中国高额外汇储备：成因、影响与数量管理
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摘要
根据国家外汇管理局公布的数据,截止2011年12月中国外汇储备总量达到3.18万亿美元,占全球外汇储备总量的30.3%,连续六年居世界首位,是世界第二位日本的2.5倍。建国初1950年中国的外汇储备量仅为1.57亿美元,至改革开放初(1978年)中国的外汇储备也未突破十亿美元。然而此后中国外汇储备逐年稳步增加,1982年突破百亿大关,1996年突破千亿大关。2000年后中国外汇储备进入快速增长通道,2006年、2009年和2012年相继突破一万亿、两万亿和三万亿大关。客观上讲,中国外汇储备增长的根本原因在于自身经济实力的提升,其直接原因在于中国入世后“世界工厂”地位的确立和长期实行优惠的引资政策作用的结果。迅速累积起的高额外汇储备增强了中国应对国际收支波动、稳定汇率的能力,提升了投资者对于中国应对货币金融危机的信心。
福兮祸之所伏。中国高额、高速增长的外汇储备也带来了一系列的问题：首先,在现行汇率制度以及结售汇规定的约束下,外汇储备增长的“通货膨胀”效应愈加明显。虽然货币当局强力冲销政策取得了不错的效果,但冲销成本问题愈加突出；其次,高额外汇储备对人民币汇率形成的升值压力与日俱增,而货币当局针对外汇市场的干预指数却波动更加剧烈,货币当局的外汇市场干预面临着平抑汇率过度波动与“完善人民币汇率生成机制(汇率由市场决定)”的两难选择；再次,在汇率制度和外汇储备的束缚下,货币当局执行货币政策的独立性可能受到一定限制；最后,在全球金融震荡不断的背景下,外汇储备的保值增值问题引起公众越来越多的关注,如何有效地分散外汇储备资产规避风险,成为外汇管理部门棘手的难题。
如何理解中国外汇储备激增的制度性成因和直接诱因?外汇储备激增对国内物价形势、人民币汇率压力以及货币当局政策独立性在数量上有何影响?如何切断外汇储备增长的“通货膨胀”渠道?如何确定中国最优的外汇储备数量?如何在现行的国际货币体系下,减少中国外汇储备的“多余量”?愈演愈烈的东亚货币金融合作催生了东亚外汇储备库,这其中各国的成本收益如何?东亚外汇储备库的建设能否有效降低各国外汇储备持有量?中国外汇储备管理体制还应如何优化?这都是本文研究的问题。
本文认为：(1)中国高额外汇储备的制度性根源在于出口导向型的发展模式,政策性根源在于强制结售汇制、银行外汇头寸限额以及固定(或者说钉住一揽子货币)汇率体制,直接原因则在于经常项目和资本金融项目的盈余以及“投机性”资本流动；(2)切断外汇储备的“通货膨胀”渠道是降低外汇储备对物价影响、提升货币政策独立性、减少外汇储备冲销成本和人民币汇率市场升值压力的关键。而这一选择需要货币当局向财政部门“移权”,建立“财政部门主导、外汇管理部门配合”的外汇管理体制；(3)在计算中国最优的外汇储备数量问题上应首先考察自身持有外汇储备的诸多动机,在确定中国持有外汇储备动机的基础上建立模型,同时按照货币分析法的观点,在确定最优外汇储备量的时候也应充分国内货币市场失衡状况的影响；(4)中国应积极参与东亚外汇储备库建设,通过“俱乐部效应”减少东亚经济体之间的外汇储备竞争,增加抵御金融风险的整体实力,并且在东亚外汇储备库中的份额和影响力。既有的研究表明,人民币在东亚经济体中的影响日益增加,更多的东亚经济体选择(或者说“倾向”)钉住人民币,中国应进一步深入推进人民币国际化进程,增加人民币在东亚货币中的“区域主导货币”的地位,减少东亚和自身对美元的依赖；(5)中国的主权财富基金应借鉴发达经济体成熟的管理模式,增加透明度和独立性,强化内控机制和外部风险控制的制度建设。
全文共九章,结构安排和主要内容如下：
第一章是绪论,主要阐述本文的研究背景、意义,研究思路和逻辑,可能的创新点和不足以及主要研究方法。
第二章是外汇储备管理理论简述,主要对外汇储备的内涵、功能、国际收支调节理论进行简介,同时综述了外汇储备最优数量、最优币种结构和最优资产结构的经典计算方法。
第三章首先介绍中国及世界外汇储备概况、外汇储备管理制度的历史沿革。在此基础上从直接性、政策性和制度性三个角度剖析中国外汇储备激增的成因,并对外汇储备未来走势进行预测。
第四章主要分析中国外汇储备激增对国内物价、人民币外汇市场、中央银行独立性的影响以及货币当局冲销政策的效果和对外汇市场干预的效果。实证研究表明外汇储备激增与国内物价存在内在联系,面对外汇储备的“通胀渠道”,货币当局一直进行强力的冲销,尽管冲销效果不错,但冲销成本不容忽视。在外汇储备激增对人民币汇率造成压力的问题上,本文使用“模型依赖(Model Dependent)"的Weymark指数估计了1996年来我国面临的外汇市场压力指数(Exchange Market Pressure Index, EMP)和央行外汇干预指数(Exchange Market Intervention Index, EMI),并将其与其他7种“模型非依赖型(Model-Free Measurement)"模型所估计的外汇市场压力指数和干预指数进行对比,实证结果显示1996年来人民币总体上面临着升值压力,但不同时期压力存在显著的差异：1996年-2000年期间货币当局的升值压力逐渐减少,也可以认为此间货币当局面临着一定的贬值压力;2000年-2006年间货币当局的EMP指数一直呈现下降态势,说明此间货币当局面临着较大的升值压力；2008年以后EMP指数再度上升,说明货币当局的升值压力逐渐缓解,甚至在2011年前后出现强烈的贬值压力。样本期间中央银行平均干预指数1.155,说明我国央行实行的是强势干预政策。针对外汇储备增加与中国面临的“三元悖论”问题,本文从实证的角度发现中国货币当局还是能够在错综复杂的形势下保证自身货币政策的独立性,中国高额外汇储备对于货币当局政策独立性不存在显著的影响。
