我国货币替代理论和实证分析

【作者】 沈笑一；

【导师】 奉立成；

【作者基本信息】 对外经济贸易大学 ， 金融学， 2004， 硕士

【摘要】 在开放经济下，货币替代已经成为一个不可避免的现象，任何一个国家只要有国际间的经济和金融交往，就必然会有货币替代现象出现。20世纪60、70年代开始很多国家的货币替代现象开始加剧，因此西方经济学家对货币替代的研究也开始变得越来越积极。由于我国人民币资本项下尚未实现自由可兑换、人民币汇率形成机制市场化程度低、金融市场不够发达，因而我国货币替代的现象并不严重。但是随着我国金融体制改革的深入，人民币汇率形成体制的市场化，我国不可避免会出现货币替代程度加深的情况。由于我国制度上的特殊情况，不能简单地套用西方国家的货币替代理论，因此我国必须要有自己对货币替代的理论和实证研究。很多国内学者都认为浮动汇率制和货币的自由可兑换是产生货币替代的两个先决条件。但是本文认为，固定汇率制度下也同样会产生货币替代，只是表现方式不同，浮动汇率制度下，主要是由于居民对本外币货币需求的变动引发的货币替代，称为需求方的货币替代，而在固定汇率制度下，由于央行要维持货币之间的固定比价，因此外国货币供给量的变动会从货币供给方造成我国的货币替代，称之为供给方的货币替代。而货币的兑换制度是影响货币替代最主要的制度因素，通常认为只有可自由兑换的货币方有替代的可能，但是本文认为，如同我国这样经常项目可自由兑换，资本项目没有实现自由可兑换的情况下，我国的实际货币替代程度比较轻，因为替代的途径受阻，但被抑制的这部分货币替代需求仍然存在，只是转化为隐性的货币替代，一旦管制放宽，具备了替代的途径后，就会转化为现实。此外，本文针对我国的特殊情况，在西方货币替代理论的基础上，在货币替代的决定因素中加入了通货膨胀率和外国货币供给量这两个变量进行实证分析。回归显示，我国的货币替代程度受汇率变动率的影响最大，除此以外通货膨胀率也是重要影响因素，而外国货币供给量尽管回归结果显示变量的回归系数比较小，但是本文认为，鉴于我国汇率决定机制中市场化程度低，和美元之间长期保持比较固定的比例，因此美元的货币供给在一定程度上造成我国供给方的货币替代。更多还原

【Abstract】 Currency substitution rate in China is relatively low with less flexible RMB exchange rate, less developed domestic financial market and lack of full convertibility of RMB on the capital account. However with the liberalization of RMB capital account and steadily advancing of reform in foreign exchange administration system, China cannot avoid from increasing currency substitution either. With our special economic mechanism, we have to do theoretical and empirical research about currency substitution by ourselves, rather than simply use western theory.Many domestic economists insist that currency substitution can only take place in floating exchange rate system and those countries with full convertibility currency. While I consider that currency substitution can also take place in fixed exchange rate system but in a different way. As for the currency convertibility, I consider that the accrual currency substitution rate in China is less than the potential level because part of the currency substitution demand is restrained by the capital control and the less flexible exchange rate of RMB. While China open capital account and realize full convertibility, the currency substitution rate will increase with the restrained part being released.Based on the western currency theory and the specific condition in China, I build a model of currency substitution. Besides exchange rate of RMB, interest rate of RMB and USD, I also choose inflation rate of those two currencies and M2 amount of USD which denotes the currency supply in US as explaining variables, and I also put a dummy variable D in the model to denote the reform in foreign exchange administration system in 1994. The regression result shows that currency substitution rate of USD to RMB is mostly influenced by the exchange rate of RMB and the gap between the inflation rate in China and that in US.更多还原