SDR货币篮子中人民币的国际化定位——汇率市场波动传染与波动聚类的实时甄别

随着人民币国际化进程的逐步推进,SDR货币篮子中人民币的国际化定位引人瞩目。本文基于非线性MSBIARCH模型,实时甄别人民币市场与美元市场、英镑市场、日元市场、欧元市场之间的波动传染关系,以及波动传染作用下汇率市场的波动聚类态势,进而识别SDR货币篮子中人民币的国际化定位,旨在为及时防范并规避人民币市场的波动风险提供参考。研究发现,汇率市场经由“经济基本面”“市场情绪”以及“市场预期”对外发挥波动传染作用,人民币市场与美元市场之间存在双向波动传染关系,与英镑市场、欧元市场以及日元市场之间存在单向波动传染关系。不同汇率市场之间的波动传染关系表现出时间区制转移特征,汇率市场的波动聚类态势也呈现时变特征。汇率市场发挥波动传染作用的时间与汇率市场呈现波动聚类态势的时间相匹配,均集中在极端经济事件期、不规则事件期以及政策颁布事件期。国际汇率市场的波动传染作用导致了人民币市场的波动聚类态势,而人民币市场的波动传染作用仅强化了国际汇率市场的波动聚类态势,SDR货币篮子中人民币的国际化程度有待进一步提高。

International Degree of RMB in the SDR Currency Basket:Real-time Examination of Volatility Spillover and Volatility Clustering

The RMB was included in the Special Drawing Rights (SDR) currency basket on October 1, 2016, following the Dollar, Pound, Yen, and Euro. However, the U.S. has increased protectionist trade policies and tariff barriers since 2018. On March 22, the U.S. announced a large-scale tariff on Chinese imports. The exchange market's CNY faces a turbulent environment, and China's economy is experiencing only moderate growth. As a result, the RMB is showing a weak trend and increased pressure. Fluctuations in the CNY have become the market's primary concern. Therefore, the volatility spillover between the CNY and other international markets, volatility clustering, and the degree of RMB must be explored to prevent and avoid volatile risk with the CNY.The volatility spillover effect stipulates that an economy's exchange market is more likely to spill over into other economies' exchange markets when its currency has a higher degree. In addition, other economies show a volatility clustering trend. The comparison between the RMB market and other major currency markets shows the degree of RMB in global economic patterns. Therefore, we use the SDR currency basket's exchange market to identify the relationship between volatility spillover and volatility clustering in real time and identify the international degree of RMB.A nonlinear model with structural changes is best suited to describe the characteristics of the exchange market's volatility, given the various time and political characteristics of major global currencies' co-movement. The Markov switching model can depict the structural change in time series data and internalize the structural change into regime change. The model can describe the regime state in different stages and the nonlinear transition of a regime state in each stage. It is suitable for measuring the stage-switching of volatility spillover between exchange rate markets and the dynamic volatility clustering paths. Therefore, we construct a nonlinear model of Markov switching bivariate ARCH (MSBIARCH). We enumerate all possible time-varying dynamic causal relationships between the two variables based on the model and exchange rate yield data of the CNY, USD, GBP, JPY, and EUR exchange markets. Four regional states are also defined according to the four time-varying dynamic causalities to screen the exchange markets' volatility spillover and volatility clustering in real-time.The results show that exchange markets transmit fluctuations via “economic fundamentals”, “market sentiment”, and “market expectations”. In general, the volatility spillover between CNY and USD exchange markets moves in both directions, while the volatility spillover between CNY and GBP, JPY, and EUR exchange markets moves in one direction. However, over time, the exchange markets' regimes change, thus changing the characteristics of the volatility spillover and clustering situation. Furthermore, the volatility spillover among exchange markets usually occurs in periods with extreme economic events, irregular events, and policy promulgation events, matching when volatility clustering begins to occur. Finally, the volatility spillover of international exchange markets leads to the volatility clustering of CNY exchange market, while the volatility spillover of the CNY exchange market strengthens the volatility clustering of the international exchange markets. Thus, the international degree of RMB has room for improvement, which means that fluctuations in the international exchange market are more likely to affect the CNY market. China should improve the exchange market's efficiency while being vigilant against contagion from the international exchange markets, especially during extreme economic events, irregular events, and policy promulgation events.The paper contributes to the literature in four ways. First, we identify the international degree of RMB in the SDR currency basket based on the volatility spillover relationships and volatility clustering trends of different exchange markets. Second, we examine the volatility spillover relationship between different exchange markets over time using data on extreme economic events, irregular events, and policy promulgation events. The volatility clustering trends over time and political periods are also considered. Third, we theoretically analyze the characteristics of volatility clustering under the volatility spillover effect from the perspectives of economic fundamentals and market psychology and discuss the correlation between volatility spillover and volatility clustering. Fourth, for the first time a nonlinear MSBIARCH model based on the latest MSC model is constructed and designed, which provides a reference for model selection in a time-varying estimation framework and new applications for high-frequency time series data.