# Digital RMB, RMB Internationalization and Sustainable Development of the International Monetary System

## Abstract

**:**

## 1. Introduction

## 2. Variables, Model Setting and Data Sources

#### 2.1. Variable Selection and Related Econometric Tests

#### 2.2. Stylized Facts

#### 2.2.1. Stationarity Test

#### 2.2.2. Granger Causality Test

#### 2.2.3. Bounds Cointegration Test of DC/EP and RMB Internationalization

#### 2.2.4. Asymmetric Model Setting

#### 2.2.5. Time-Varying Relationship Test

## 3. Conclusions

## Funding

## Institutional Review Board Statement

## Informed Consent Statement

## Data Availability Statement

## Acknowledgments

## Conflicts of Interest

## References

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Variable | Mean | Max | Min | Std. | Skewness | Kurtosis | J-B |
---|---|---|---|---|---|---|---|

M0 | 6.634 | 11.530 | 1.866 | 2.981 | 0.106 | 1.734 | 2.471 |

RII | 251.216 | 326.442 | 115.000 | 55.324 | −0.897 | 3.069 | 4.839 * |

NDF | 1.900 | 2.060 | 1.812 | 4.070 | 0.949 | 2.734 | 20.365 *** |

ID | 0.898 | 6.340 | −3.690 | 4.302 | −0.681 | 2.396 | 12.308 *** |

CPI | 0.008 | 0.085 | −0.068 | 3.037 | −0.154 | 1.925 | 6.928 ** |

GDP | −0.001 | 0.150 | −0.135 | 3.133 | 0.114 | 8.689 | 175.644 *** |

Variable | Original Value | Difference of First Order | ||||
---|---|---|---|---|---|---|

ADF | PP | KPSS | ADF | PP | KPSS | |

M0 | −1.432(11) ** | −12.727[7] *** | 0.053[8] | −13.983(2) *** | −38.381[6] *** | 0.057[8] |

RII | −0.596(0) | −1.164[6] | 1.671[11] *** | −13.908(0) *** | −13.902[9] *** | 0.134[6] |

NDF | −4.826(3) *** | −2.447[8] | 0.211[10] | −5.536(2) *** | −14.167[8] *** | 0.076[8] |

ID | −3.109(5) *** | −3.382[7] ** | 0.145[10] | −5.560(2) *** | −13.343[6] *** | 0.052[6] |

CPI | −5.604(6) *** | −3.669[7] *** | 0.242[10] | −21.459(0) *** | −20.032[7] *** | 0.120[3] |

GDP | −2.369(0) ** | −3.904[5] *** | 0.510[10] | −10.265(3) *** | −26.740[6] *** | 0.249[10] |

Variable | M0 | RII | NDF | ID | CPI | GDP |
---|---|---|---|---|---|---|

Model settings | (C,T) | (C,T) | (C,T) | (C,T) | (C,T) | (C,T) |

Bartlett | 0.078 *** | 0.054 ** | 0.128 * | 0.052 * | 0.040 | 0.052 |

CV 90% | 0.036 | 0.039 | 0.115 | 0.049 | 0.049 | 0.058 |

CV 95% | 0.042 | 0.045 | 0.147 | 0.059 | 0.057 | 0.071 |

CV 99% | 0.054 | 0.059 | 0.231 | 0.083 | 0.079 | 0.100 |

Structural breaks (f) | 3 | 5 | 4 | 4 | 5 | 4 |

Smooth breaks (s) | 1 | 5 | 3 | 2 | 5 | 4 |

Statistical value F | 17.379 *** | 240.810 *** | 16.855 *** | 13.050 *** | 9.839 *** | 8.084 *** |

CV 90% | 1.893 | 2.377 | 2.144 | 2.936 | 2.174 | 2.235 |

CV 95% | 2.158 | 3.233 | 3.341 | 3.404 | 2.494 | 2.810 |

CV 99% | 2.908 | 4.075 | 4.387 | 4.511 | 2.679 | 3.906 |

Lag Order | Null Hypothesis | Chi2 | p Value | Judgment |
---|---|---|---|---|

1 | M0 is not a Granger reason of RII | 0.71 | 0.4002 | The null hypothesis cannot be rejected |

