Autocorrelation Regression Model Analysis and Selection of Cross-Border RMB Settlement From 2011 to 2020

Autocorrelation Regression Model Analysis and Selection of Cross-Border RMB Settlement From 2011 to 2020

Cheng Zhang, Ni Hu, Qiang Yan
Copyright: © 2022 |Pages: 23
DOI: 10.4018/IJITWE.314569
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Abstract

With China's continuous opening to the outside world, changes in the international environment and the operation of the cross-border RMB settlement system (CIPS), the scale of cross-border RMB settlement has fluctuated continuously. In response to this phenomenon, the authors collected and sorted out the total amount of RMB cross-border settlement and payments from 2011 to 2020 time sequence data in China, then use five AR models including ARMA, GARCH(1.1), EGARCH(1.1), PARCH(1.1), and CARCH(1.1) to fit. The experimental results show that the four autocorrelation models all prove that the cross-border RMB settlement has autocorrelation relationship, and the long-term trend continues to grow up. According to the precision and accuracy of the five models, the ARMA model equation is one optimal prediction equation. On the basis of the ARMA model equation, and the establishment of the VENSIM system dynamics simulation model, the scale of China's cross-border RMB settlement in the next 10 years is predicted.
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Literature Review

The reports and research results of scholars and media on the cross-border settlement of the RMB in the past three years mainly focus on the following aspects:

  • •

    The main factors of cross-border settlement of the RMB.

  • •

    The use of cross-border RMB settlement in some key countries and regions such as East Asian countries, Association of Southeast Asian Nations (ASEAN) countries, and China’s Belt and Road Initiative (formerly One Belt, One Road).

Main Influencing Factors of Cross-Border RMB Settlements

In international trade and settlement practices, cross-border RMB settlement is affected by various internal and external factors. Bilateral currency swap agreements between China and different countries can promote the expansion of RMB cross-border settlement business (Fuhua Deng et al., 2020; Shanshan & Xiaoqian, 2019), whereas RMB money supply and foreign exchange reserve structures are constraints for the cross-border RMB settlement (Sui & Xinyu, 2021). The exchange rate factors have a two-way impact on cross-border RMB settlements (Guangming & Feng, 2021; Weicheng et al., 2021; Yu & Qinwen, 2021.). Institutional, legal, and cultural influences on RMB internationalization have a positive effect (Jinkai, 2019; Yi & Guozheng, 2021; Yixin & Jingyi, 2021).

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