The international influence of the RMB onshore market: Based on modified information spillover index model

LI Hongquan, HE Minyuan, ZHOU Liang

Systems Engineering - Theory & Practice ›› 2020, Vol. 40 ›› Issue (6) : 1468-1477.

PDF(1157 KB)
中国科学院数学与系统科学研究院期刊网
PDF(1157 KB)
Systems Engineering - Theory & Practice ›› 2020, Vol. 40 ›› Issue (6) : 1468-1477. DOI: 10.12011/1000-6788-2020-0454-10

The international influence of the RMB onshore market: Based on modified information spillover index model

  • LI Hongquan1, HE Minyuan2, ZHOU Liang1
Author information +
History +

Abstract

This paper modified the Diebold & Yilmaz spillover index model by weighting method, and used this model to analyze the information spillover relationship between RMB and seven major developed contries' currency from July 22, 2005 to the end of 2017. The results showed that:The current international influence of the RMB is not high, far lower than the influence levels of other developed countries' currencies, but it shows a rising trend; especially after the "811" exchange reform in 2015, the international influence of the RMB has been greatly improved; from the rolling window analysis and structure change-point test, the improvement of the marketization level of the RMB exchange rate formation mechanism and international status are two main factors that have led to major changes in the international influence of the RMB. Overall, the weighted modified Diebold & Yilmaz spillover index model can more sensitively reflect changes in the international influence of the RMB. To improve the international influence of the RMB, one key is to continuously increase the marketization level of the exchange rate market.

Key words

RMB international influence / information spillover / modified spillover index model

Cite this article

EndNote

Ris (Procite)

Bibtex

Download Citations
LI Hongquan , HE Minyuan , ZHOU Liang. The international influence of the RMB onshore market: Based on modified information spillover index model. Systems Engineering - Theory & Practice, 2020, 40(6): 1468-1477 https://doi.org/10.12011/1000-6788-2020-0454-10

