中国人民银行外汇冲销政策绩效及可持续性研究
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摘要
2001年以来,由于持续的经常项目顺差和资本流入,中国的外汇储备持续增长,中国人民币面临巨大的升值压力。为了保持人民币汇率的稳定,中国人民银行一直在购买超额的外汇供给,以阻止人民币汇率过快升值。在这个干预外汇市场的过程中,央行被动投放了大量的基础货币,造成中国国内货币市场流动性过剩,面临的通货膨胀压力逐渐加大。
面对储备积累造成的流动性过剩,以及通货膨胀的压力,中国人民银行为了达到货币政策目标实施了积极的冲销政策。一方面,中国人民银行多次调高存款准备金率;另一方面,中国人民银行也通过发行付息的央行票据作为主要的冲销手段。从2003年4月22日中国人民银行正式通过公开市场操作发行央行票据开始,央行票据的余额从3000多亿人民币上升到2010年底的四万亿人民币。
人民银行通过积累储备和积极的冲销政策,一方面保持了人民币汇率的稳定、渐进地升值,另一方面也保持了基础货币的平稳增长,较好地实现了汇率目标和货币政策的协调。
根据保罗·克鲁格曼的三元悖论,在开放经济下,一国货币政策的独立性,汇率的稳定性,资本的完全流动性不能同时实现,最多只能同时满足两个目标,而必须放弃另外一个目标。东南亚国家和中国在面对储备流入时采用了保持本国货币政策的独立性和汇率稳定,同时牺牲资本的完全流动性,实行一定程度资本管制的政策组合。而实现这种政策组合就是通过积累储备,同时进行积极的冲销来达到的。在这样的背景下,中国人民银行近几年来冲销操作的效果究竟如何,人民银行冲销政策是否能够一直持续下去呢?本文主要从这两个角度,对中国人民银行的冲销问题进行了深入的研究。
本文构造了一个开放经济的Bernanke-Blinder模型。在这个模型中,将一个明确的银行部门引入到标准的IS-LM模型中,同时引入一个国际收支方程,以便能够追寻资本流入对国内经济的影响以及央行的政策反应,从理论上分析央行的冲销政策对国内经济产生的效果。从比较静态分析结果来看,采用提高法定准备金率的方法比公开市场操作(减少高能货币存量)的方法对利率和国内经济的影响更大,这也是为什么很多发展中国家更倾向于采用法定准备金率作为主要冲销手段的原因之一。
接着本文对中国人民银行冲销干预的效果做出评估。本文利用一个包含四个内生变量(净国外资产变动、净国内资产变动、国内信贷和国内利率水平变动)和一个外生变量(国外利率水平)的VAR模型,来评估中国人民银行近几年来的冲销操作的效果,检验是否国外利率水平的下降造成国内外利差拉大是中国储备流入的主要原因。估计结果表明,净国内资产对净国外资产变动反应明显,而国内信贷和利率水平对净国外资产变动没有明显反应。这证明了人民银行实施了积极的冲销政策,成功地将储备积累对国内货币条件的影响隔离开来。
最后本文分析了人民银行冲销操作的可持续性。本文从成本和收益的角度来考量中国人民银行冲销操作的成本和持有外汇储备资产的收益情况。如果人民银行持有外汇储备资产的收益能够持续高于其冲销的成本,则目前的冲销操作可以持续进行下去,我国央行可以实现汇率目标与货币政策的协调。反之,如果人民银行持有外汇储备资产的收益无法弥补其冲销操作的成本,则冲销操作是不可持续的,必须终止,央行必须寻求其他的解决办法。估计结果表明,从目前来看,中国人民银行冲销操作收益大于成本,如果它持有的外汇储备资产平均期限较长(如10年)的话,冲销操作仍然可以持续一段时间。但是从长期来看,随着人民币的升值、央行票据余额不断累积和法定准备金率的提高,其冲销的成本会超过外汇储备的收益,特别是外汇资产的平均期限较短(如5年或以下)时,则冲销操作无法持续下去,必须终止。
虽然积累储备和冲销政策可以在短期内解决克鲁格曼的三元悖论,在一定程度上实现汇率目标和货币政策的协调,但是在长期中冲销的成本最终会超过外汇储备的收益,因此是无法持续的。央行必须寻求其他的解决外部失衡的办法,并保持货币政策的独立性。
Since 2001, because of the continuing current account surpluses and capital inflows, China's foreign exchange reserves continued to grow. China is facing tremendous pressure of the appreciation of RMB. In order to keep the RMB exchange rate stable, the People's Bank of China has been buying excess supply of foreign exchange to prevent excessive appreciation of the RMB exchange rate. In the process of foreign exchange market intervention, the central bank injected a large amount of high-power base money, resulting in the excessive liquidity in China's domestic money market and the increasing inflationary pressures.