RII is not the Granger reason of M0 | 3.16 | 0.0755 | The null hypothesis is rejected | |

2 | M0 is not a Granger reason of RII | 0.27 | 0.8730 | The null hypothesis cannot be rejected |

RII is not the Granger reason of M0 | 10.49 | 0.0053 | The null hypothesis is rejected | |

3 | M0 is not a Granger reason of RII | 1.27 | 0.7367 | The null hypothesis cannot be rejected |

RII is not the Granger reason of M0 | 40.64 | 0.0000 | The null hypothesis is rejected | |

4 | M0 is not a Granger reason of RII | 8.69 | 0.0692 | The null hypothesis can be rejected |

RII is not the Granger reason of M0 | 5.72 | 0.2207 | The null hypothesis cannot be rejected |

Lag Order (p) | F-Statistics | Lower Bound I(0) | Upper Bound I(1) |
---|---|---|---|

4 | 18.44 ** | 3.07 | 4.19 |

Null Hypothesis | d = 1 | d = 2 | d = 3 | d = 4 | d = 5 | d = 6 | |
---|---|---|---|---|---|---|---|

(I) | H_{03} | 0.489 | 0.903 | 1.147 | 0.464 | 0.630 | 0.558 |

(0.691) | (0.442) | (0.333) | (0.708) | (0.597) | (0.644) | ||

H_{02} | 0.480 | 2.886 ** | 2.123 | 1.499 | 1.595 | 1.716 | |

(0.697) | (0.039) | (0.101) | (0.218) | (0.194) | (0.168) | ||

H_{01} | 3.809 ** | 1.564 | 1.297 | 0.753 | 0.723 | 0.366 | |

(0.011) | (0.201) | (0.279) | (0.523) | (0.540) | (0.778) | ||

(II) | H_{03} | 1.682 | 0.473 | 0.871 | 0.309 | 0.050 | 0.415 |

(0.175) | (0.702) | (0.458) | (0.819) | (0.985) | (0.743) | ||

H_{02} | 3.258 ** | 0.214 | 0.646 | 1.141 | 0.793 | 0.666 | |

(0.024) | (0.887) | (0.587) | (0.335) | (0.499) | (0.575) | ||

H_{01} | 4.719 *** | 3.921 ** | 3.529 ** | 3.339 ** | 3.583 ** | 4.343 *** | |

(0.004) | (0.010) | (0.017) | (0.022) | (0.016) | (0.006) | ||

(III) | H_{03} | 7.116 *** | 1.909 | 0.614 | 3.419 ** | 0.327 | 3.866 ** |

(0.000) | (0.132) | (0.607) | (0.019) | (0.806) | (0.011) | ||

H_{02} | 4.233 *** | 4.371 *** | 3.470 ** | 0.655 | 4.412 *** | 1.413 | |

(0.007) | (0.006) | (0.018) | (0.581) | (0.006) | (0.243) | ||

H_{01} | 10.957 *** | 7.359 *** | 3.372 ** | 6.070 *** | 9.394 *** | 7.992 *** | |

(0.000) | (0.000) | (0.021) | (0.001) | (0.000) | (0.000) | ||

(IV) | H_{03} | 0.707 | 1.215 | 2.126 | 0.504 | 0.792 | 0.775 |

(0.549) | (0.308) | (0.101) | (0.680) | (0.501) | (0.511) | ||

H_{02} | 4.364 *** | 1.631 | 3.756 ** | 2.074 | 1.354 | 0.603 | |

(0.006) | (0.186) | (0.013) | (0.107) | (0.260) | (0.614) | ||

H_{01} | 5.315 *** | 2.520 * | 1.755 | 1.518 | 2.163 * | 4.869 *** | |

(0.002) | (0.061) | (0.159) | (0.213) | (0.096) | (0.003) |

Regime System | Variable | (I) | (II) | (III) | (IV) |
---|---|---|---|---|---|

Low regime | Constant Term | 0.054 * | 0.035 | 0.029 | −0.062 * |

M0(−1) | 0.989 *** | 1.354 *** | 1.321 *** | 1.183 *** | |

