人民币——港币一体化：纳入内生性约束的货币区动态决策分析

【作者】 陈小凡；

【导师】 邹宏元；

【作者基本信息】 西南财经大学 ， 金融学， 2005， 博士

【摘要】 一、选题背景及意义20世纪90年代以来,全球经济金融一体化趋势日益增强,货币一体化作为经济金融一体化之桥梁,更是得到了令人瞩目的发展。欧元的启动与良好运作使欧盟成为区域货币合作的典范,并得到了全球许多地区的响应。不少专家预计,在21世纪较长时间内,区域性货币联盟的迅速发展将成为维系世界金融稳定的主要基础,届时世界很可能出现一个以区域性货币联盟为主导的世界货币体系。可以预期,区域货币一体化是21世纪金融全球化发展的主流趋势,区域金融集团将成为金融市场上的竞争强者。在此背景下,对中国货币一体化进行前瞻性理论研究,对促进中国内部货币融合、提高中国在21世纪世界经济中的整体竞争力及在亚洲区域货币建设中的地位,具有重要的战略意义。考虑到台湾问题的政治敏感性,又由于澳门经济体相对较小、且经济结构与香港相近,因此本文主要致力于对中国内地和香港特别行政区货币一体化的可行性进行分析和探讨,从而可为今后中国货币的进一步融合提供可借鉴的思路。二、论文的结构体系与基本内容本文紧扣人民币-港币一体化的可行性这一核心问题展开论述和分析。遵循逐次推进、层层深入的逻辑顺序,本文的结构体系划分为四大部分,包括:问题的提出、理论基础、分析框架及计量模型的构建、实证分析与政策结论。在上述结构体系下,全文的基本内容如下:第一章——问题的提出。该章主要从内地、香港经济融合的客观趋势和中国参与亚洲货币合作的战略思考两个方面论述了人民币-港币一体化研究的理论意义。从经济动因角度:论文通过对香港与内地在贸易、投资、金融、2人员往来等方面的分析,指出:虽然香港和内地实行“一国两制,” 各自保持原有社会、政治、经济制度不变,但中国内地与香港密切的经济金融往来、日益融合的市场,为两地货币一体化提出了客观要求并创造了有利条件。从中国参与亚洲货币合作的战略角度:论文通过对亚洲货币合作的必要性、亚洲区域货币建设中核心货币的选择、人民币-港币一体化对中国参与亚洲区域货币建设的战略意义,这三个逻辑上存在递进关系的问题的论述,指出:人民币-港币一体化可以弥补各自作为亚洲核心货币的缺陷,形成两种货币的整体优势,提高其国际货币地位和在国际金融市场上的竞争力,从而为中国进一步参与亚洲货币合作搭建有利的战略平台。第二章——理论基础。本章构筑了全文的理论基础,从两个递进的层次对最优货币区理论进行阐述与分析。首先,对最优货币区理论进行阶段性回顾与综述之后,从最优货币区的成本方面,以冲击非对称性视角对最优货币区理论予以总结;然后,本文将视野拓展到贸易一体化与经济相关性这两个 OCA 标准的动态作用关系上,即 OCA 标准的内生性研究。关于贸易一体化与经济相关性的关系在理论上存在截然相反的两种观点——Frankel-Rose(后面简写为 F&R)内生性假说和 Krugman 专业化假说。通过对比分析这两种假说后指出:两种假说在理论上因视角差异无法达成一致、在现实中却相互并存,并且都对最优货币区的收益和成本产生重大修正,究竟哪种假说在某一具体经济案例中占有主导地位,实证分析是必需的。第三章——纳入内生性约束的货币区动态决策框架及计量模型的构建。该部分是论文的核心部分,构建纳入内生性约束的货币区动态决策框架,并设计与之契合的计量经济模型是本章的主要内容。本章首先在原有传统的货币区静态决策模式的基础上,将F&R内生性假说和Krugman专业化假说阐述的贸易一体化与经济相关性的动态作用关系模型化,构建一个纳入内生性约束的货币区动态决策框3架。该分析框架将基于单期效用的、侧重于现实经济基础的传统货币区决策思路,拓展到基于长期效用最大化的、兼顾内生性约束的货币区动态最优决策。该分析框架指出:在长期效用最大化的基础上,加入货币区的动态最优决策取决于对“现实经济基础”和“动态约束条件”的联合判断。进一步,本章对计量经济模型进行设计,以契合纳入内生性约束的货币区动态决策框架。该计量经济模型的目的有二:其一,运用结构性向量自回归(SVAR)方法识别经济冲击并计量其对称性,以定位相关经济体的“现实经济基础”;其二,通过状态空间模型(state-space model)和卡尔曼滤子技术(Kalman filter),对贸易一体化与经济相关性的动态作用的方向与力度进行科学的计量,以揭示相关经济体具备的“动态约束条件”。第四章——实证分析与政策结论。根据第三章构建的货币区动态决策框架和计量模型,本章对人民币-港币一体化的现实经济基础、动态约束条件以及基于长期效用最大化的政府动态最优决策进行了实证分析和研究。结果表明:一方面,由于两地经济冲击的低对称性、经济水平的较大差异、人民币的非自由兑换性等原因,两币一体化的“现实经济基础”较为薄弱,当前组成货币区的条件并未完全具备。另一方面,实证结果表明,内地与香港之间贸易一体化的增强有效地降低了两地之间需求冲击和供给冲击的非对称性,从而有助于两地结构性动态趋同,因此内地与香港满足 F&R 内生性假说,即具备“促进型动态约束条件”。综合考虑?更多还原

