摘要
作为一国宏观经济管理的重要组成方面。外汇储备的管理不仅和国家的货币金融政策息息相关，而且其政策目标更是服务于国家总体经济发展战略需要的，具体表现为外汇储备资产的积累水平，币种结构和投放方向，要有利于生产能力的优化配置，经济的适度增长和国际收支的平衡。正是基于上述的政策目标，在确定外汇储备水平和储备构成时，外汇储备管理当局既要考虑风险—收益比率，又要综合考虑储备的流动性，储备的购买力，储备与进口支付和干预外汇市场需要等多种因素，做到安全性，流动性和盈利性的最佳组合。中国现阶段的外汇储备管理采用“一元制”的垂直管理体系，中国人民银行授权国家外汇管理局对外汇储备进行经营和管理，中国的外汇储备构成并不对外披露，但是普遍认为当前的外汇储备中，半数以上的储备资产是以美元形式持有的政府债券和机构债券。当前中国外汇储备规模的不断扩大、人民币汇率面临的外部升值压力，以及通过虚假利用外资、外汇资本金违规结汇、银行突破短期外债指标融入资金等非正当渠道和操作进入的“热钱”，都对中国开展外汇储备管理也提出了新的挑战。为了应对这种挑战，中国迫切需要实现对外汇储备的有效管理，其目标则是实现对外汇储备的多元化管理。所谓“多元化”管理，不是对传统外汇储备在规模和结构管理上的简单拓展，而是对外汇储备管理方式的一种重新诠释：在满足外部清偿性和预防性储备需求的前提下，对外汇储备进行具备调整灵活性、风险可控的投资组合管理。外汇储备适度规模的确定、储备结构的选择为利用外汇储备开展投资提供了基础性条件，而外汇储备的投资也会推进储备规模向适度规模的调整和实现最优储备结构的构建。
本文综合Frenkel模型、Heller-Knight模型、Dooley模型等多种数量模型，结合比率分析和计量回归方法研究了中国外汇储备的适度规模和最优化结构；通过案例分析的形式对中国开展外汇储备投资绩效进行了评估；结合主要发达经济体、新兴和发展中经济体在外汇储备管理上的经验和启示，探讨了中国外汇储备管理框架的构建和具体的实施路径；对新中国成立以来在外汇储备管理上的历史进行了系统性的梳理，指出了当前管理部门面临的主要问题和挑战，为中国外汇储备管理制度的改革和完善提供了有益的政策建议。
本文主要得到了以下结论：（1）1994年之后，中国外汇储备实际规模已经偏离了适度规模的范围，且这种偏离程度在2001年之后逐渐扩大。基于贸易收支所引起的储备持有，排除投资和干预性需求也不能完全解释中国实际储备和最优规模之间的缺口，因此中国目前确实存在储备过剩现象；（2）2000年之后，中国持有的外汇储备头寸中，美元作为核心储备货币，在储备币种构成的地位维持了较稳定的状态，欧元权重有所加强，日元的储备地位呈现出比较大的下降。以贸易结构估计中国的最优外汇储备结构中，美元占60%，欧元20%，日元10%，其他10%；以债务结构估计中国最优外汇储备的构成，美元占75%，欧元10%，日元10%，其他5%；（3）中国应当改革现有的外汇管理体制，建立“多元制”管理结构，以实现储备的“多元化”管理。
As an important part of a country's macroeconomic management, foreignexchange reserve management is not only closely related to the country's monetaryand financial policies, but its policy objective is also to serve the needs of thecountry's overall economic development strategy, which lies in the level ofaccumulation of foreign currency reserve assets, the currency structure and direction,optimized allocation that is conducive to productivity, moderate economic growth andthe balance of international payments. It is based on the above policy objectives thatwhen determining the level and composition of foreign reserves, authorities shouldconsider the risk-benefit ratio, as well as the liquidity of the reserves, the purchasingpower of reserves, reserves and import cover, intervention in foreign exchange marketneeds and many other factors, so as to achieve a best combination of safety, liquidityand profitability.
