外汇储备、双边货币互换与流动性冲击
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摘要
本文在开放经济条件下构建了国际资本流动性冲击及其救援模型,探讨存在流动性风险情形下外汇储备与双边货币互换对国际资本期望净产出的影响。在理论模型的基础上,进一步通过参数设定与模拟,分析双边货币互换的福利效应并确定货币互换最优规模。结果显示,当国际资本流动性冲击低于0.5时,外汇储备占国际资本的比重为24.1%就能应付大部分的流动性风险。当国际资本流动性冲击处于0.51～0.87时,采取双边货币互换和外汇储备相结合的救援方式效果最佳,此时,外汇储备占国际资本的比重最优区间为24.18%～25.55%,双边货币互换占国际资本的比重最优区间为0.33%～35.54%。对照一国外汇储备量及其与中国人民银行、美联储签署的货币互换协议发现,外汇储备量和双边货币互换规模虽落入最优区间,但综合两者的流动性提供功能,大部分国家仍不能应对0.6以上的流动性冲击。其中,大部分国家的外汇储备量偏低,只有巴西、丹麦、日本、韩国、俄罗斯、泰国的外汇储备量是相对足够的,同时,中国与哈萨克斯坦、土耳其和塞尔维亚的双边货币互换协议额度都太低,很难提供遭受冲击时所需的流动性。
This paper proposes a model of liquidity shock which aims at alleviating the impact of capital flow sudden stop with foreign reserves and bilateral currency swap in open macroeconomic circumstances, and explores the effect of foreign reserves and bilateral currency swap on the expected surplus created by international capital. We also show the optimal ratios of foreign reserves to bilateral currency swap lines responding to different liquidity shocks by parameter setting and simulation. The results show that, when the liquidity shock of international capital is less than 0.5, the optimal ratio of foreign reserves to international capital is about 24.1%, which can handle most of the financial liquidity crisis; when the liquidity shock of international capital ranges between 0.51 and 0.87, the best way is to combine foreign reserves and bilateral currency swap. Therefore, the corresponding intervals of the optimal ratios of foreign reserves and bilateral currency swap lines to international capital stand at 24.18%～25.55% and 0.33%～35.54%, respectively. Comparing the above outcomes to the bilateral currency swap lines from China and from Federal Reserve, we discover that the scale of foreign reserves and swap lines in the agreements falls into the optimal interval in the model, but the majority of the countries cannot cope with the liquidity shock above 0.6. In other words, most countries had inadequate reserves; only Brazil, Denmark, Japan, Republic of Korea, Russia and Thailand had adequate reserves when signing the swap agreements. Besides, the bilateral currency swap lines in the agreements between China and Kazakhstan, Turkey and Serbia are too low to provide adequate liquidity in case of a crisis.
This paper proposes a model of liquidity shock which aims at alleviating the impact of capital flow sudden stop with foreign reserves and bilateral currency swap in open macroeconomic circumstances, and explores the effect of foreign reserves and bilateral currency swap on the expected surplus created by international capital. We also show the optimal ratios of foreign reserves to bilateral currency swap lines responding to different liquidity shocks by parameter setting and simulation. The results show that, when the liquidity shock of international capital is less than 0.5, the optimal ratio of foreign reserves to international capital is about 24.1%, which can handle most of the financial liquidity crisis; when the liquidity shock of international capital ranges between 0.51 and 0.87, the best way is to combine foreign reserves and bilateral currency swap. Therefore, the corresponding intervals of the optimal ratios of foreign reserves and bilateral currency swap lines to international capital stand at 24.18%～25.55% and 0.33%～35.54%, respectively. Comparing the above outcomes to the bilateral currency swap lines from China and from Federal Reserve, we discover that the scale of foreign reserves and swap lines in the agreements falls into the optimal interval in the model, but the majority of the countries cannot cope with the liquidity shock above 0.6. In other words, most countries had inadequate reserves; only Brazil, Denmark, Japan, Republic of Korea, Russia and Thailand had adequate reserves when signing the swap agreements. Besides, the bilateral currency swap lines in the agreements between China and Kazakhstan, Turkey and Serbia are too low to provide adequate liquidity in case of a crisis.
