| In the 21st century,with the advancement of globalization,the linkage between the nominal exchange rates of national currencies(mainly against the U.S.dollar)has generally been increasing,especially after the financial crisis and the outbreak of the new crown epidemic in 2008,geopolitical conflicts have intensified,trade frictions have intensified,and the impact factors in the global foreign exchange market have become more diverse and complex,bringing about a corresponding adjustment in exchange rate linkage.In the report of the 20th National Congress,China clearly proposed to "promote the internationalization of RMB in an orderly manner" and promote the effect of RMB in a broader regional context,which can create conditions for deepening regional monetary cooperation in the future,which is an important part of China’s prudent promotion of RMB internationalization.Therefore,in the context of RMB internationalization,the study of RMB and other currencies’ exchange rate synchronization and the driving factors behind it is of certain significance for forecasting the risk and trend of RMB exchange rate,formulating macro policies,making asset allocation for investors and promoting RMB internationalization.This paper analyzes the driving factors of exchange rate synchronization based on the asset pricing theory perspective of exchange rates.According to the asset pricing theory of exchange rates,under a floating exchange rate regime,exchange rate synchronization depends on the fundamental factors of both countries,which include economic growth rate,inflation rate,monetary policy changes,etc.However,the relevance of the fundamental factors of the two countries is in turn related to their trade and financial linkages and common external shocks.Considering that the RMB and some economies’ currencies implement a managed floating exchange rate regime,the choice of exchange rate regime also affects the exchange rate synchronization of the RMB with other currencies.Based on the theoretical analysis,this paper selects the exchange rates of 34 countries against the U.S.dollar and uses the DCC-GARCH model to calculate the dynamic correlation between the RMB and these currencies.According to the results obtained from the model calculation,the synchronization of RMB and other countries’ currencies is gradually increasing.In terms of driving factors,the influence of macro factors on exchange rate linkage is explored,including fundamental factors,economic linkage and common global shocks.The synchronization of changes in fundamental factors theoretically stems mainly from the economic linkage between the two countries and exposure to common external shocks.The empirical results show that: first,the fundamental factors are affected by economic ties and by common global shocks;second,the fundamental factors,economic ties and common global shocks have significant effects on exchange rate synchronization;third,in further analysis,the currency synchronization is more likely to be enhanced by macro factors in those developed countries and countries that cooperate more closely with the Chinese government.Based on the theoretical and empirical results,this paper gives several policy recommendations as follows: first,continue to improve the construction of the RMB market;second,financial market supervision should be strengthened to prevent financial risks from spillovers from other countries’ exchange rate markets. |