The current stage of China's foreign exchange reserves management uses avertical management system–the People's Bank of China authorized the StateAdministration of Foreign Exchange reserves to conduct operation and management.The composition of China's foreign exchange reserves is not publicly disclosed, butwhat is generally agreed is that among the current foreign exchange reserves, morethan half of the reserve assets are government bonds and agency bonds in US dollars.China's foreign exchange reserves continue to expand, facing external pressure toappreciate the RMB exchange rate. Besides, the false use of foreign investment, theirregular settlement of foreign exchange capital, banks breakthrough short-termexternal debt indicators into the capital and other non-legitimate channels andoperations into the "hot money" also posed new challenges to China's foreignexchange reserves management.
To address these challenges, China is in urgent need to implement effectivemanagement of foreign exchange reserves–Its goal is to achieve diversification offoreign exchange reserves management."Diversified" management does not mean asimple expansion of size and structure of the traditional management of foreign exchange reserves, but a new interpretation of how foreign exchange reserve shouldbe managed: to meet the external solvency and preventive reserve requirements as aprecondition, flexible and risk-controlled portfolio management should be adopted.The settlement of a moderate scale for foreign exchange reserves and the choice of thereserve structure lay a foundation for using foreign exchange reserves to doinvestment. And investment of foreign exchange reserves will in turn facilitate theadjustment of the reserve capacity to the appropriate scale and the achievement of theoptimal reserve structure.
This dissertation combines Frenkel model, Heller-Knight model, Dooley modelas well as several other models, together with the ratio analysis and measurement ofregression methods, to study the appropriate scale of China's foreign exchangereserves and the optimal structure; to assess the investment performance of foreignexchange reserves by case studies; to explore China's foreign exchange reservesmanagement framework and specific implementation path based on experiences andinspirations from the major developed economies, emerging and developingeconomies in foreign exchange reserves management; to systematically streamline thehistory of China's foreign exchange reserves management since the founding of newChina and point out the major issues and challenges currently faced by themanagement departments; and to provide useful policy recommendations forreforming and improving the management system for China's foreign exchangereserves.
This dissertation comes to the following conclusions:(1) after1994, the actualsize of China's foreign exchange reserves has deviated from the scope of a moderatescale, and this deviation gradually expanded after2001. Held reserves caused by thetrade balance, with investments and interventions demand excluded, cannot fullyexplain the gap between China's actual reserves and the optimal size. Thus Chinaindeed faces excess in reserves;(2) after2000, in terms of positions in China’s foreignexchange reserves, the U.S. dollar as the core reserve currency has maintained arelatively stable state; the euro's weight has been strengthened, whereas that of theJapanese yen declined. The estimate based on China’s trade structure shows that the optimal structure of foreign exchange reserves is where the dollar accounts for60%,euro for20%, Japanese yen for10%and other for10%; the estimate based on China'debt structure shows that the optimal structure of foreign exchange reserves is wherethe dollar accounts for75%, the euro for10%, yen for10%, and other for5%;(3)China should reform the current foreign exchange management system, and establisha “diversified” management structure, in order to achieve "diversification" of thereserve management.
引文
①马建堂，2011年国民经济继续保持平稳较快发展，EB/OL：
①罗航，《外汇储备与风险管理》，武汉大学出版社，2009年，pp57
①中国人民银行，2011年第四季度中国货币政策执行报告，pp1
②中国人民银行，2011年第四季度中国货币政策执行报告，pp2
①张晓峒,EViews使用指南与案例[M].机械工业出版社,2007.pp114
①中投公司2010年年报，pp27
①中投公司2010年年报，pp38
①Audit of Exchange Stabilization Fund’s Fiscal Years2011and2010Financial Statements,2011,pp2
①Board of Governors of the Federal Reserve System，Foreign Currency Operations，Chapter4：The FederalReserve in the International Sphere，The Federal Reserve System：Purposes and Functions，pp53-54
①Debt and reserves management report2011-12,HM Treasury,pp13
①HM Treasury，Management of the Official Reserves,pp4-5
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