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国际货币的可转换性就是该货币能够转换成国际性实际资产的能力。不同的国际货币可转换性的差异只有在重大事件冲击造成国际经济金融发生较大的结构性变动时才会比较显著,它通常表现为汇率突变。本文对货币替代模型进行修正,得出汇率与货币可转换性之间的函数关系,然后利用最新发展出来的TRAMO异常值分离方法分析美元/欧元汇率的异常波动。实证结果表明,每一次重大的国际性事件都无一例外地造成美元相对于欧元的水平(level)升值,表明美元相对于欧元有更好的可转换性,也表明国际性美元本位尽管因为美国金融危机受到质疑,但却不会出现根本性的变革。因此,我国国际货币战略的核心是如何参与国际货币体系的结构治理,而不是谋求改变体系本身。
Abstract：The convertibility of the international currency is the capacity that is able to convert to other international real assets. The different convertibility among the international currencies could be significant only when a major event takes place which makes the international economy and finance a large structural change,and it usually comes into being the exchange rates fluctuate acutely. In this paper,the authors made an amendment to the currency substitution model and got the functional relationship between the exchange rate and the currencies' convertibility,and then using the TRAMO method to isolate the outliers in dollar /euro exchange rate time series. The empirical results show that every major international event,without exception,caused the U. S. dollar the level appreciation relative to the euro,which shows that the U. S. dollar may have a better convertibility relative to the euro,and also shows that despite the international dollar standard was oppugned because of the financial crisis broken out in the United States at the December 2006,but it will not be changed fundamentally. Therefore,China's core international currency strategy is how to participate in the structural governance of international monetary system,rather than trying for changing the system itself.
[1]转引自姜波克、陆前进:《汇率理论和政策研究》pp.173-175。
[1]关于TRAMO方法的详细内容可参见西班牙中央银行网站提供的使用手册。
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基本信息:
DOI：10.19343/j.cnki.11-1302/c.2010.08.006
中图分类号:F821
引用信息:
[1]李天栋,张卫平,薛斐.国际美元本位制能继续维系吗?[J].统计研究,2010,27(08):40-47.DOI:10.19343/j.cnki.11-1302/c.2010.08.006.
基金信息:
上海市哲学社会科学规划青年项目(2007EJB002);; 上海市科技发展基金软科学研究项目(09692102500)的资助
2010-08-15
2010-08-15