利率對國際鑄幣稅的影響
發(fā)布時間：2018-12-11 15:21
【摘要】：隨著人民幣于2016年10月1日正式加入SDR一籃子貨幣,并占據(jù)其中10.92%的份額,人民幣國際化進程也取得了質(zhì)的飛躍,步入了新的階段。人民幣自此獲得了更多的國際認可,可以在更大程度上直接進行交易而無須匯兌,這對于我國的國際鑄幣稅有著不可小覷的影響。同時,隨著我國利率市場化的改革逐漸深入,利率的浮動頻率較以往更加頻繁,利率作為貨幣的機會成本也對我國的金融經(jīng)濟發(fā)揮了越來越重要的作用。由此本文提出了一個問題:利率對國際鑄幣稅是否能夠產(chǎn)生影響以及產(chǎn)生怎樣的影響呢?因此,本文的研究目的和意義就在于通過分析對于一種國際貨幣,利率變動對一國的國際鑄幣稅的影響,從而更加地了解當我國金融市場上的利率發(fā)生波動時,我國的國際鑄幣稅的可能變化方向。尤其是人民幣成為了一種國際貨幣后,對這種影響的分析就更加的有實際意義。以往對于鑄幣稅的研究大多集中于分析通脹率、貨幣量的影響,很少涉及利率因素。本文創(chuàng)新地使用了 COFER數(shù)據(jù)作為國際鑄幣稅的代理變量,以被儲備國的角度從定性到定量地研究利率水平對一國的國際鑄幣稅是否產(chǎn)生影響以及產(chǎn)生怎樣的影響。本文對國際鑄幣稅的定義為一國憑借國際地位發(fā)行儲備貨幣并為他國所持有,從而幾乎無償?shù)卣加兴麌漠a(chǎn)品和資源所獲得的經(jīng)濟利益。在假設(shè)遠期匯率合約的價格總是與人們預(yù)期的未來即期匯率相同的情況下,利用無拋補利率平價理論,我們認為在利率上升時,匯率在未來會下降,從而通過經(jīng)常賬戶減少國際鑄幣稅。另外,通過資本賬戶,利率也應(yīng)當產(chǎn)生同樣的負向影響。為了進一步明確這一影響,本文利用費雪方程式推斷利率對國際鑄幣稅的影響應(yīng)該是負向的。如今IMF定義的官方外匯儲備貨幣有七中,包括美元、歐元、英鎊、日元、瑞士法郎、澳大利亞美元和加拿大美元,本文選取了前五種作為研究對象,研究其在2001年到2015年間共計60個季度中,LIBOR三個月利率的每季度平均值對各國國際鑄幣稅也就是COFER數(shù)據(jù)給出的各自的被儲備量的影響。實證分析中,經(jīng)過面板校正標準誤得出利率滯后項系數(shù)顯著為負。另外,取對數(shù)后的模型經(jīng)過全面FGLS分析以及原模型利用變系數(shù)模型也都得出了相同的結(jié)論,即每種貨幣的利率滯后項系數(shù)均顯著為負值,也就是說當期利率的提高會導致下一期國際鑄幣稅的減少,反之亦然。
[Abstract]:With the renminbi formally joining the SDR basket of currencies on October 1, 2016, and accounting for 10.92 percent of the currency, the internationalization of the renminbi has also made a qualitative leap into a new stage. Since then, the RMB has gained more international recognition, allowing it to trade more directly without exchange, which has a significant impact on China's international seigniorage. At the same time, with the deepening reform of interest rate marketization, the floating frequency of interest rate is more frequent than before, and the opportunity cost of interest rate as currency has played an increasingly important role in China's financial economy. This paper raises a question: can interest rate have an impact on international seigniorage and what kind of impact? Therefore, the purpose and significance of this paper is to analyze the impact of interest rate changes on a country's international seigniorage for an international currency, so as to better understand when interest rates fluctuate in China's financial markets. The possible change direction of international seigniorage in China. Especially the RMB has become an international currency, the analysis of this impact is more meaningful. Previous researches on seigniorage mostly focused on the analysis of inflation rate and the influence of monetary quantity. This paper innovatively uses COFER data as the proxy variable of international seigniorage and studies whether and how the interest rate level affects a country's international seigniorage from the perspective of reserve country. In this paper, the international seigniorage is defined as the economic benefit that a country issues a reserve currency by virtue of its international status and is held by other countries, thus almost free of charge of the products and resources of other countries. On the assumption that the price of forward exchange rate contracts is always the same as the expected future spot exchange rate, using the no-subsidy interest rate parity theory, we think that when interest rates rise, the exchange rate will fall in the future. Thus reducing international seigniorage through the current account. In addition, through the capital account, interest rates should also have the same negative impact. In order to further clarify this effect, this paper uses Fisher's equation to infer that the influence of interest rate on international seigniorage should be negative. There are now seven of the official foreign exchange reserve currencies defined by the IMF, including the US dollar, the euro, the pound, the yen, the Swiss franc, the Australian dollar and the Canadian dollar. To study the impact of the quarterly average of LIBOR three-month interest rates on the international seigniorage of countries, the amount of reserves given by the COFER data, for a total of 60 quarters between 2001 and 2015. In the empirical analysis, the coefficient of interest rate lag is significantly negative through panel correction criteria. In addition, the logarithmic model has been analyzed by FGLS and the original model has obtained the same conclusion by using the variable coefficient model, that is, the coefficient of interest rate lag term of each currency is significantly negative. In other words, the increase in current interest rates will lead to a reduction in the next international seigniorage, and vice versa.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.6
