货币国际化、金融结构与币值稳定
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摘要
本文以1980—2016年世界主要国际货币为研究对象,从对内币值和对外币值两个层面探究了货币国际化对币值稳定的影响及其机制。研究结果表明:货币国际化对于币值稳定的影响存在阈值效应,但对于对内币值稳定与对外币值稳定的影响却存在差异;在货币国际化的过程中,银行业规模越大的国家,其币值波动也越大;相对于银行主导型金融系统,市场主导型金融系统能更好地缓和货币国际化所带来的外部冲击,从而缓和币值波动。进一步的实证研究表明,市场主导型金融系统之所以能缓和币值波动,是因为资本市场高流动性,而不是更大的规模。此外,基于上述研究结论,本文为人民币国际化提供了若干政策建议。
This article takes the major international currencies of the world economy from 1980 to 2016 as the research object, and explores the influence of currency internationalization on the stability of the currency and its mechanism from two aspects of domestic currency and real foreign currency stability. The results show that, the effect of currency internationalization on the stability of currency value has a threshold effect, but there is a difference in the effects on the stability of domestic currency and the real foreign currency. In the process of currency internationalization, the larger the size of the banking industry, the greater its currency fluctuations. Compared with the bank-led financial system, the market-oriented financial system can better mitigate the external shocks brought about by the internationalization of the currency and thus easing the currency fluctuations. Further empirical research shows that the market-oriented financial system can ease the currency fluctuations because of the high liquidity of the capital market, not the larger scale.
This article takes the major international currencies of the world economy from 1980 to 2016 as the research object, and explores the influence of currency internationalization on the stability of the currency and its mechanism from two aspects of domestic currency and real foreign currency stability. The results show that, the effect of currency internationalization on the stability of currency value has a threshold effect, but there is a difference in the effects on the stability of domestic currency and the real foreign currency. In the process of currency internationalization, the larger the size of the banking industry, the greater its currency fluctuations. Compared with the bank-led financial system, the market-oriented financial system can better mitigate the external shocks brought about by the internationalization of the currency and thus easing the currency fluctuations. Further empirical research shows that the market-oriented financial system can ease the currency fluctuations because of the high liquidity of the capital market, not the larger scale.
引文
[1]戴金平,黎艳,刘东坡.汇率波动对世界经济的影响[J].国际金融研究, 2017(5):46-55
[2]何金旗,张瑞.人民币国际化、汇率波动与货币政策互动关系研究[J].审计与经济研究, 2016(3):120-129
[3]胡琨.国际金融危机背景下欧洲金融结构的转型——走向银行与资本市场并重均衡的欧洲金融体系[J].欧洲研究, 2017(4):18-36
[4]李稻葵,刘霖林.人民币国际化:计量研究及政策分析[J].金融研究, 2008:1-16
[5]李丽玲,王曦.资本账户开放、汇率波动与经济增长:国际经验与启示[J].国际金融研究, 2016(11):24-35
[6]沙文兵,刘红忠.人民币国际化、汇率变动与汇率预期[J].国际金融研究, 2014(8):10-18
[7]宿玉海,刘璐,刘春宏.人民币国际化条件下货币政策困境[J].经济与管理评论, 2017(4):102-111
[8]王晓燕.货币国际化的综合影响分析——兼谈人民币国际化启示[J].西南金融, 2013(4):15-18
[9]王雪,胡未名,杨海生.汇率波动与我国双边出口贸易:存在第三国汇率效应吗?[J].金融研究, 2016(7):1-16
