Exchange Rate Volatility and Local Currency Internationalization: An Empirical Study on the Australian Dollar

The Studies of International Finance (《国际金融研究》) in April, 2013 (in Chinese)

14 Pages Posted: 16 Sep 2012 Last revised: 6 May 2013

See all articles by Zhiwen Zhang

Zhiwen Zhang

Sun Yat-sen University-School of International Relations

Qinxian Bai

Liaoning University

Date Written: August 20, 2012

Abstract

内容提要: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。文章发现: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。假定其他不变的情况下,澳元汇率波动性每扩大一个标准差,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 1993Q4-2012Q1. We find that the greater exchange rate volatility of the AUD against the USD has a large but significantly negative effect on AUD internationalization. Keeping all else equal, an increase in exchange rate volatility of the AUD against the USD by one standard deviation will lead to a 1% decrease in the degree of AUD internationalization. Controlling for the impacts of the once-in-a-century global financial crisis, European debt crisis, inflation differential and investment growth deviation, the above result still holds. 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.

Note: Downloadable document is in Chinese.

Keywords: Exchange Rate Volatility, Local Currency Internationalization, AUD

Suggested Citation

Zhang, Zhiwen and Bai, Qinxian, Exchange Rate Volatility and Local Currency Internationalization: An Empirical Study on the Australian Dollar (August 20, 2012). The Studies of International Finance (《国际金融研究》) in April, 2013 (in Chinese). Available at SSRN: https://ssrn.com/abstract=2147416

Zhiwen Zhang (Contact Author)

Sun Yat-sen University-School of International Relations ( email )

Guangzhou, Guangdong
China

Qinxian Bai

Liaoning University ( email )

66 Chongshan Road Middle, Huanggu District
Shenyang, Liaoning 110036
China

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