人民幣國際化與匯率預期關系研究

——基于SV-TVP-VAR模型^[1]

董晨君 滕建州 劉志蛟^[2]

摘要：基于人民幣國際化、匯率和匯率預期理論機制分析，運用VAR模型和隨機波動時變參數向量自回歸模型實證分析2005年12月至2017年3月人民幣國際化、匯率和匯率預期之間的聯動關系。研究結果表明：在平均水平上人民幣匯率、匯率預期和人民幣國際化之間存在同向影響關系，但在金融危機以前，匯率預期對人民幣國際化影響為負。研究結果還表明：人民幣國際化和匯率對匯率預期的正向影響較為穩定，且短期影響最大；人民幣匯率在短期對人民幣國際化有較大的正向作用，但中長期會逐步衰減；匯率預期對人民幣國際化的正向影響具有持久性，且隨著時間推移逐步增強。在匯率預期管理過程中，應重視即期匯率的短期作用，兼顧人民幣國際化影響；而在推進人民幣國際化過程中，應加強匯率預期管理。

關鍵詞：人民幣國際化 匯率預期 匯率 時變參數向量自回歸模型

中圖分類號：F832.6 文獻標識碼：A

The Study of Relationship between RMB Internationalization and Exchange Rate Expectation

——Based on SV-TVP-VAR Model

Dong Chenjun Teng Jianzhou Liu Zhijiao

Abstract：Based on the theoretical analysis of RMB internationalization，exchange rate and exchange rate expectation，this paper uses the VAR model and the stochastic volatility time-varying parameter vector autoregressive model to empirically analyze the linkage among RMB internationalization，exchange rate and exchange rate expectation from December 2005 to March 2017. The result shows that，there is a same direction relationship between RMB exchange rate，exchange rate expectation and internationalization of RMB on average. But before the financial crisis，the exchange rate expectation has a negative effect on RMB internationalization. The result also shows that，the positive impact of RMB internationalization and exchange rate on exchange rate expectation is stable，and the short-term impact is the largest. The RMB exchange rate has a positive effect on the internationalization of the RMB in the short term，but it will gradually decline in the medium and long term. The positive impact of exchange rate expectations on RMB internationalization is persistent，and increases gradually with time. In the process of exchange rate expectation management，we should pay attention to the short-term effect of spot exchange rate at first，then the influence of RMB internationalization should be taken into account. When promoting RMB internationalization，we should focus on exchange rate expectation management.

Keywords：RMB Internationalization　Exchange Rate　Expectation Exchange Rate　TVP-VAR Model