【作者】 李媛；

【导师】 钟永红；

【作者基本信息】 华南理工大学 ， 金融学， 2017， 硕士

【摘要】 由于货币可兑换性,在本国出现较为严重的通货膨胀或汇率贬值预期时,国内公众出于降低交易成本与资产保值的考虑,会减少持有本国货币、增持价值相对较高的外国货币,这种现象通常被称为“货币替代”。货币替代可以看作是一种良币驱逐劣币的现象。货币替代改变了人们的货币需求,会对一国家经济产生重要影响,如减少政府通货膨胀税、加剧汇率波动、削弱货币政策实施效果等。货币替代的程度高低取决于经济增长、汇率水平、本外币真实收益率的差异、通货膨胀率、制度因素等。2005年我国启动人民币汇率形成机制改革,实行以市场供求为基础的,参考一篮子货币进行调节,单一的,有管理的浮动汇率制。金融机构、企业和居民积极参与外汇市场交易,人民币汇率弹性不断增强,企业和居民持有外币和外币资产的渠道、规模和避险工具更加便捷。2014年开始我国人民币告别了连续4年的单边升值趋势,至2016年12月人民币对美元汇率跌至近六年来的新低。人民币汇率走低,特别是2015年我国外汇储备的大幅下降,引起政府对资本外流问题的关注。当前国内经济形势尚未企稳,美国经济强劲复苏,美联储启动加息周期,人民币兑美元汇率面临进一步的贬值压力,人民币的货币替代隐忧逐渐显现。本文在吸收和借鉴国内外货币替代现有文献的基础上,对货币替代进行了较为全面的理论论述,包括货币替代形成机制、货币替代的影响因子、货币替代对经济的影响等。在系统地考察了货币替代问题后,结合目前中国的具体情况,对中国的货币替代问题进行了理论分析和实证分析,最后针对性地提出了防范我国货币替代大规模发生的政策建议。在实证方面,本文利用2005年7月至2016年12月的月度数据,在货币需求函数的框架下,应用ARDL-ECM模型的边界检验方法,分析了货币替代的影响因素及其作用效果。实证检验表明,我国的货币替代率与经济增长、人民币实际有效汇率、人民币汇率变动预期、中美两国利差、中美通胀率之差、资产价格、货币超发之间存在长期协整关系;国内经济增长、人民币汇率变动预期、中美两国利差与我国货币替代率成负相关关系,而货币超发、资产价格与我国货币替代率成正相关关系。更多还原

【Abstract】 Due to currency convertibility,when more serious inflation or devaluation expectations appears in a country,the domestic public for lower transaction costs and the value of assets,will reduce the domestic currency holdings and hold the foreign currency with a relatively high value,this phenomenon is often called "currency substitution".Currency substitution can be seen as the phenomenon that bad money drives out good.Currency substitution has changed the demand for currency,and will have an important impact on a country’s economy,such as reducing government inflation tax,increasing exchange rate fluctuations,and weakening the effectiveness of monetary policy implementation.The degree of currency substitution depends on the economic growth,the exchange rate level,the difference of the real yields between local currency and foreign currency,the inflation rate,the institutional factors,etc.In 2005,the reform of China’s RMB exchange rate formation mechanism started and the aim is to establish a single,managed floating exchange rate system based on market supply and demand,referring to a basket of currencies.Financial institutions,enterprises and residents actively participate in foreign exchange market transactions,and the RMB exchange rate flexibility continues to increase.It is more convenient for enterprises and residents to hold foreign currency and foreign currency assets in the form of channels,scale and hedging tools.In 2014,China began to bid farewell to the RMB for 4 consecutive years of unilateral appreciation trend,and in December 2016,RMB exchange rate against the U.S.dollar fell to nearly six years low.What RMB exchange rate became lower,especially the sharp reduction of China’s foreign exchange reserves in 2015,attached the government’s concern about capital outflows.Now,the domestic economic situation has not stabilized,and the U.S.economy recovery strongly.With the start of Fed rate hike cycle,the RMB exchange rate against the dollar is facing further devaluation and the currency substitution gradually will increase.In this paper,based on absorbing and referring to the domestic and foreign literature on currency substitution,we comprehensively discussed the theory of currency substitution,including the mechanism,the impact factors,the effect on the economy and so on.In the systematic study of the currency substitution problem and the specific circumstances of Chinese at present,we make the theoretical analysis and empirical analysis of currency substitution in China,and finally put forward some prevention policy recommendations of currency substitution risk in China.In the empirical,based on monthly data from July 2005 to December 2016,the paperanalyzes the influencing factors of currency substitution in the framework of the currency demand function by using the bound testing approach based on ARDL-ECM model.Empirical test shows that the China’s currency substitution has long-term co-integration relationship among economic growth,the real effective exchange rate of RMB,the exchange rate expectation changes of RMB,interest rate spread between China and U.S.,the difference in inflation rates between China and the United States,asset prices and super currency;economic growth,the exchange rate expectation changes of RMB,interest rate spread between China and U.S.have negative correlation with China’s currency substitution;but the super currency,asset prices have positive correlation with China’s currency replacement.更多还原