The Size of Foreign Exchange Reserve and Local Currency Internationalization : An Empirical Study on the Japanese Yen

内容提要: 本文采用GMM 估计方法，根据影响日元国际化的长期决定因素( 经济实力、金融市场发展、货币汇率升值、通货膨胀和货币惯性) 设定回归基准模型，对1976—2009 年间日本的外汇储备规模与日元国际化程度之间的关系进行了实证研究。文章发现: 日本国际储备中畸高的外汇储备占比对日元国际化具有显著的负面影响。在控制了日元汇率波动性、“百年一遇”国际金融危机的冲击以及日本超低利率的不利影响后，以上结论仍然成立。本文对日元国际化程度较低的现象给出了一种全新的解释，对于人民币国际化问题有借鉴作用。This paper employs the GMM estimator to investigate the empirical relationship between the size of Japanese foreign exchange reserve and the degree of Yen internationalization from 1976 through 2009 by specifying the regression benchmark based on the long-run determinants of Yen internationalization with economic power, financial market development, Yen appreciation, inflation and currency inertia. This paper finds that the extremely high ratio of foreign exchange reserve to international reserves in Japan has a statistically significant but negative effect on Yen internationalization. After controlling for the effects of the Yen's exchange rate volatility and the once-in-100-year international financial crisis as well as Japan's lower interest rate, the conclusion still holds. This study provides a new interpretation to the lower degree of Yen internationalization