Facing the excessive liquidity and inflationary pressures caused by reserve accumulation, the People's Bank of China has carried out an active sterilization policy in order to achieve monetary policy targets. On the one hand, the PBOC raised the required reserve ratio many times. On the other hand, the PBOC also issued interest-bearing central bank bills as a major sterilization means. From April 22th, 2003 when the PBOC firstly began issuing central bank bills through open market operations, the outstanding balance of central bank bills increases from more than 300 billion yuan to 4 trillion yuan at the end of 2010.
Through the accumulation of reserves and active sterilization policy, PBOC on the one hand could keep the stability and gradual appreciation of RMB exchange rate, and on the other hand maintained a steady growth of base money and achieved the coordination between the exchange rate target and the monetary policy targets.
According to Paul Krugman’s Impossible Trinity, in an open economy, a country could not simultaneously aquire the independence of monetary policy, the stability of exchange rate and capital mobility. It could only meet two goals, while it must give up another goal. Facing reserve inflows, Southeast Asian countries and China chose a policy combination of maintaining the independence of monetary policy and the stability of exchange rate at the expense of full capital mobility and implementing capital controls to some extent. To achieve this policy mix, these countries implemented reserve accumulation and active sterilization operations.
In this context, it is necessary to find out how effective the PBOC’s sterilization practice is, and whether the cost of its sterilization can be covered by the income of its foreign exchange reserves. This paper studies the issues of the PBOC’s sterilization in depth from these two angles.
This paper constructs an open economy Bernanke-Blinder model. In this model, a banking sector is introduced into the standard IS-LM model, also a BOP equation is introduced in order to find out the influence that capital inflows have on the domestic economy and the central bank's policy responses. According to the comparative static analysis results, the use of required reserve ratio has a greater impact on interest rates and the domestic economy than open market operations (decreasing high-powered money stock). That is why many developing countries tend to use required reserve ratio as an important sterilization means.
Then this paper assesses the effects of PBOC’s sterilized intervention. This paper uses a VAR model that contains four endogenous variables (changes in net foreign assets, changes in net domestic assets, changes in domestic credit and changes in domestic interest rate) and one exogenous variable (the level of foreign interest rate) to assess the effects of PBOC’s sterilization operations in the past few years and examine whether the decrease in foreign interest rate and the widening spreads between domestic and foreign interest rates is the main reason of China’s reserve inflows. Estimation results show that the net domestic assets response significantly to the changes in net foreign assets, while the domestic credit and interest rates have no obvious responses to the changes in net foreign assets. This proves that the PBOC have implemented an active sterilization policy and successfully isolated the domestic monetary conditions from reserve accumulation. Finally, this paper analyzes the sustainability of the PBOC’s sterilization policy.
From the perspective of costs and benefits, this paper examines the costs of PBOC’s sterilization operation and the benefits from foreign reserve assets. If the yields on foreign reserve assets are greater than the costs of sterilization, the current sterilizaton operation can be carried out continuously, and the central bank can achieve the coordination between monetary policy and exchange rate target. Conversely, if the benefits from foreign reserve assets can not make up the costs of sterilization, the sterilization operation will not be sustainable and should be ended. The central bank must seek for other solutions. Estimation results show that currently the yields on foreign reserve assets are greater than the costs of sterilization, if the average term of foreign assets held by the PBOC is long (e.g. 10 years). So the sterilization operation can still continue for some time. But in the long run, with the appreciation of yuan, the issuance of central bank bills and the increases in the required reserve ratio, the costs of sterilization will exceed the benefits from foreign reserves, particularly if the average duration of foreign assets is short (such as 5 years or below), then the sterilization operation could not continue and should be ended.
