摘要
选取2005年7月21日至2020年11月20日人民币以及"一带一路"沿线22个国家货币的日度汇率数据,通过构建VAR-MVGARCH-BEKK模型,分两阶段检验人民币汇率对"一带一路"沿线主要国家的货币汇率产生的波动溢出效应。研究结果表明:从两时期的估计结果可以看到,从"一带一路"倡议提出后,人民币汇率与"一带一路"沿线国家货币汇率之间的均值溢出性以及波动溢出性均有明显的增加。可见,"一带一路"倡议显著提升了人民币在区域范围内的使用效率和活力。据此,我国应进一步完善汇率市场政策体系,加强离岸市场建设,深化与"一带一路"沿线国家的货币金融合作,创新人民币使用方式与流通途径。
This paper selects the daily exchange rate data of the RMB and 23 countries along the"Belt and Road"initiative from July 21,2005 to November 20,2020 to construct a VAR-MVGARCH-BEKK model in two stages and examine the RMB exchange rate against the exchange rates of major countries along"Belt and Road"initiative in the volatility spillover effect. The research results show that: from the estimation results of the two periods,it can be seen that since the"Belt and Road"initiative was put forward,the mean spillover effect and volatility spillover effect between the RMB exchange rate and the exchange rates of countries along the"Belt and Road"initiative have increased significantly. It can be seen that the "Belt and Road"initiative has significantly improved the efficiency and vitality of the use of RMB in the region. In response to this conclusion,this paper puts forward four countermeasures,including improving the exchange rate market policy system,strengthening the construction of offshore markets,further deepening monetary and financial cooperation with countries along the "Belt and Road"initiative,and innovating the usage and circulation of RMB.
作者
杜婕
安明玉
DU Jie;AN Ming-yu
出处
《吉林大学社会科学学报》
CSSCI
北大核心
2021年第4期69-80,235,共13页
Jilin University Journal Social Sciences Edition