第五章是从亚洲总体的角度探讨外汇储备增长的原因,对亚洲44个经济体分析亚洲外汇储备增长的共同原因以及在经济体不同发展程度(收入水平)、汇率制度和地域上持储行为的差异。本章构建了面板数据模型剖析亚洲经济体囤积外汇储备的动机问题。实证结果表明：亚洲经济体外汇储备囤积行为存在着交易性动机、预防性动机、重商主义动机和攀比动机；从存量上看,交易性动机和基于预防资本外逃的预防性动机作用最大,但前者比较稳定,后者是驱动外汇储备变动的最重要因素。攀比动机和基于预防经常项目波动的预防性动机存在着上升的趋势,成为驱动外汇储备变化新的因素；此外,持储动机在不同发展程度和不同汇率制度经济体中也存在着显著的差异性。
第六章使用1992-2010年中国宏观经济季度数据,利用外汇储备动态调整模型从数量和持有动机角度考察了中国最优外汇储备的持有行为。实证结果表明：中国的最优外汇储备持有行为体现着交易性、预防性、重商主义和攀比四种动机；交易性动机和攀比动机对最优外汇储备持有行为的影响最大,预防性动机在2006年以后逐渐强化,而重商主义动机和汇率因素的影响微弱,攀比动机呈现明显的危机驱动型特征；中国外汇储备的变动显著地受储备缺口和货币缺口调整的影响；中国的实际和最优外汇储备量自2002年起陡增,但后者始终低于前者；出口导向型的增长模式、资本管制和强制结售汇制以及汇率弹性不足导致中国的储备缺口调整系数λ较低并最终导致中国最优外汇储备量不断攀升。同时本章还对比了动态调整模型下最优外汇储备量与传统经验比率法、成本收益法下最优数量之间的差异。
第七章主要就东亚外汇储备库的成因、制度缺陷和绩效评估进行分析。首先阐述东亚外汇储备库建立的经济动因,随后利用“保险指数(Coverage Ratio)"方法具体测算了东盟10+3在参与东亚外汇储备库建设中的收益和成本问题,随后探讨了东亚外汇储备库的制度性缺陷以及在在外汇储备库建设过程中中国的角色扮演问题。
第八章主要分析中国外汇储备管理模式的改进。该章首先概述了我国外汇储备管理的总体框架,并对中国持有的以美元标价的外汇储备资产收益状况进行实证估计,结果发现2002年-2010年中国持有的以美元标价的外汇资产整体名义收益率为2.59%,剔除通货膨胀因素并考虑汇率变动带来的收益后,实际收益率仅为0.27%。随后本章对中国所持外汇资产的管理绩效通过“变异系数”指标进行考察,发现中国的外汇资产管理效率低于比利时、中国香港、中国台湾、日本、韩国,但高于其他发达经济体,文中对这一“吊诡”现象进行深入的剖析。针对中国外汇储备管理存在的诸多问题,本文设计了“财政接管”的外汇储备管理框架,并对财政部门与货币部门的协调分工进行细化。就外汇储备本身的管理而言,本文提出按照外汇储备功能分层管理的思想,并对投资、管理思路进行细化。同时,就外汇储备管理的治理结构、透明度和外部监管问题提出政策建议。
第九章是全文总结。
本文存在的可能的创新点和不足有：(1)在分析思路上,针对外汇储备成因从制度上、政策上和直接诱因三个角度剖析外汇储备激增的成因,使成因分析更全面、深入;(2)系统的考察了外汇储备对国内物价的冲击、对外汇市场造成的压力以及对中央银行货币政策独立性产生的影响,同时估计了中央银行货币冲销的效果、外汇市场干预效果；(3)在分析最优外汇储备量时,突破了以前线性模型中“外汇储备均衡”的缺陷,利用动态调整模型确定中国最优外汇储备量,使分析更加贴近实际。同时对持有外汇储备的不同动机进行静态和动态分解,并从调整系数的角度分析中国最优外汇储备高企的成因。这在以前研究中鲜有涉及；(4)不同于以往从国际货币体系改革的角度论述减少中国外汇储备的路径,而是从东亚外汇储备库的建设角度分析其对减少中国乃至东亚外汇储备囤积的作用;(5)在分析方法上不仅有亚洲整体的横向面板数据分析,也有针对中国的纵向时序分析,所用数据不仅有年度、季度的低频数据,也有月度的乃至周、日的高频数据,从而使研究更加全面和稳健;(6)首次论述了“财政主导,央行配合”的外汇储备管理思路、框架。
文章的不足之处可能有：(1)在分析中国最优外汇储备量时使用的是1992年-2010年的季度时间序列数据,考虑到变量比较多但时间维度相对较短,有可能会影响自由度。对于进口倾向m出现与逻辑和经验不吻合的系数符号,文中解释不足；(2)对于外汇储备的投资途径,由于数据限制,本文并未考虑投资于黄金这个重要的渠道；(3)限于篇幅,本文仅围绕着外汇储备最优数量展开分析,但外汇储备管理不仅包括数量管理,还应涵盖结构管理(币种结构、资产结构、地域结构)、风险管理(汇率风险、违约风险等)这两个方面。