Although reserve accumulation and sterilization policy can solve the Krugman’s Impossible Trinity to a certain extent in the short run, this policy mix could not sustain in the long run because the costs of sterilization will eventually exceed the benefits from foreign reserves. The central bank must seek for other ways to solve the issues of external imbalances and maintain the independence of monetary policy.
面对储备积累造成的流动性过剩,以及通货膨胀的压力,中国人民银行为了达到货币政策目标实施了积极的冲销政策。一方面,中国人民银行多次调高存款准备金率;另一方面,中国人民银行也通过发行付息的央行票据作为主要的冲销手段。从2003年4月22日中国人民银行正式通过公开市场操作发行央行票据开始,央行票据的余额从3000多亿人民币上升到2010年底的四万亿人民币。
人民银行通过积累储备和积极的冲销政策,一方面保持了人民币汇率的稳定、渐进地升值,另一方面也保持了基础货币的平稳增长,较好地实现了汇率目标和货币政策的协调。
根据保罗·克鲁格曼的三元悖论,在开放经济下,一国货币政策的独立性,汇率的稳定性,资本的完全流动性不能同时实现,最多只能同时满足两个目标,而必须放弃另外一个目标。东南亚国家和中国在面对储备流入时采用了保持本国货币政策的独立性和汇率稳定,同时牺牲资本的完全流动性,实行一定程度资本管制的政策组合。而实现这种政策组合就是通过积累储备,同时进行积极的冲销来达到的。在这样的背景下,中国人民银行近几年来冲销操作的效果究竟如何,人民银行冲销政策是否能够一直持续下去呢?本文主要从这两个角度,对中国人民银行的冲销问题进行了深入的研究。
本文构造了一个开放经济的Bernanke-Blinder模型。在这个模型中,将一个明确的银行部门引入到标准的IS-LM模型中,同时引入一个国际收支方程,以便能够追寻资本流入对国内经济的影响以及央行的政策反应,从理论上分析央行的冲销政策对国内经济产生的效果。从比较静态分析结果来看,采用提高法定准备金率的方法比公开市场操作(减少高能货币存量)的方法对利率和国内经济的影响更大,这也是为什么很多发展中国家更倾向于采用法定准备金率作为主要冲销手段的原因之一。
接着本文对中国人民银行冲销干预的效果做出评估。本文利用一个包含四个内生变量(净国外资产变动、净国内资产变动、国内信贷和国内利率水平变动)和一个外生变量(国外利率水平)的VAR模型,来评估中国人民银行近几年来的冲销操作的效果,检验是否国外利率水平的下降造成国内外利差拉大是中国储备流入的主要原因。估计结果表明,净国内资产对净国外资产变动反应明显,而国内信贷和利率水平对净国外资产变动没有明显反应。这证明了人民银行实施了积极的冲销政策,成功地将储备积累对国内货币条件的影响隔离开来。
最后本文分析了人民银行冲销操作的可持续性。本文从成本和收益的角度来考量中国人民银行冲销操作的成本和持有外汇储备资产的收益情况。如果人民银行持有外汇储备资产的收益能够持续高于其冲销的成本,则目前的冲销操作可以持续进行下去,我国央行可以实现汇率目标与货币政策的协调。反之,如果人民银行持有外汇储备资产的收益无法弥补其冲销操作的成本,则冲销操作是不可持续的,必须终止,央行必须寻求其他的解决办法。估计结果表明,从目前来看,中国人民银行冲销操作收益大于成本,如果它持有的外汇储备资产平均期限较长(如10年)的话,冲销操作仍然可以持续一段时间。但是从长期来看,随着人民币的升值、央行票据余额不断累积和法定准备金率的提高,其冲销的成本会超过外汇储备的收益,特别是外汇资产的平均期限较短(如5年或以下)时,则冲销操作无法持续下去,必须终止。
虽然积累储备和冲销政策可以在短期内解决克鲁格曼的三元悖论,在一定程度上实现汇率目标和货币政策的协调,但是在长期中冲销的成本最终会超过外汇储备的收益,因此是无法持续的。央行必须寻求其他的解决外部失衡的办法,并保持货币政策的独立性。
Since 2001, because of the continuing current account surpluses and capital inflows, China's foreign exchange reserves continued to grow. China is facing tremendous pressure of the appreciation of RMB. In order to keep the RMB exchange rate stable, the People's Bank of China has been buying excess supply of foreign exchange to prevent excessive appreciation of the RMB exchange rate. In the process of foreign exchange market intervention, the central bank injected a large amount of high-power base money, resulting in the excessive liquidity in China's domestic money market and the increasing inflationary pressures.
