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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99490


    Title: 誰在乎人民幣?
    Authors: 黃志典
    Keywords: 人民幣;東亞貨幣;權重推估法;綜合推估法
    Renminbi;East Asian currencies;Weight-inference approach;Flexibility-inference approach
    Date: 2013-12
    Issue Date: 2016-07-25 13:48:42 (UTC+8)
    Abstract: 由於中國在世界經濟上的影響力與日俱增，加上中國政府近年來積極推動人民幣國際化的政策，人民幣是否能成為主要國際貨幣已經成為世人矚目的焦點。本文目的在探討人民幣在東亞匯率關係中所扮演的角色，藉由「權重推估法」（weight-inference approach）與結合「權重推估法」與「匯率浮動程度推估法」（flexibility-inference approach）之「綜合推估法」（thesynthesized approach），以2005年7月24日到2012年4月30日的日資料、週資料及月資料進行實證分析，並對實證結果進行一系列的穩固性檢定，包括迴歸結果的穩定性檢定、剔除離群值（outliers）的影響、使用「拔靴法／自助法」（bootstrap method）進行5,000次重覆抽樣並重新進行迴歸、使用不同的計價標準（numeraire）、使用不同期間的樣本、取消通貨籃內定錨貨幣的權重總和等於1 的限制、使用週平均匯率與月平均匯率重新進行估計，以確認本文的實證發現與結論是否可信。 本文實證結果顯示，美元在東亞地區仍然位居主導地位。先前研究這個議題的論文幾乎都使用日資料進行分析，並得出中國在2005 年7 月21 日實施匯率改革之後，人民幣對東亞地區的匯率已經有舉足輕重的影響，在東亞地區成為僅次於美元的國際貨幣的結論。本文發現，以日資料進行分析，人民幣對東亞地區的匯率影響確實相當可觀，但是一旦使用週資料進行分析，人民幣對東亞地區的匯率影響力其實相當小，如果使用月資料進行分析，人民幣則毫無影響力。本文研究結果顯示人民幣對東亞匯率的影響力相當有限，除了在極短期之外，人民幣對東亞的匯率決定並沒有扮演重要的角色。本文的發現與既有文獻截然不同，基於正文解釋的兩個理由，本文的發現應該比較合理與可信。人民幣成為主要國際貨幣的潛力誠然相當可觀，但是現在還很難看到人民幣影響東亞匯率關係的痕跡。
    The growing importance of the Chinese economy, coupled with the policy initiatives taken by the Chinese government to internationalize the Chinese renminbi, has raised the possibility of a rise of the renminbi as an international currency. Built on the weight-inference approach and a synthesis of the weight-inference and flexibility-inference approaches, this paper investigates the role of the Chinese renminbi in the exchange rate arrangements in East Asia. Daily, weekly and monthly exchange rate data from July 24, 2005 to April 30, 2012 are used for empirical analysis. To sharpen our estimation results, we have done extensive robustness checks: the CUSUM test of the least-square residuals is employed to check if the estimated coefficients are stable; outliers are identified using the studentized residuals（RStudent）and models are re-estimated excluding the outliers; models are re-estimated using moving-block bootstrap method with 5,000 repetitions; models are re-estimated using alternative numeraire; models are re-estimated using contiguous data; models are re-estimated without imposing the adding up constraint on the weights of the anchor currencies in the currency basket; models are re-estimated using weekly average and monthly average data. Our results reaffirm the dominant position of the US dollar in East Asia. In sharp contrast to the results reported in previous studies using daily data, we find that the Chinese renminbi has little influence on the exchange rate movements of East Asian currencies when weekly data are used for analysis and does not have significant weighting for any of the East Asian currencies when monthly data are used. Our results indicate that beyond the very short term, the renminbi does not play a significant role in the exchange rate determination in East Asia. Compared with previous studies, our findings are more reasonable in view of the reasons detailed in the preceding text. There is no doubt that the Chinese renminbi has tremendous potential to become a major international currency, yet its footprint on the exchange rate arrangements in East Asia can hardly be seen now.
    Relation: 中國大陸研究, 56(4), 67-96
    Data Type: article
    Appears in Collections:[中國大陸研究 TSSCI] 期刊論文

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