引文
1.陈宏:《中韩货币互换对双边贸易及人民币国际化的推动作用》,《北京工商大学学报(社会科学版)》2010年第2期。
2.黄嬿、丁剑平:《亚洲外汇储备普遍增长原因分析——基于空间计量杜宾模型的实证研究》,《国际金融研究》2017年第11期。
3.李仁真、杨心怡:《中欧货币互换协议的法律分析与政策思考》,《武汉大学学报(哲学社会科学版)》2014年第4期。
4.李巍、张志超:《一个基于金融稳定的外汇储备分析框架——兼论中国外汇储备的适度规模》,《经济研究》2009年第8期。
5.杨权:《全球金融动荡背景下东亚地区双边货币互换的发展——东亚金融合作走向及人民币角色调整》,《国际金融研究》2010年第6期。
6.杨权、裴晓倩:《资本账户开放、金融风险与最优外汇储备》,《国际金融研究》2011年第7期。
7.张明:《全球货币互换:现状、功能及国际货币体系改革的潜在方向》,《国际经济评论》2012年第6期。
8.钟阳:《亚洲市场中人民币国际化的影响因素——基于边贸结算和货币互换的实证分析》,《当代亚太》2011年第4期。
9.Aizenman, J., & Lee, J., International Reserves: Precautionary Versus Mercantilist Views, Theory and Evidence. Open Economies Review,Vol.18, No.2, 2007, pp.191-214.
10.Aizenman, J., Jinjarak, Y., & Park, D., International Reserves and Swap Lines: Substitutes or Complements?. International Review of Economics and Finance, Vol.20, No.1, 2011, pp.5-18.
11.Aizenman, J., & Pasricha, G.K., Selective Swap Arrangements and the Global Financial Crisis: Analysis and Interpretation. International Review of Economics and Finance, Vol.19, No.3, 2010, pp.353-365.
12.Aizenman, J., & Sun, Y., The Financial Crisis and Sizable International Reserves Depletion: From ‘Fear of Floating’ to the ‘Fear of Losing International Reserves’? International Review of Economics and Finance, Vol.24, No.38, 2009,2012, pp.250-269.
13.Andrade, G., & Kaplan, S.N., How Costly is Financial(Not Economic)Distress: Evidence from Highly Leveraged Transactions that Became Distressed. The Journal of Finance, Vol.53, No.5, 1998, pp.1443-1493.
14.Bianchi, J., Hatchondo, J.C., & Martinez, L., International Reserves and Rollover Risk. Working Paper, No.13-01R, 2013.
15.Calvo, G., Izquierdo, A., & Loo-Kung, R., Optimal Holdings of International Reserves: Self-insurance Against Sudden Stop. NBER Working Paper, No.18219, 2012.
16.Diamond, D.W., & Dybvig, P.H., Bank Runs, Deposit Insurance, and Liquidity. Journal of Political Economy, Vol.91, No.3, 1983, pp.401-419.
17.Dominguez, K.M.E., Hashimoto, Y., & Ito, T., International Reserves and the Global Financial Crisis, Journal of International Economics, Vol.88, No.2, 2012, pp.388-406.
18.Goldberg, L. S., Kennedy, C., & Miu, J., Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs. National Buereau of Economic Research, Vol.17, No.15763, 2010, pp.3-20.
19.Heller, H.R., Optimal International Reserves. Economic Journal, Vol.76, No.302, 1966, pp.296-311.
20.Hur, S., & Kondo, I. O., A Theory of Rollover Risk, Sudden Stops, and Foreign Reserves. Journal of International Economics, Vol.103, 2016, pp.44-63.
21.Liao, S., & McDowell, D., Redback Rising: China’s Bilateral Swap Agreements and Renminbi Internationalization. International Studies Quarterly, Vol.59, No.3, 2015, pp.401-422.
22.McDowell, D., The US As ‘Sovereign International Last-resort Lender’: The Fed’s Currency Swap Programme During the Great Panic of 2007-09. New Political Economy, Vol.17, No.2, 2012, pp.157-178.
23.Mcguire, P., & Peter, G.V., The US Dollar Shortage in Global Banking. BIS Quarterly Review, Part 4, March 2009.
24.Mcguire, P., & Peter, G.V., The Dollar Shortage in Global Banking and the International Policy Response. International Finance, Vol.15, No.2, 2012, pp.155-178.
25.Obstfeld, M., Shambaugh, J. C., & Taylor, A. M., Financial Instability, Reserves, and Central Bank Swap Lines in the Panic of 2008. American Economic Review, Vol.99, No.2, 2009, pp.480-486.
26.Obstfeld, M., Shambaugh, J. C., & Taylor, A. M., Financial Stability, the Trilemma, and International Reserves. American Economic Journal Macroeconomics, Vol.2, No.2, 2010, pp.57-94.
27.Rose, A. K., & Spiegel, M. M., Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis. Journal of International Economics, Vol.88, No.2, 2012, pp.326-340.
28.Taylor, J. B., The Rules-discretion Cycle in Monetary and Fiscal Policy. Finnish Economic Papers, Vol.25, No.2, 2011, pp.78-86.