According to data released by the State Administration of Foreign Exchange (SAFE), the total amount of China's foreign exchange reserves (hereinafter referred to as "FX") has reached＄3.18trillion up to March2011, accounting for30.3%of global FX. China has been the largest holder of FX since2005, with its amount1.5times higher than Japan, which ranks the second place of world largest FX holders. In1950s, China only has157million FX and did not exceed1000million before it took opening and reform policy in1978. Since then, however, China's FX grew slowly and exceeded10billion and100billion in1982and1996by each. Chinese FX growth accelerated since2000s and exceeded1trillion,2trillion and3trillion in2006,2009and2012successively. Objectively speaking, the fundamental reason of China's FX surging lies in the rising of its economic power and direct resons are establishment of "world factory" status, preferential policies and investment incentives to encourage investment after China's accession to the WTO. The rapid growth of China's FX enhances the its capacity to cope with the fluctuations of balance of payments, to stabilize foreign exchange rate, and strengthen investors'confidence on China's ability to deal with monetary and financial crisis.
Misfortune may be a blessing in disguise. China's highly growth and tremendous amount of FX also provoke a series of problems:First of all. bound by the current exchange rate regime and mandatory FX sales and settlement policies, the inflation effect of FX becomes more and more obvious.Although China's monetary authority has excuted sterilized policy very well, but the sterilization costs are rising; Second, high FX has posed intense pressure on RMB appreciation. At the same time, the volatility of monetary authority's EMI has increased greatly. It seems that monetary authority is facing a dilemma between stabilizing RMB exchange rate and improving RMB exchange rate formation mechanism. Third, the autonomy of China's monetary authority may be restricted due to the current exchange rate regime and tremendous amount of FX. In the background of global financial turbulence, how to increase the value of FX and how to effectively diversified FX assets to avoid risks? SAFE have not got effective solutions.