M0(−2) | −0.017 | −0.373 ** | −0.338 *** | −0.152 * | |

id(−1) | −0.002 ** | −0.001 | 0.001 | −0.001 | |

id(−2) | −0.001 | 0.001 | 0.001 | 0.001 * | |

cpi(−1) | 0.110 * | −0.069 ** | −0.065 | −0.022 | |

cpi(−2) | −0.066 | 0.033 * | −0.015 | 0.085 * | |

gdp(−1) | −0.014 | −0.004 | −0.001 | −0.014 * | |

gdp (−2) | −0.006 | 0.005 | −0.007 | 0.003 | |

ndf(−1) | 0.162 *** | −0.014 | 0.039 * | 0.147 *** | |

ndf(−2) | −0.037 * | −0.018 | −0.029 | −0.005 | |

High regime | Constant Term | −0.038 | 0.094 | −0.271 ** | 1.484 *** |

M0(−1)_N | 1.086 * | −0.608 ** | −0.803 *** | 0.402 *** | |

M0(−2)_N | −1.068 * | 0.561 ** | 0.967 *** | −0.489 *** | |

id(−1)_N | 0.003 | −0.001 | 0.001 | −0.020 *** | |

id(−2)_N | −0.001 | 0.002 | −0.001 | −0.003 * | |

cpi(−1)_N | −0.176 | 0.110 | −0.070 | 1.765 * | |

cpi(−2)_N | 0.143 | −0.039 | −0.153 | −1.937 ** | |

gdp (−1)_N | 0.007 | −0.005 | −0.030 | 0.129 | |

gdp (−2)_N | 0.013 | −0.007 | 0.008 | −0.297 * | |

ndf(−1)_N | −0.234 ** | 0.245 *** | 0.330 * | −0.157 * | |

ndf(−2)_N | 0.071 | 0.031 | −0.007 | −0.209 * | |

Transition parameters | $\gamma $ | 81.312 | 97.367 | 120.945 | 10.411 |

C | 0.029 | 1.145 | 0.045 | −0.023 |

Parameter | Posterior Mean | Posterior Standard Deviation | 95% Confidence Interval | CD Test | Invalid Factor |
---|---|---|---|---|---|

${\left({\displaystyle \sum {}_{\beta}}\right)}_{1}$ | 0.023 | 0.003 | [0.019, 0.030] | 0.624 | 7.110 |

${\left({\displaystyle \sum {}_{\beta}}\right)}_{2}$ | 0.023 | 0.003 | [0.018, 0.029] | 0.374 | 7.370 |

${\left({\displaystyle \sum {}_{\alpha}}\right)}_{1}$ | 0.056 | 0.013 | [0.035, 0.086] | 0.513 | 3.700 |

${\left({\displaystyle \sum {}_{\alpha}}\right)}_{2}$ | 0.040 | 0.007 | [0.028, 0.057] | 0.226 | 7.010 |

${\left({\displaystyle \sum {}_{h}}\right)}_{1}$ | 0.263 | 0.146 | [0.083, 0.597] | 0.001 | 11.140 |

${\left({\displaystyle \sum {}_{h}}\right)}_{2}$ | 0.172 | 0.117 | [0.056, 0.539] | 0.850 | 34.970 |

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**MDPI and ACS Style**

Shen, C.
Digital RMB, RMB Internationalization and Sustainable Development of the International Monetary System. *Sustainability* **2022**, *14*, 6228.
https://doi.org/10.3390/su14106228

**AMA Style**

Shen C.
Digital RMB, RMB Internationalization and Sustainable Development of the International Monetary System. *Sustainability*. 2022; 14(10):6228.
https://doi.org/10.3390/su14106228

**Chicago/Turabian Style**

Shen, Chunming.
2022. "Digital RMB, RMB Internationalization and Sustainable Development of the International Monetary System" *Sustainability* 14, no. 10: 6228.
https://doi.org/10.3390/su14106228