[Abstract]:With the renminbi formally joining the SDR basket of currencies on October 1, 2016, and accounting for 10.92 percent of the currency, the internationalization of the renminbi has also made a qualitative leap into a new stage. Since then, the RMB has gained more international recognition, allowing it to trade more directly without exchange, which has a significant impact on China's international seigniorage. At the same time, with the deepening reform of interest rate marketization, the floating frequency of interest rate is more frequent than before, and the opportunity cost of interest rate as currency has played an increasingly important role in China's financial economy. This paper raises a question: can interest rate have an impact on international seigniorage and what kind of impact? Therefore, the purpose and significance of this paper is to analyze the impact of interest rate changes on a country's international seigniorage for an international currency, so as to better understand when interest rates fluctuate in China's financial markets. The possible change direction of international seigniorage in China. Especially the RMB has become an international currency, the analysis of this impact is more meaningful. Previous researches on seigniorage mostly focused on the analysis of inflation rate and the influence of monetary quantity. This paper innovatively uses COFER data as the proxy variable of international seigniorage and studies whether and how the interest rate level affects a country's international seigniorage from the perspective of reserve country. In this paper, the international seigniorage is defined as the economic benefit that a country issues a reserve currency by virtue of its international status and is held by other countries, thus almost free of charge of the products and resources of other countries. On the assumption that the price of forward exchange rate contracts is always the same as the expected future spot exchange rate, using the no-subsidy interest rate parity theory, we think that when interest rates rise, the exchange rate will fall in the future. Thus reducing international seigniorage through the current account. In addition, through the capital account, interest rates should also have the same negative impact. In order to further clarify this effect, this paper uses Fisher's equation to infer that the influence of interest rate on international seigniorage should be negative. There are now seven of the official foreign exchange reserve currencies defined by the IMF, including the US dollar, the euro, the pound, the yen, the Swiss franc, the Australian dollar and the Canadian dollar. To study the impact of the quarterly average of LIBOR three-month interest rates on the international seigniorage of countries, the amount of reserves given by the COFER data, for a total of 60 quarters between 2001 and 2015. In the empirical analysis, the coefficient of interest rate lag is significantly negative through panel correction criteria. In addition, the logarithmic model has been analyzed by FGLS and the original model has obtained the same conclusion by using the variable coefficient model, that is, the coefficient of interest rate lag term of each currency is significantly negative. In other words, the increase in current interest rates will lead to a reduction in the next international seigniorage, and vice versa.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.6
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