What is the fundamental cause and direct cause of China's high-speed growth of FX? What is the quantitative effect of tremendous amount of FX on domestic price level, RMB exchange rate pressure and monetary autonomy of monetary authority? How to cut off the inflationary channel of FX? How to ascetain China's optimal quantity of FX? How to reduce China's excessive FX under contemportorary international monetary system? East-Asia monetary and financial cooperation has inspired the foundation of "East-Asia Reserve Pooling", what is China's cost and benefit in it? Will "East-Asia Reserve Pooling" reduce East-Asian countries'FX effectively? How to optimalize China's FX management regime? All these issues will be studied in this dissertation.
This dissertation argues that:(1)The institutional causes of China's tremendous amount of FX lies in export-led economic growth mode, while the policial causes lies in mandatory FX settlement and sales, bank's FX position limits and pegged exchange rate, the direct causes lies in current account surplus, capitial and financial account surplus and spectualtive capital flows:(2)Cut off the inflationary channel of FX is key to enhance monetary autonomy, reduce sterilize costs and EMP of RMB.To realize these goals, China should construct a "financial dominant, monetary appurtenant" FX management system and exchange rate formation system;(3)To compute China's optimal quantity of FX, one should ascertain the motivations of FX holding and then build models on that basis.According to monetary approach, domestic financial market dis-equilibrium also affect balance of payments and FX.So, to ascertain China's optimal quantity of FX, one should not neglect the monetary dis-equilibrium factors;(4)China should actively participate in the construction of "East-Asia Reserve Pooling",which could reduce FX competitive hoarding between East-Asian countries through "clubs effect" and increase overall capacity to cope with financial crisis.The exisiting studies shows that the influence of RMB has increased greatly in East-Asian economies.one example is that more and more East-Asian countries pegged their currency to RMB.China should further promote RMB internationalization,strengthening the status of RMB as "reginal dominate currency" and reducing East-Asian economies' dependence on US dollar;(5)China's sovereign wealth fund should learn mature management mode from developed economies, increasing management transparency and independence, strengthening construction of internal control mechanisms and external risk control system.
The dissertation is divided into nine parts, the structural arrangement and the main contents are as follows:
Chapter one is introduction. In this chapter. I introduce the research background, significance, research framework, research methods and the contributions of this dissertation.
The second chapter is a brief introduction of FX management theory, including the meaning, function of FX. balance of payments adjustment theory, the classical methods to compute the optimal quantity of FX, the optimal currency structure and optimal asset structure of FX.
Chapter Ⅲ firstly give an overview on China's and the world's FX, China's FX management history. On this basis, I analysis of the causes of China's tremendous amount of FX from institutional, policial and direct perspective. After that I forecast China's FX growth rate.
Chapter Ⅳ mainly analyse the impact of China's FX surge on domestic prices levels. RMB exchange markets pressures, central bank's independence and monetary authority's autonomy.This chapter also evaluate the effectiveness of monetary authority's sterilization policy and foreign exchange market intervention policy. Empirical studies show that:FX surging intrinsically linked with domestic inflation; monetary authority excute positive sterilization policies to disappoint domestic inflation, but the effectiveness need further observation. I use Mo del-Dependent Weymark index to measure the foreign exchange market pressure on the RMB exchange rate caused by tremendous amount of FX.Using monthly and quarterly data between1996and2011. I calculate China's EMP (Exchange Market Pressure Index) and EMI (Exchange Market Intervention Index) and compared my result with seven other Model-Free measurements.Emperical results shows that:generally speaking,RMB is facing appreciation from1996.But that pressure shows significant differences in different periods:between1996and2000, China's EMP is increasing,which means the appreciation pressure monetary authorities facing gradually reduced, also we can deduce that monetary authority is facing a certain of devaluation pressure; from2000to2006, China's EMP index show some what downward trend, indicating that the monetary authority is facing strong appreciation pressure; After2008,China's EMP index rise again, indicating that the appreciation pressure RMB gradually ease and devaluation pressure is cumunlating. In the sample period, China's central bank intervention index is1.155, indicating that China's central bank took intencified intervention policy. With 'Trilemma" problems China facing, my empirical result proves that China was able to guarantee the monetary policy independence, but did not find any evidence of high FX enhancing the independence of monetary policy.