Facing the excessive liquidity and inflationary pressures caused by reserve accumulation, the People's Bank of China has carried out an active sterilization policy in order to achieve monetary policy targets. On the one hand, the PBOC raised the required reserve ratio many times. On the other hand, the PBOC also issued interest-bearing central bank bills as a major sterilization means. From April 22th, 2003 when the PBOC firstly began issuing central bank bills through open market operations, the outstanding balance of central bank bills increases from more than 300 billion yuan to 4 trillion yuan at the end of 2010.
Through the accumulation of reserves and active sterilization policy, PBOC on the one hand could keep the stability and gradual appreciation of RMB exchange rate, and on the other hand maintained a steady growth of base money and achieved the coordination between the exchange rate target and the monetary policy targets.
According to Paul Krugman’s Impossible Trinity, in an open economy, a country could not simultaneously aquire the independence of monetary policy, the stability of exchange rate and capital mobility. It could only meet two goals, while it must give up another goal. Facing reserve inflows, Southeast Asian countries and China chose a policy combination of maintaining the independence of monetary policy and the stability of exchange rate at the expense of full capital mobility and implementing capital controls to some extent. To achieve this policy mix, these countries implemented reserve accumulation and active sterilization operations.
In this context, it is necessary to find out how effective the PBOC’s sterilization practice is, and whether the cost of its sterilization can be covered by the income of its foreign exchange reserves. This paper studies the issues of the PBOC’s sterilization in depth from these two angles.
This paper constructs an open economy Bernanke-Blinder model. In this model, a banking sector is introduced into the standard IS-LM model, also a BOP equation is introduced in order to find out the influence that capital inflows have on the domestic economy and the central bank's policy responses. According to the comparative static analysis results, the use of required reserve ratio has a greater impact on interest rates and the domestic economy than open market operations (decreasing high-powered money stock). That is why many developing countries tend to use required reserve ratio as an important sterilization means.
Then this paper assesses the effects of PBOC’s sterilized intervention. This paper uses a VAR model that contains four endogenous variables (changes in net foreign assets, changes in net domestic assets, changes in domestic credit and changes in domestic interest rate) and one exogenous variable (the level of foreign interest rate) to assess the effects of PBOC’s sterilization operations in the past few years and examine whether the decrease in foreign interest rate and the widening spreads between domestic and foreign interest rates is the main reason of China’s reserve inflows. Estimation results show that the net domestic assets response significantly to the changes in net foreign assets, while the domestic credit and interest rates have no obvious responses to the changes in net foreign assets. This proves that the PBOC have implemented an active sterilization policy and successfully isolated the domestic monetary conditions from reserve accumulation. Finally, this paper analyzes the sustainability of the PBOC’s sterilization policy.
From the perspective of costs and benefits, this paper examines the costs of PBOC’s sterilization operation and the benefits from foreign reserve assets. If the yields on foreign reserve assets are greater than the costs of sterilization, the current sterilizaton operation can be carried out continuously, and the central bank can achieve the coordination between monetary policy and exchange rate target. Conversely, if the benefits from foreign reserve assets can not make up the costs of sterilization, the sterilization operation will not be sustainable and should be ended. The central bank must seek for other solutions. Estimation results show that currently the yields on foreign reserve assets are greater than the costs of sterilization, if the average term of foreign assets held by the PBOC is long (e.g. 10 years). So the sterilization operation can still continue for some time. But in the long run, with the appreciation of yuan, the issuance of central bank bills and the increases in the required reserve ratio, the costs of sterilization will exceed the benefits from foreign reserves, particularly if the average duration of foreign assets is short (such as 5 years or below), then the sterilization operation could not continue and should be ended.
Although reserve accumulation and sterilization policy can solve the Krugman’s Impossible Trinity to a certain extent in the short run, this policy mix could not sustain in the long run because the costs of sterilization will eventually exceed the benefits from foreign reserves. The central bank must seek for other ways to solve the issues of external imbalances and maintain the independence of monetary policy.
引文
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