[10]王哲,邾立涛.人民币国际化背景下的商业银行经营环境及应对策略分析[J].财政研究, 2012(12):53-55
[11]杨涛,张萌.汇率波动与货币国际化——基于美元、欧元、日元与英镑的实证分析[J].经济问题探索, 2017(6):145-153
[12]张璟,刘晓辉.金融结构与固定汇率制度:来自新兴市场的假说和证据[J].世界经济, 2015(10):3-29
[13] Ahmed F, Wang S, Lago I M Y, Maziad S, Segal S, Farahmand P, Das U. Internationalization of Emerging Market Currencies:A Balance between Risks and Rewards[C]. IMF Staff Discussion Notes, 2016(17):2-26
[14] Allen F, Gale D. Comparing Financial Systems[M]. Cambridge:MIT Press, 2001
[15] Chinn M D, Ito H. A New Measure of Financial Openness[J]. Journal of Comparative Policy Analysis Research&Practice, 2008(3):309-322
[16] Cohen B J. The Benefits and Costs of an International Currency:Getting the Calculus Right[J]. Open Economies Review, 2012(1):13-31
[17] Edwards S. Capital Controls, Capital Flow Contractions, and Macroeconomic Vulnerability[J]. Journal of International Money&Finance, 2007(5):814-840
[18] Frankel J. Internationalization of the RMB and Historical Precedents[J]. Journal of Economic Integration, 2012(3):329-365
[19] Ganguly S, Breuer J B. Nominal Exchange Rate Volatility, Relative Price Volatility, and the Real Exchange Rate[J]. Journal of International Money and Finance, 2010(5):840-856
[20] Ilzetzki E, Reinhart C M, Rogoff K S. The Country Chronologies to Exchange Rate Arrangements into the 21st Century:Will the Anchor Currency Hold?[R]. Nber Working Papers, 2017(23135):2-134
[21] Ito T. The Internationalization of the RMB:Opportunities and Pitfalls[J]. International Economic Review, 2012(2):129-132
[22] Levine R. Bank-Based or Market-Based Financial Systems:Which Is Better?[J]. Journal of Financial Intermediation,2002(4):398-428
[23] Lim E G. The Euro's Challenge to the Dollar:Different Views from Economists and Evidence from COFER and Other Data[R]. IMF Working Papers, 2006(153)
[24] Martin F E. Exchange Rate Regimes and Current Account Adjustment:An Empirical Investigation[J]. Journal of International Money&Finance, 2016(65):69-93
[25] Obstfeld M, Rogoff K. Risk and Exchange Rates[J]. General Information, 1998:39-50
[26] Papaioannou E, Portes R. Costs and Benefits of Running an International Currency[R]. Directorate General Economic and Financial Affairs, European Commission Economic Papers, 2008(11):1-93
[27] Porta R L, Lopez-De-Silanes F, Shleifer A. The Economic Consequences of Legal Origins[J]. Journal of Economic Literature, 2008(2):285-332
[28] Véron N, Wolff G B. Capital Markets Union:A Vision for the Long Term[J]. Journal of Financial Regulation, 2016(2):130-153
(1)以往文献往往从Kenen(1983)的货币三大职能出发,以国际储备份额代表货币的储藏功能,以国际债券储备代表货币的记账单位功能,以外汇交易份额代表货币的支付手段功能(Kenen,2003;李稻葵和刘霖林,2008)。但是对于外汇交易储备,BIS每隔3年才会提供一次数据,数据缺失较大,样本较小,影响回归的可靠性和一致性,故本文在回归中并未使用货币的外汇交易份额代表货币国际化程度。
(1)需要说明的是,除了结构-活动指标和结构-规模指标,Levine(2002)还选择了结构-效率指标,但在世界银行全球金融发展数据库中该指标数据缺失较多,故本文仅选择使用结构-活动指标和结构-规模指标。
(2)考虑到银行业发展指标可能存在的内生性问题,在回归中使用滞后一期的银行业发展指标为解释变量,并在稳健性检验的两阶段最小二乘估计中,以滞后两期的银行业发展指标为工具变量。
(3)由于样本区间从1980年开始,多个国家前期数据缺失严重,故与Stephanie et al.(2013)相同,我们以出口额/进口额代替贸易条件指数。
(1)http://web.pdx.edu/~ito/Chinn-Ito_website.htm.