Chapter Ⅴ investigates the reasons for the FX growth of Asia, the overall of44Asian economies'empirical results show that:Foreign exchange reserves held by Asian economies has increased significantly in both absolute and relative share after the collapse of Bretton Woods System, which has gone far beyond the traditional theory. Why Asia economies prefer to hoard FX? Around this issue, I make a review on the motivation theory of FX accumulation, and then construct a panel data model of FX hoarding in Asia. The empirical results show that:In general, Asian economies'accumulation of FXs the presence of transaction motivation, precautionary motivation, mercantilist motivation and competitive motivation:From the stock point view, the transaction motivation and precautionary motivation based on the prevention of capital flight are of the largest influence, with the former is stable and the latter is the most important factor driving changes in FXs. Competitive motivation and precautionary motivation to prevent current account fluctuations are of upward trending, which became new factors driving the change of foreign exchange reserves; besides, FX holding motivation shows significant difference in different income groups and different exchange rate regimes groups.
Chapter Ⅵ mainly using quarterly data between1992and2010to construct a reserve adjustment model under monetary disequilibrium framework including monetary factor to explore the quantitative characteristics of China's optimal FXs. The empirical result shows that:China's accumulation of optimal FXs reveals the presence of transaction motivation, precautionary motivation, mercantilism motivation, competitive motivation and the influence of exchange rate volatility. The transaction motivation and competitive motivation are of the largest influence, the precautionary motivation is of upward trending since2006, while the mercantilism motivation and exchange rate factor are of weak influence; Adjustments of reserve demand gap and monetary demand gap has significant influence on optimal FXs; China's actual and optimal FXs are surging since2002: Export-led mode of economic development, capital controls, mandatory FX sales and settlements, limited exchange rate elasticity leads to lower adjustment coefficient λ,which finally leads to China's high optimal foreign reserves. In this section I also compare the results from dynamic adjustment model of optimal FX with the traditional empirical results from ratio methods, cost-benefit methods.
Chapter Ⅶ analyzes the main causes of the East Asian foreign exchange reserve pool being constructed, its performance and institutional defects. At first I investigate the economic motives of East Asian reserve pooling. And then estimates the benefits and the costs of ASEAN10+3joining East Asian reserve pooling using "Insurance Index (Coverage Ratio)". At last I explore the institutional deficiections of "East Asian foreign exchange reserve pooling" and the China's role in the construction of the foreign exchange reserve pooling.
Chapter Ⅷ analyse the improvement of China's FX management model. This chapter outlines the institutional framework of China's FX management system, and estimates the earnings ratio of China's dollar-denominated foreign currency reserve assets. The results show that the overall nominal rate of foreign exchange assets earnings rate is2.59%between2012and2010, but the actual rate is only0.27%. I also evaluate the management performance of China's foreign exchange assets using variation coefficient, I found that China's asset management efficiency is lower than Belgium, Hong Kong(China), Taiwan(China), Japan, South Korea, but higher than developed economies such as UK,Norway.I deeply analyze this "paradox". To resolve the problems of China's foreign exchange reserve management, I propose a framework of "financial dominate, central bank participate", which coordinate financial sector and monetary sector in FX management.This chapter refines the ideology of hierarchical management in accord to the FX's function, as well as the investment management ideas. At the same time. I give some advices on FX management, governance structure, transparency and external supervision mechanism.
Chapter IX is summary.
Possible innovation:(1)I analyse the causes of FX from three perspectives including institutional causes, policial causes and direct causes, so my analysis is more comprehensive and in-depth;(2)I systematically investigate the impacts of FX on the domestic price, RMB exchange market pressure as well as the polcy independence of the People's Bank of China; I also evaluate the effectiveness of central bank's sterilization policies and the foreign exchange market intervention policies;(3)I use dynamic adjustment model to overcome the shortcomings of linear models in estimating the optimal quantity of China's FX,which make my analysis more realistic.Meanwhile, I analyse the different motives of the high FX helding and make Static and dynamic decomposition, and then analyse the cause of China's tremendous amount of FX's increasing from the point of adjusting coefficient λ,Which rarely involved in previous studies;(4)Previous studies ananlysing the methods to reduce China's tredmendous FX mainly from the perspect of the international monetary system reform,insted I analyze the role of "East Asian economies'reserve pooling" in reducing the foreign exchange reserve accumulation;(5) My analyse using not only the Asian panel data but also the Chinese time data series, so that my study is more comprehensive and robust;(6) For the first time I discussed the ideas of the mode "financial dominate, central bank participate" framework in FX management.
