作　　者： ; ;

机构地区： 中山大学

出　　处： 《国际金融研究》 2013年第4期52-63,共12页

摘　　要： 本文根据货币国际化的长期决定因素及澳元国际化的特征设定澳元国际化的回归基准模型,对1993Q4-2012Q1期间澳元的汇率波动性与澳元国际化之间的关系进行了实证研究。研究发现,澳元对美元较大的汇率波动性对澳元国际化具有统计上显著的不利影响。假定其他因素不变的情况下,澳元汇率波动性每扩大1个标准差,澳元的国际化程度将会下降大约1%。在控制了"百年一遇"的全球性金融危机、欧洲债务危机、通货膨胀以及投资等影响因素后,上述结论仍然成立。本文的上述发现对不同的计量估计方法 (OLS和2SLS)和不同的汇率波动性测度指标均为稳健显著。文章对澳元国际化程度比较低的现象首次进行了实证考察,并且给出了稳健的实证证据,对人民币国际化具有重要的参考价值。 This paper specifies the benchmark regression model of the Australian dollar internationalization based on the long-run determinants of local currency internationalization, and investigates the empirical relationship between AUD exchange rate volatility and its internationalization in the period between 1993 Q4 and 2012 Q1. We find that great exchange rate volatility of the AUD against the USD has a significantly negative effect on AUD internationalization. With all other conditions unchanged, an increase in exchange rate volatility of the AUD against the USD by one standard deviation will lead to a 1% reduction in the degree of AUD internationalization. Taking into consideration the impacts of the global financial crisis unseen in a century, European debt crisis, inflation differential and investment growth deviation, the above result still holds water. The results of the paper are robust to different econometric estimators （OLS and 2SLS） and different exchange rate volatility measures. This paper produces the first robust evidence on the lower degree of AUD internationalization, and offers an important reference for RMB internationalization.

关 键 词： 汇率波动性 本币国际化 澳大利亚元

领　　域： [经济管理]