币在岸市场与香港离岸市场汇率溢出效应和联动机制研究:“8.11”汇改前后的比较[J].世界经济研究,2017,(9):13-24.
[10] 马宇,张莉娜.人民币离岸与在岸汇率关联性及风险溢出研究——基于Copula-GARCH-CoVaR方法[J].云南财经大学学报,2018,(4):70-81.
[11] 郑晓亚,陈华.人民币境外需求的测算与决定因素研究——基于需求函数与非线性方法的实证分析[J].云南财经大学学报,2018,(8):54-64.
[12] 李婧,管涛,何帆.人民币跨境流通的现状及对中国经济的影响[J].管理世界,2004,(9):45-52.
[13] 蒋万进,阮健弘,张文红.人民币现金跨境流动调查[J].中国金融,2004,(6):38-39.
[14] 钟伟.人民币在周边国家流通的现状、问题及对策[J].管理世界,2008,(1):165-166.
[15] Porter R.D.,Judson R.A.The Location of U.S.Currency:How Much is Abroad [J].Federal Reserve Bulletin,1996,82(Oct):883-903.
[16] Chan,K.S.,Currency Substitution between the Hong Kong Dollar and the RMB in South China [J].Pacific Economic Review,2002,(7):37-55.
[17] Cheung,K.Y.,Fan,C.S.,Currency Substitution:The Use of Hong Kong Dollars in Southern China[J].Journal of Economic Integration,2002,17,(3):596-607.
[18] 徐奇渊,刘力臻.香港人民币存量估计:M1口径的考察[J].世界经济,2006,(9):49-57.
[19] 巴曙松,严敏.人民币现金境外需求规模的间接测算研究:1999～2008[J].上海经济研究,2010,(1):19-25.
[20] 陶士贵,叶亚飞.人民币境外存量的估算及其对我国货币供给量的影响[J].财贸经济,2013,(9):67-75.
[21] 宋芳秀,刘芮睿.人民币境外存量的估算及其影响因素分析[J].世界经济研究,2016,(6):12-21.
[22] Gao H.Internationalization of the Renminbi and Its Implications for Monetary Policy[M].Currency internationalization:International Experiences and Implications for the Renminbi,Basingstoke:Palgrave Macmillan,2010:209-219.
[23] 徐奇渊,何帆.人民币国际化对国内宏观经济的影响——基于人民币跨境结算渠道的分析[J].广东社会科学,2012,(4):29-37.
[24] He D.,McCauley R.N.Offshore Markets for the Domestic Currency:Monetary and Financial Stability Issues[R].BIS Working Papers,2010,53(1002):301-337.
[25] 马骏.人民币离岸市场与资本项目开放[J].金融发展评论,2012,(4):1-41.
[26] 伍戈,杨凝.人民币跨境流动与离岸市场货币创造:兼议对我国货币政策的影响[J].比较,2015,(4):35-45.
[27] 沙文兵,童文俊.人民币境外存量与汇率互动关系研究——基于2004—2012年季度数据的实证分析[J].世界经济研究,2014,(2):10-15.
[28] 王芳,甘静芸,钱宗鑫,何青.央行如何实现汇率政策目标——基于在岸-离岸人民币汇率联动的研究[J].金融研究,2016,(4):34-49.
[29] Kawai M.,Liu L.G.Trilemma Challenges for the People's Republic of China[J].Social Science Electronic Publishing,2015,(1):49-89.
[30] 严佳佳,郭春松,黄欣.人民币境外存量对我国货币供应量的影响研究[J].国际金融研究,2017,(7):76-85.
[31] 胡再勇.我国货币政策自主性的实证研究[J].当代财经,2010,(1):48-57.
[32] Clarida R.,Gal J,Gertler M.Monetary Policy Rules in Practice-New Research in Macroeconomics [J].European Economic Review,1998,(42):1033-1067.
(1)2015年一季度前,人民银行将贸易和直接投资两个项目的人民币收付数据分开公布,自2015年二季度后将二者合并公布。