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    题名: 人民幣國際化程度與前景的實證分析
    Empirical study on the degree and prospect of renminbi internationalization
    作者: 王國臣
    Wang, Guo Chen
    贡献者: 童振源
    Tung, Chen Yuan
    王國臣
    Wang, Guo Chen
    关键词: 人民幣國際化
    主成分分析
    動態追蹤資料模型
    發生機率
    Renminbi Internationalization
    principal component analyses
    dynamic panel data model
    odds ratio
    日期: 2011
    上传时间: 2012-10-30 10:23:03 (UTC+8)
    摘要: 人民幣是否可能成為另一個重要的國際貨幣,甚至挑戰美元的國際地位?此即本論文的問題意識。對此,本論文進一步提出三個研究問題:一是如何測量當前的人民幣國際化程度?二是如何測量當前的人民幣資本開放程度?三是資本開放對於人民幣國際化程度的影響為何?
    為此,本研究利用主成分分析(PCA),以建構人民幣國際化程度(CIDI)與人民幣資本帳開放程度(CAOI)。其次再利用動態追蹤資料模型──系統一般動差估計法(SGMM),以檢證各項人民幣綜合競爭力對於貨幣國際化程度的影響。最後,本研究進一步梳理人民幣資本帳開放的進程,並結合上述所有實證分析的結果,進而預估漸進資本開放下人民幣國際化的前景。研究對象包括人民幣在內的33種國際貨幣,研究時間則起自1999年歐元成立,迄於2009年。
    本論文的發現三:一是,當前人民幣國際化程度進展相當快速。但截至2009年年底,人民幣國際化程度還很低,遠落後於美元、歐元、日圓,以及英鎊等主要國際貨幣。不僅如此,人民幣國際化程度也遜於俄羅斯盧布、巴西里拉,以及印度盧比等開發中國家所發行的貨幣。
    二是,過去10年來,人民幣資本帳開放程度不升反降,截至2009年年底,人民幣的資本帳開放程度維持在零,這表示:人民幣是世界上管制最為嚴格的貨幣。相對而言,美元、歐元、日圓,以及英鎊的資本帳開放程度至少都在70%以上,特別是英鎊的資本帳開放程度更趨近於完全開放。
    三是,根據SGMM的實證結果顯示,網路外部性、經濟規模、金融市場規模、貨幣穩定度,以及資本開放程度都是影響貨幣國際化程度的關鍵因素。在此基礎上,本研究利用發生機率(odds ratio),以計算不同資本開放情境下,人民幣成為前10大國際貨幣的可能性。結果顯示,如果人民幣的資本帳開放到73%左右,人民幣便可擠進前10大國際貨幣(發生機率為65.6%)。
    不過,這只是最為保守的估計。原因有二:一是,隨者中國經濟實力的崛起,以及人民幣預期升值的脈絡下,國際市場對於人民幣的需求原本就很高。此時,人民幣資本帳如果能適時開放,則人民幣的國際持有將大幅增加。換言之,本研究沒有考量到,各貨幣競爭力因素與資本開放程度之間的加乘效果。
    二是,資本開放不僅直接對貨幣國際化程度產生影響,也會透過擴大金融市場規模與網路外部性等其他貨幣競爭力因素,間接對貨幣國際化程度造成影響。這間接效果,本研究也沒有考量到。因此,可以預期的是,只要人民幣資本帳能夠漸進開放,人民幣國際化的前景將比本研究所預估的高出許多。
    This paper discusses whether the Renminbi (RMB) will become an international currency, even challenging to the U.S. dollar. In order to examine above question, this paper take the following three steps:
    1. By using principal component analyses (PCA), this paper constructs two indices: currency internationalization degree index (CIDI) and capital account liberalization degree index (CAOI);
    2. By using dynamic panel data model-system generalized method of moment (SGMM), this paper analyzes factors affect the CIDI, including economic and trade size, financial system, network externalities, confidence in the currency’s value, and CAOI;
    3. According to the PCA and SGMM results, this paper calculates the odds ratio of RMB becoming important international currency.
    The reserch achieved the following results. First, the degree of internationalization of the RMB progress very fast, but the RMB CIDI is still very low, its CIDI far behinds the dollar, euro, Japanese yen, and pounds.
    Second, over the past 10 years, RMB CAOI is not increased but decreased. Its CAOI is at zero in 2009, this means that: the RMB is the most stringent controls in the world currency. In contrast, U.S. dollars, euros, yen, and pound CAOI are at least in more than 70%.
    Third, according to the SGMM results, economic size, financial system, network externalities, confidence in the currency’s value, and CAOI are key factors affect the CIDI. Based on this output, this paper forecasted that if the RMB CAOI is open to about 73%, RMB could be squeezed into the top 10 of the international currency. (The odds ratio is 65.6%)
    It is noteworthy that this is only the lowest estimates. This is because that this paper did not consider the interaction effects of each currency competitiveness factors and CAOI. Therefore, if RMB CAOI continues open, the prospect of RMB CIDI is much higher than estimated by this paper.
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