【Abstract】 After the political unification of Hong Kong with China, Hong Kongis supposed to function as a separate economic entity under theframework of “one country, two systems”. However, the increasinglyclose ties between the two economies, particularly in recent years, haveraised the possibility of full economic integration despite politicalconstraints, and even of monetary union as the Chinese currencyprogresses towards full convertibility. This paper employs the theory ofoptimum currency area (OCA) and adopts the Kalman-filteringestimation technique to test whether China’s mainland and Hong Kongconstitute an OCA. Especially, I concentrate on some cost aspects ofconstituting an OCA, namely on the degree of shock asymmetry betweenthe China’s mainland and Hong Kong , with the objective of identifyingthe effects of economic integration on synchronization of shocks. The thesis comprises four chapters: Chapter one——“the issue raised”. What is the significance of this paper? This chapter answers thisquestion. In the last two decades, China’s mainland and Hong Kongexperienced a tremendous increase in economic interactions. For instance,Hong Kong is a main entrepot and intermediates the lion’s share ofChina’s mainland’s external trade via re-exports and offshore trade. Also, asubstantial amount of international capital (in the form of foreign directinvestment, equity and bond financing and syndicated loans) financingChina’s mainland’s economic expansion is raised via Hong Kong. At thesame time, intermediating trade and financial flows to China’s mainlandhas become a major form of the economic activity in Hong Kong andgreatly shaped its economic structure. The extensive interaction betweenChina’s mainland and Hong Kong provides a good foundation foradvancing integration to a higher level, namely constituting an OCA. Chapter two——“theoretic basis”. This chapter plays an important role in the whole thesis, which isthe theoretic basis to make further analysis in the next chapter. Firstly, the theory of optimum currency area (OCA) is reviewedsystematically in this chapter. It is organized into three phases: the“pioneering phase” which put forward the OCA theory and its properties,the “reconciliation phase” when its diverse facets were combined, and the“reassessment phase” that led to the “new OCA theory”. The main idea ofthis theory is that the economies gathering in a monetary union will faceadjustment costs due to differences in their economic structures. Themore similar economic structures are, the less these costs will be. Secondly, this chapter surveys the “endogeneity of OCA”. There is alarge debate in economics on the link between economic integration andbusiness cycle co-movement. Two opposite views exist on this subject,classified by De Grauwe (1997) as “the endogeneity hypothesis” ofFrankel and Rose (1998) and “the specialization hypothesis” of Krugman(1993). According to the endogeneity hypothesis, closer integration leadsto less frequent asymmetric shocks and to more synchronized businesscycles between countries. On the other hand, for Krugman (1993) closerintegration implies higher specialization and, thus, higher risks ofidiosyncratic shocks. The overall impact of trade integration on shocksymmetry could thus be ambiguous, at least theoretically. Because of this,I have to resort to empirical approach. Chapter three——“model and empirical methodology”. This chapter consists of two parts. In the first part, the paper develops a modified model based onlong-term utility maximization. Bringing to the dynamic trade-shockrelationship is the characteristic of this model. According to the model,the suitability of an OCA depends on bi-criteria, namely the “existingeconomic basis” and “dynamic trade-shock relationship”. The second part introduces the empirical approach , which containsthree steps. First, I apply a bi-variate vector autoregressive procedureproposed by Blanchard and Quah (1989) to identify supply and demandshocks for China’s mainland and Hong Kong. Then, using the Kalmanfilter更多还原