本文選題：國(guó)際貨幣 + 慣性�。� 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：國(guó)際貨幣具有慣性的特質(zhì),如國(guó)際關(guān)鍵貨幣——美元。美元即使因貶值使得貯藏價(jià)值下降,但仍舊可以長(zhǎng)期保持其霸主的地位。因此本文旨在研究這種慣性的形成以及受到什么因素的影響,以期給人民幣國(guó)際化在政策上以啟示。本文針對(duì)國(guó)際貨幣的慣性現(xiàn)象,建立MIU的擴(kuò)展模型,在模型中引入兩種國(guó)際貨幣,分析國(guó)際關(guān)鍵貨幣慣性的形成和影響因素。理論部分發(fā)現(xiàn)國(guó)際關(guān)鍵貨幣的使用份額與其貨幣效用貢獻(xiàn)系數(shù)、本國(guó)貨幣名義利率以及對(duì)其他國(guó)際貨幣的匯率變化這三個(gè)因素相關(guān)。在此基礎(chǔ)上,估計(jì)出美元的貨幣效用貢獻(xiàn)系數(shù)在99%的置信區(qū)間下為0.64-0.66(不同估計(jì)方法略有差異),同時(shí)數(shù)值模擬發(fā)現(xiàn)美元對(duì)主要貨幣年貶值率在4%-5%時(shí),其份額仍舊可以達(dá)到50%以上,即仍能夠保持住其國(guó)際貨幣的主導(dǎo)地位。在實(shí)證方面,本文對(duì)美元及歐元區(qū)的數(shù)據(jù)進(jìn)行實(shí)證分析。本文搜集2000年-2012年美元的使用份額、美國(guó)國(guó)債收益率、美元兌歐元匯率波動(dòng)率及美國(guó)的貿(mào)易特化指數(shù)等相關(guān)季度數(shù)據(jù),對(duì)其進(jìn)行協(xié)整分析,并建立誤差修正模型。實(shí)證結(jié)果表明,美元的份額與匯率波動(dòng)有負(fù)相關(guān)關(guān)系,與貿(mào)易特化指數(shù)有正相關(guān)關(guān)系。實(shí)證第二部分對(duì)歐盟區(qū)非歐元區(qū)六國(guó)的數(shù)據(jù)進(jìn)行分析,實(shí)證結(jié)果發(fā)現(xiàn)本文的理論結(jié)論可以應(yīng)用到區(qū)域性關(guān)鍵貨幣中,歐元作為跨境結(jié)算貨幣的比例與匯率波動(dòng)和國(guó)債利差呈負(fù)相關(guān),與貿(mào)易特化指數(shù)呈正相關(guān)。通過(guò)理論及實(shí)證分析,本文認(rèn)為即使美元相對(duì)于其他主要國(guó)際貨幣保持溫和的貶值,但由于在交易媒介中更有優(yōu)勢(shì),其國(guó)際關(guān)鍵貨幣的地位還會(huì)慣性保持。歐元在區(qū)域內(nèi)為區(qū)域內(nèi)的關(guān)鍵貨幣,在區(qū)域內(nèi)歐元更具交易媒介的優(yōu)勢(shì),因此能夠保持在區(qū)域內(nèi)的優(yōu)勢(shì)地位。人民幣在國(guó)際化政策制定中,應(yīng)該考慮提升自身的效用貢獻(xiàn)額,使世界形成對(duì)人民幣的長(zhǎng)期需求,促使國(guó)際化穩(wěn)步發(fā)展。
[Abstract]:International currencies have inertia, such as the dollar, the key international currency. The dollar can remain dominant for a long time, even as its value falls as a result of depreciation. Therefore, the purpose of this paper is to study the formation of this inertia and the influence of what factors, in order to give policy implications for RMB internationalization. In this paper, an extended model of MIU is established for the inertial phenomenon of international currency. Two kinds of international currency are introduced into the model, and the formation and influence factors of inertia of international key currency are analyzed. In the theoretical part, it is found that the use share of international key currency is related to the contribution coefficient of monetary utility, the nominal interest rate of domestic currency and the exchange rate change to other international currencies. On this basis, it is estimated that the contribution factor of monetary utility of the United States dollar is 0.64-0.66 at a confidence interval of 99% (different methods vary slightly, and the numerical simulation shows that when the annual depreciation rate of the United States dollar against major currencies is between 4% and 5%, its share can still reach more than 50%. That is, still able to maintain its dominant position as an international currency. In the empirical aspect, this article carries on the empirical analysis to the dollar and the euro area data. This paper collects the relevant quarterly data such as the use share of the US dollar from 2000 to 2012, the yield of US Treasury bonds, the volatility of the exchange rate between the US dollar and the euro, and the trade specialization index of the United States, and makes a cointegration analysis of the data, and establishes an error correction model. The empirical results show that the dollar share has a negative correlation with the exchange rate fluctuation and a positive correlation with the trade specialization index. In the second part, we analyze the data of the six non-euro zone countries in the European Union. The empirical results show that the theoretical conclusions of this paper can be applied to the regional key currencies. The proportion of euro as a cross-border settlement currency is negatively correlated with exchange rate fluctuations and Treasury bond spreads, and is positively correlated with the trade specialization index. Through theoretical and empirical analysis, this paper argues that even if the dollar keeps a moderate depreciation relative to other major international currencies, its position as a key international currency will remain inertial because of its advantages in the trading medium. The euro is the key currency in the region, and the euro has the advantage of trading medium in the region, so it can maintain its dominant position in the region. In making the internationalization policy, the RMB should consider to enhance its utility contribution, make the world form the long-term demand for RMB, and promote the steady development of internationalization.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.6
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本文編號(hào)：1806582