人民币在“一带一路”货币圈影响力分析
——信息溢出效应及其作用渠道

摘要/Abstract

摘要： 本文运用溢出指数方法，定量测度了人民币与“一带一路”沿线主要货币汇率之间的溢出效应及其动态演化，并采用系统GMM方法，探究人民币汇率净溢出效应的作用渠道。研究发现：近年来人民币与“一带一路”沿线主要货币汇率之间的溢出效应在波动中有所提高，随着“一带一路”倡议的深入实施，人民币汇率净溢出效应逐步提升，在该区域的影响力逐渐增强。在“一带一路”区域内，人民币在亚洲和非洲地区的影响力较强，且对阿联酋迪拉姆和安哥拉宽扎的净溢出效应已超过欧元、英镑和日元等主要国际货币。在净溢出效应的作用渠道方面，“一带一路”国家对中国贸易附加值依存度对其有利，而人民币汇率市场化改革、第三方市场贸易竞争、全球商品价格指数和全球风险指数却对其不利。因此，应加强中国在“一带一路”区域价值链的主导能力和商品竞争能力，加速推动“一带一路”区域内的离岸人民币金融市场建设，加强人民币汇率的区域性风险管理。

关键词: 人民币汇率, 一带一路, 区域影响力, 溢出效应

Abstract: The paper uses spillover index method to quantitatively measure exchange rate spillover effect and its dynamic evolution between the RMB and the main currencies along the “Belt and Road”,and uses the method of systematic GMM to explore the channels of the net spillover effect of the RMB exchange rate.The study found that: in recent years, exchange rate spillover effect between RMB and the main currencies along the “Belt and Road” has increased in the fluctuation. With the in-depth implementation of the “Belt and Road” initiative, the net spillover effect of the RMB exchange rate has gradually increased, and its influence in the region has gradually increased.In the “Belt and Road” area, the RMB has strong influence in Asia and Africa, and the net spillover effect on the United Arab Emirates d′am and Angola Kwanza has exceeded the major international currencies such as the euro, the pound and the yen.In terms of the channel of the net spillover effect, the “Belt and Road” countries benefit from China′s trade value added ratio, while the RMB exchange rate market reform, the third party market trade competition, the global commodity price index and the global risk index are not good for them.Therefore, China should strengthen the leading capacity and commodity competitiveness of China′s “Belt and Road” regional value chain, accelerate the construction of offshore RMB financial market in the “Belt and Road” area, and strengthen the regional risk management of RMB exchange rate.

Key words: RMB exchange rate;“Belt and Road”；regional influence, spillover effect

张莹莹. 人民币在“一带一路”货币圈影响力分析 ——信息溢出效应及其作用渠道 [J]. 商业研究.

ZHANG Ying-ying . An Analysis of RMB′s Influence in the “Belt and Road” Currency Circle: Information Spillover Effect and Its Channel of Action [J]. 商业研究.

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人民币在“一带一路”货币圈影响力分析 ——信息溢出效应及其作用渠道

An Analysis of RMB′s Influence in the “Belt and Road” Currency Circle: Information Spillover Effect and Its Channel of Action

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