References

[1] Chinn M, Frankel J A. Will the Euro eventually surpass the dollar as leading international reserve currency?[R]. NBER Working Paper, 2005:11510.
[2] 沙文兵. 汇率变动、贸易地位与人民币境外存量——基于1994-2012年月度数据的实证分析[J]. 中南财经政法大学学报, 2014(1):3-9. Sha W B. Exchange rates, trade status and RMB offshore stock:An empirical study based on monthly data from 1994 to 2012[J]. Journal of Zhongnan University of Economics and Law, 2014(1):3-9.
[3] Diebold F X, Yilmaz K. Measuring financial asset return and volatility spillovers, with application to global equity markets[J]. The Economics Journal, 2009(119):158-171.
[4] Diebold F X, Yilmaz K. Better to give than to receive:Predictive directional measurement of volatility spillovers[J]. International Journal of Forecasting, 2012(1):57-66.
[5] 梁琪, 李政, 郝项超. 中国股票市场国际化研究:基于信息溢出的视角[J]. 经济研究, 2015(4):150-164. Liang Q, Li Z, Hao X C. The internationalization of Chinese stock market:Based on information spillover[J]. Economic Research Journal, 2015(4):150-164.
[6] 徐晓光, 廖文欣, 郑尊信. 沪港通背景下行业间波动溢出效应及形成机理[J]. 数量经济技术经济研究, 2017(3):112-127.Xu X G, Liao W X, Zheng Z X. Inter-industry volatility spillover effect and its formation mechanism under the background of Shanghai-Hong Kong stock connect program[J]. The Journal of Quantitative & Technical Economics, 2017(3):112-127.
[7] 尹力博, 吴优. 离岸人民币区域影响力研究——基于信息溢出的视角[J]. 金融研究, 2017(8):1-18.Yin L B, Wu Y. The research of offshore RMB's regional influence:An perspective based on information spillover[J]. Journal of Financial Research, 2017(8):1-18.
[8] 王有鑫, 周子清, 杨翰方. 基于货币群落视角的人民币汇率全球溢出效应研究[J]. 国际金融研究, 2018(9):13-23.Wang Y X, Zhou Z Q, Yang H F. Research on the global spillover effect of RMB exchange rate based on the perspective of currency cluster[J]. Studies of International Finance, 2018(9):13-23.
[9] 徐明棋. 从日圆国际化的经验教训看人民币国际化与区域化[J]. 世界经济研究, 2015(12):39-44.Xu M Q. Looking at the internationalization and regionalization of the RMB from the experience and lessons of the yen's internationalization[J]. World Economy Study, 2015(12):39-44.
[10] Zhang L, Tao K. The benefits and costs of Renminbi internationalization[J]. Social Science Electronic Publishing, 2014(71):1319-1326.
[11] Chen B, Woo Y P. Measuring economic integration in the Asia-Pacific region:A principal components approach[J]. Asian Economic Papers, 2010(2):121-143.
[12] 李稻葵, 刘霖林. 人民币国际化:计量研究及政策分析[J]. 金融研究, 2008(11):1-16. Li D K, Liu L L. RMB internationalization:Measurement research and policy analysis[J]. Journal of Financial Research, 2008(11):1-16.
[13] 中国人民大学国际货币研究所. 人民币国际化报告2017:强化人民币金融交易功能[M]. 北京:中国人民大学出版社, 2017.International Monetary Institute. 2017 annual report on the internationalization of Renminbi:Strengthening the function of RMB financial transaction[M]. Beijing:China Renmin University Press, 2017.
[14] 景健文, 吴思甜. 人民币国际化对中国宏观经济的影响分析——基于人民币国际化动态指数计算的实证研究[J]. 中国经济问题, 2018(4):76-87.Jing J W, Wu S T. The impact of RMB internationalization on China's macroeconomy:An empirical research based on the calculation of RMB internationalization dynamic index[J]. China Economic Studies, 2018(4):76-87.
[15] Baillie R, Bollerslev T. Common stochastic trends in a system of exchange rates[J]. Journal of Finance, 1989(44):167-181.
[16] Harvey A, Ruiz E, Shephard N. Multivariate stochastic volatility models[J]. Review of Economic Studies, 1994:175-197.
[17] Hurley D, Santos R. Exchange rate volatility and the role of regional currency linkages:The ASEAN case[J]. Applied Economics, 2001(33):1991-1999.
[18] Mizuno T, Takayasu H, Misako T. Correlation networks among currencies[J]. Physica A:Statistical Mechanics and Its Applications, 2006(364):336-342.
[19] Keskin M, Deviren B, Kocakaplan Y. Topology of the correlation networks among major currencies using hierarchical structure methods[J]. Physica A:Statistical Mechanics & Its Applications, 2011(390):719-730.
[20] Kocakaplan Y, Deviren B, Keskin M. Hierarchical structures of correlations networks among Turkey's exports and imports by currencies[J]. Physica A:Statistical Mechanics & Its Applications, 2012(391):6509-6518.
[21] Shu C, He D, Cheng X Q. One currency, two markets:The Renminbi's growing influence in Asia-Pacific[J]. China Economic Review, 2015(33):163-178.
[22] 丁剑平, 杨飞. 人民币汇率参照货币篮子与东亚货币联动的研究[J]. 国际金融研究, 2007(7):36-42.Ding J P, Yang F. Research on RMB exchange rate reference currency basket and East Asian currencies linkage[J]. Studies of International Finance, 2007(7):36-42.
[23] 王倩. 东亚经济体汇率的锚货币及汇率制度弹性检验——基于新外部货币模型的实证分析[J]. 国际金融研究, 2011(11):30-38.Wang Q. The anchor currency of East Asian economies and the flexibility of the exchange rate regimes's test-An empirical analysis based on new external monetary model[J]. Studies of International Finance, 2011(11):30-38.
[24] 郭珺, 滕柏华. 人民币与欧元、美元、日元之间的汇率联动分析[J]. 经济问题, 2011(7):95-99.Guo J, Teng B H. Dynamic linkage analysis to the exchange rates of RMB, the Euro, the Dollar and the Yen[J]. On Economic Problems, 2011(7):95-99.
[25] 王昭伟. 外汇市场的协同波动与联合干预[J]. 国际金融研究, 2011(6):50-58.Wang Z W. Foreign exchange markets's common volatility and joint intervention[J]. Studies of International Finance, 2011(6):50-58.
[26] 胡增正, 王梅霞. 人民币对东亚货币汇率波动溢出效应实证研究[J]. 西部金融, 2013(8):17-22.Hu Z Z, Wang M X. An empirical study on the volatility spillover effect between RMB and the East Asian currency exchange rate[J]. West China Finance, 2013(8):17-22.
[27] 蔡彤娟, 林润红. 人民币与"一带一路"主要国家货币汇率动态联动研究——基于VAR-DCC-MVGARCH-BEKK模型的实证分析[J]. 国际金融研究, 2018(2):19-29.Cai T J, Lin R H. Dynamic linkage of exchange rate between RMB and the major Currencies in countries included in "The Belt and Road" strategy-An empirical analysis-based on VAR-DCC-MVGARCH-BEKK model[J]. Studies of International Finance, 2018(2):19-29.
[28] Bai J, Perron P. Estimating and testing linear models with multiple structural changes[J]. Econometrica, 1998, 66(1):47-78.
[29] Bai J, Perron P. Computation and analysis of multiple structural change models[J]. Journal of Applied Econometrics, 2003(1):1-22.

Funding

National Natural Science Foundation of China (71871092, 71473081); Macroeconomic Big Data Mining and Application of Hunan Key Laboratory
PDF(1157 KB)

Accesses

Citation

Detail
Sections
Recommended

/

〈 〉