(1)根据1963年IMF公开的Balance of Payments Manual第五版中定义,FDI是长期的、维持特定关系的投资,其逆转成本是高昂的,即正常情况下,FDI不会发生逆转,但当遭遇足够大的流动性冲击而使得逆转成本低于继续承受东道国金融不稳定的风险损失时,FDI投资者不得不低价出售未到期投资。
(2)等式右边的前三项分别为国际资本流动性冲击小于外汇储备、大于外汇储备但启用双边货币互换能应付流动性冲击以及大于两者之和时的期望产出,第四项为净外汇储备的资本收益,第五项为资本清算后支付的剩余国际资本本金及利息,第六项为启动双边货币互换后期末需要偿还的本金及利息。
(3)z分布为离散分布,从方程(4a)到方程(4b)的化简基于两条思路:一是将不同区间的z定义为一个点,这样,不同区间内的一个点发生的概率即为区间概率,如本文将z>z*r时的z值定义为z0,但z0可取不同值;二是将分区间的条件定义为指示函数(Indicator Function),如I(z>z*r)表示当条件z>z*r满足时概率为p,不满足时概率为0,I(z≤z*)表示当条件z≤z*满足时概率为1-p,不满足时概率为0。
(4)此时完全没有双边货币互换,但仍以z*r临界点衡量流动性风险的程度。
(5)间接效应如国际资本的逆转加重一国国际收支压力,影响国际贸易发展;市场利率的波动造成财富的不均衡流动,降低社会整体消费水平。传递效应如一部分国际资本逆转会带动另一部分国际资本的逆转,国际资本在长期投资项目中的撤资导致国内资本投资短期化,加重资本的流动性风险。
(6)同时,模拟结果显示,流动性冲击大于外汇储备的概率p越大,双边货币互换的救援作用也越明显。
(7)起始点为0.33%,是因为模拟过程中未能准确找到0对应的冲击值。事实上,双边货币互换占国际资本的比值应该起始于0点。
(8)鉴于模型中外汇储备和双边货币互换共同作用下能够应对的流动性冲击范围是0.51～0.87。我们认为,当一个国家的外汇储备足够时,同时结合双边货币互换的政策工具却只能够应对0.60的流动性冲击,相对于0.87的流动性冲击来说,此时的双边货币互换额度是不足的。
2.黄嬿、丁剑平:《亚洲外汇储备普遍增长原因分析——基于空间计量杜宾模型的实证研究》,《国际金融研究》2017年第11期。
3.李仁真、杨心怡:《中欧货币互换协议的法律分析与政策思考》,《武汉大学学报(哲学社会科学版)》2014年第4期。
4.李巍、张志超:《一个基于金融稳定的外汇储备分析框架——兼论中国外汇储备的适度规模》,《经济研究》2009年第8期。
5.杨权:《全球金融动荡背景下东亚地区双边货币互换的发展——东亚金融合作走向及人民币角色调整》,《国际金融研究》2010年第6期。
6.杨权、裴晓倩:《资本账户开放、金融风险与最优外汇储备》,《国际金融研究》2011年第7期。
7.张明:《全球货币互换:现状、功能及国际货币体系改革的潜在方向》,《国际经济评论》2012年第6期。
8.钟阳:《亚洲市场中人民币国际化的影响因素——基于边贸结算和货币互换的实证分析》,《当代亚太》2011年第4期。
9.Aizenman, J., & Lee, J., International Reserves: Precautionary Versus Mercantilist Views, Theory and Evidence. Open Economies Review,Vol.18, No.2, 2007, pp.191-214.
10.Aizenman, J., Jinjarak, Y., & Park, D., International Reserves and Swap Lines: Substitutes or Complements?. International Review of Economics and Finance, Vol.20, No.1, 2011, pp.5-18.
11.Aizenman, J., & Pasricha, G.K., Selective Swap Arrangements and the Global Financial Crisis: Analysis and Interpretation. International Review of Economics and Finance, Vol.19, No.3, 2010, pp.353-365.
12.Aizenman, J., & Sun, Y., The Financial Crisis and Sizable International Reserves Depletion: From ‘Fear of Floating’ to the ‘Fear of Losing International Reserves’? International Review of Economics and Finance, Vol.24, No.38, 2009,2012, pp.250-269.
13.Andrade, G., & Kaplan, S.N., How Costly is Financial(Not Economic)Distress: Evidence from Highly Leveraged Transactions that Became Distressed. The Journal of Finance, Vol.53, No.5, 1998, pp.1443-1493.
14.Bianchi, J., Hatchondo, J.C., & Martinez, L., International Reserves and Rollover Risk. Working Paper, No.13-01R, 2013.
15.Calvo, G., Izquierdo, A., & Loo-Kung, R., Optimal Holdings of International Reserves: Self-insurance Against Sudden Stop. NBER Working Paper, No.18219, 2012.
