人民币国际化与汇率预期关系研究

——基于SV-TVP-VAR模型^[1]

董晨君 滕建州 刘志蛟^[2]

摘要：基于人民币国际化、汇率和汇率预期理论机制分析，运用VAR模型和随机波动时变参数向量自回归模型实证分析2005年12月至2017年3月人民币国际化、汇率和汇率预期之间的联动关系。研究结果表明：在平均水平上人民币汇率、汇率预期和人民币国际化之间存在同向影响关系，但在金融危机以前，汇率预期对人民币国际化影响为负。研究结果还表明：人民币国际化和汇率对汇率预期的正向影响较为稳定，且短期影响最大；人民币汇率在短期对人民币国际化有较大的正向作用，但中长期会逐步衰减；汇率预期对人民币国际化的正向影响具有持久性，且随着时间推移逐步增强。在汇率预期管理过程中，应重视即期汇率的短期作用，兼顾人民币国际化影响；而在推进人民币国际化过程中，应加强汇率预期管理。

关键词：人民币国际化 汇率预期 汇率 时变参数向量自回归模型

中图分类号：F832.6 文献标识码：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