(1)限于篇幅,稳健性检验结果未列示。
[2]何金旗,张瑞.人民币国际化、汇率波动与货币政策互动关系研究[J].审计与经济研究, 2016(3):120-129
[3]胡琨.国际金融危机背景下欧洲金融结构的转型——走向银行与资本市场并重均衡的欧洲金融体系[J].欧洲研究, 2017(4):18-36
[4]李稻葵,刘霖林.人民币国际化:计量研究及政策分析[J].金融研究, 2008:1-16
[5]李丽玲,王曦.资本账户开放、汇率波动与经济增长:国际经验与启示[J].国际金融研究, 2016(11):24-35
[6]沙文兵,刘红忠.人民币国际化、汇率变动与汇率预期[J].国际金融研究, 2014(8):10-18
[7]宿玉海,刘璐,刘春宏.人民币国际化条件下货币政策困境[J].经济与管理评论, 2017(4):102-111
[8]王晓燕.货币国际化的综合影响分析——兼谈人民币国际化启示[J].西南金融, 2013(4):15-18
[9]王雪,胡未名,杨海生.汇率波动与我国双边出口贸易:存在第三国汇率效应吗?[J].金融研究, 2016(7):1-16
[10]王哲,邾立涛.人民币国际化背景下的商业银行经营环境及应对策略分析[J].财政研究, 2012(12):53-55
[11]杨涛,张萌.汇率波动与货币国际化——基于美元、欧元、日元与英镑的实证分析[J].经济问题探索, 2017(6):145-153
[12]张璟,刘晓辉.金融结构与固定汇率制度:来自新兴市场的假说和证据[J].世界经济, 2015(10):3-29
[13] Ahmed F, Wang S, Lago I M Y, Maziad S, Segal S, Farahmand P, Das U. Internationalization of Emerging Market Currencies:A Balance between Risks and Rewards[C]. IMF Staff Discussion Notes, 2016(17):2-26
[14] Allen F, Gale D. Comparing Financial Systems[M]. Cambridge:MIT Press, 2001
[15] Chinn M D, Ito H. A New Measure of Financial Openness[J]. Journal of Comparative Policy Analysis Research&Practice, 2008(3):309-322
[16] Cohen B J. The Benefits and Costs of an International Currency:Getting the Calculus Right[J]. Open Economies Review, 2012(1):13-31
[17] Edwards S. Capital Controls, Capital Flow Contractions, and Macroeconomic Vulnerability[J]. Journal of International Money&Finance, 2007(5):814-840
[18] Frankel J. Internationalization of the RMB and Historical Precedents[J]. Journal of Economic Integration, 2012(3):329-365
[19] Ganguly S, Breuer J B. Nominal Exchange Rate Volatility, Relative Price Volatility, and the Real Exchange Rate[J]. Journal of International Money and Finance, 2010(5):840-856
[20] Ilzetzki E, Reinhart C M, Rogoff K S. The Country Chronologies to Exchange Rate Arrangements into the 21st Century:Will the Anchor Currency Hold?[R]. Nber Working Papers, 2017(23135):2-134
[21] Ito T. The Internationalization of the RMB:Opportunities and Pitfalls[J]. International Economic Review, 2012(2):129-132
[22] Levine R. Bank-Based or Market-Based Financial Systems:Which Is Better?[J]. Journal of Financial Intermediation,2002(4):398-428
[23] Lim E G. The Euro's Challenge to the Dollar:Different Views from Economists and Evidence from COFER and Other Data[R]. IMF Working Papers, 2006(153)
[24] Martin F E. Exchange Rate Regimes and Current Account Adjustment:An Empirical Investigation[J]. Journal of International Money&Finance, 2016(65):69-93
[25] Obstfeld M, Rogoff K. Risk and Exchange Rates[J]. General Information, 1998:39-50
[26] Papaioannou E, Portes R. Costs and Benefits of Running an International Currency[R]. Directorate General Economic and Financial Affairs, European Commission Economic Papers, 2008(11):1-93
[27] Porta R L, Lopez-De-Silanes F, Shleifer A. The Economic Consequences of Legal Origins[J]. Journal of Economic Literature, 2008(2):285-332
[28] Véron N, Wolff G B. Capital Markets Union:A Vision for the Long Term[J]. Journal of Financial Regulation, 2016(2):130-153
(1)以往文献往往从Kenen(1983)的货币三大职能出发,以国际储备份额代表货币的储藏功能,以国际债券储备代表货币的记账单位功能,以外汇交易份额代表货币的支付手段功能(Kenen,2003;李稻葵和刘霖林,2008)。但是对于外汇交易储备,BIS每隔3年才会提供一次数据,数据缺失较大,样本较小,影响回归的可靠性和一致性,故本文在回归中并未使用货币的外汇交易份额代表货币国际化程度。
(1)需要说明的是,除了结构-活动指标和结构-规模指标,Levine(2002)还选择了结构-效率指标,但在世界银行全球金融发展数据库中该指标数据缺失较多,故本文仅选择使用结构-活动指标和结构-规模指标。
(2)考虑到银行业发展指标可能存在的内生性问题,在回归中使用滞后一期的银行业发展指标为解释变量,并在稳健性检验的两阶段最小二乘估计中,以滞后两期的银行业发展指标为工具变量。
(3)由于样本区间从1980年开始,多个国家前期数据缺失严重,故与Stephanie et al.(2013)相同,我们以出口额/进口额代替贸易条件指数。
(1)http://web.pdx.edu/~ito/Chinn-Ito_website.htm.
(1)限于篇幅,稳健性检验结果未列示。