16.Diamond, D.W., & Dybvig, P.H., Bank Runs, Deposit Insurance, and Liquidity. Journal of Political Economy, Vol.91, No.3, 1983, pp.401-419.
17.Dominguez, K.M.E., Hashimoto, Y., & Ito, T., International Reserves and the Global Financial Crisis, Journal of International Economics, Vol.88, No.2, 2012, pp.388-406.
18.Goldberg, L. S., Kennedy, C., & Miu, J., Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs. National Buereau of Economic Research, Vol.17, No.15763, 2010, pp.3-20.
19.Heller, H.R., Optimal International Reserves. Economic Journal, Vol.76, No.302, 1966, pp.296-311.
20.Hur, S., & Kondo, I. O., A Theory of Rollover Risk, Sudden Stops, and Foreign Reserves. Journal of International Economics, Vol.103, 2016, pp.44-63.
21.Liao, S., & McDowell, D., Redback Rising: China’s Bilateral Swap Agreements and Renminbi Internationalization. International Studies Quarterly, Vol.59, No.3, 2015, pp.401-422.
22.McDowell, D., The US As ‘Sovereign International Last-resort Lender’: The Fed’s Currency Swap Programme During the Great Panic of 2007-09. New Political Economy, Vol.17, No.2, 2012, pp.157-178.
23.Mcguire, P., & Peter, G.V., The US Dollar Shortage in Global Banking. BIS Quarterly Review, Part 4, March 2009.
24.Mcguire, P., & Peter, G.V., The Dollar Shortage in Global Banking and the International Policy Response. International Finance, Vol.15, No.2, 2012, pp.155-178.
25.Obstfeld, M., Shambaugh, J. C., & Taylor, A. M., Financial Instability, Reserves, and Central Bank Swap Lines in the Panic of 2008. American Economic Review, Vol.99, No.2, 2009, pp.480-486.
26.Obstfeld, M., Shambaugh, J. C., & Taylor, A. M., Financial Stability, the Trilemma, and International Reserves. American Economic Journal Macroeconomics, Vol.2, No.2, 2010, pp.57-94.
27.Rose, A. K., & Spiegel, M. M., Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis. Journal of International Economics, Vol.88, No.2, 2012, pp.326-340.
28.Taylor, J. B., The Rules-discretion Cycle in Monetary and Fiscal Policy. Finnish Economic Papers, Vol.25, No.2, 2011, pp.78-86.
(1)根据1963年IMF公开的Balance of Payments Manual第五版中定义,FDI是长期的、维持特定关系的投资,其逆转成本是高昂的,即正常情况下,FDI不会发生逆转,但当遭遇足够大的流动性冲击而使得逆转成本低于继续承受东道国金融不稳定的风险损失时,FDI投资者不得不低价出售未到期投资。
(2)等式右边的前三项分别为国际资本流动性冲击小于外汇储备、大于外汇储备但启用双边货币互换能应付流动性冲击以及大于两者之和时的期望产出,第四项为净外汇储备的资本收益,第五项为资本清算后支付的剩余国际资本本金及利息,第六项为启动双边货币互换后期末需要偿还的本金及利息。
(3)z分布为离散分布,从方程(4a)到方程(4b)的化简基于两条思路:一是将不同区间的z定义为一个点,这样,不同区间内的一个点发生的概率即为区间概率,如本文将z>z*r时的z值定义为z0,但z0可取不同值;二是将分区间的条件定义为指示函数(Indicator Function),如I(z>z*r)表示当条件z>z*r满足时概率为p,不满足时概率为0,I(z≤z*)表示当条件z≤z*满足时概率为1-p,不满足时概率为0。
(4)此时完全没有双边货币互换,但仍以z*r临界点衡量流动性风险的程度。
(5)间接效应如国际资本的逆转加重一国国际收支压力,影响国际贸易发展;市场利率的波动造成财富的不均衡流动,降低社会整体消费水平。传递效应如一部分国际资本逆转会带动另一部分国际资本的逆转,国际资本在长期投资项目中的撤资导致国内资本投资短期化,加重资本的流动性风险。
(6)同时,模拟结果显示,流动性冲击大于外汇储备的概率p越大,双边货币互换的救援作用也越明显。
(7)起始点为0.33%,是因为模拟过程中未能准确找到0对应的冲击值。事实上,双边货币互换占国际资本的比值应该起始于0点。
(8)鉴于模型中外汇储备和双边货币互换共同作用下能够应对的流动性冲击范围是0.51～0.87。我们认为,当一个国家的外汇储备足够时,同时结合双边货币互换的政策工具却只能够应对0.60的流动性冲击,相对于0.87的流动性冲击来说,此时的双边货币互换额度是不足的。