Possible deficiencies:(1)I only use the time series data between1992to2010in the analysis of China's optimal FX due to the availableness of data, which may affect degrees of freedom in my estimation. The problem of the propensity to import m is not consistent with the traditional theories and experiences, which I do not provide a convincing explainations;(2)Due to data limitation, this dissertation does not consider investing in gold;(3)Because of the limitation of space, I only calculated the optimal quantity of China's FX. did not calculate the optimal currency structure and asset structure of China's FX, both of which are very important for reserve management.
福兮祸之所伏。中国高额、高速增长的外汇储备也带来了一系列的问题：首先,在现行汇率制度以及结售汇规定的约束下,外汇储备增长的“通货膨胀”效应愈加明显。虽然货币当局强力冲销政策取得了不错的效果,但冲销成本问题愈加突出；其次,高额外汇储备对人民币汇率形成的升值压力与日俱增,而货币当局针对外汇市场的干预指数却波动更加剧烈,货币当局的外汇市场干预面临着平抑汇率过度波动与“完善人民币汇率生成机制(汇率由市场决定)”的两难选择；再次,在汇率制度和外汇储备的束缚下,货币当局执行货币政策的独立性可能受到一定限制；最后,在全球金融震荡不断的背景下,外汇储备的保值增值问题引起公众越来越多的关注,如何有效地分散外汇储备资产规避风险,成为外汇管理部门棘手的难题。
如何理解中国外汇储备激增的制度性成因和直接诱因?外汇储备激增对国内物价形势、人民币汇率压力以及货币当局政策独立性在数量上有何影响?如何切断外汇储备增长的“通货膨胀”渠道?如何确定中国最优的外汇储备数量?如何在现行的国际货币体系下,减少中国外汇储备的“多余量”?愈演愈烈的东亚货币金融合作催生了东亚外汇储备库,这其中各国的成本收益如何?东亚外汇储备库的建设能否有效降低各国外汇储备持有量?中国外汇储备管理体制还应如何优化?这都是本文研究的问题。
本文认为：(1)中国高额外汇储备的制度性根源在于出口导向型的发展模式,政策性根源在于强制结售汇制、银行外汇头寸限额以及固定(或者说钉住一揽子货币)汇率体制,直接原因则在于经常项目和资本金融项目的盈余以及“投机性”资本流动；(2)切断外汇储备的“通货膨胀”渠道是降低外汇储备对物价影响、提升货币政策独立性、减少外汇储备冲销成本和人民币汇率市场升值压力的关键。而这一选择需要货币当局向财政部门“移权”,建立“财政部门主导、外汇管理部门配合”的外汇管理体制；(3)在计算中国最优的外汇储备数量问题上应首先考察自身持有外汇储备的诸多动机,在确定中国持有外汇储备动机的基础上建立模型,同时按照货币分析法的观点,在确定最优外汇储备量的时候也应充分国内货币市场失衡状况的影响；(4)中国应积极参与东亚外汇储备库建设,通过“俱乐部效应”减少东亚经济体之间的外汇储备竞争,增加抵御金融风险的整体实力,并且在东亚外汇储备库中的份额和影响力。既有的研究表明,人民币在东亚经济体中的影响日益增加,更多的东亚经济体选择(或者说“倾向”)钉住人民币,中国应进一步深入推进人民币国际化进程,增加人民币在东亚货币中的“区域主导货币”的地位,减少东亚和自身对美元的依赖；(5)中国的主权财富基金应借鉴发达经济体成熟的管理模式,增加透明度和独立性,强化内控机制和外部风险控制的制度建设。
全文共九章,结构安排和主要内容如下：
第一章是绪论,主要阐述本文的研究背景、意义,研究思路和逻辑,可能的创新点和不足以及主要研究方法。
第二章是外汇储备管理理论简述,主要对外汇储备的内涵、功能、国际收支调节理论进行简介,同时综述了外汇储备最优数量、最优币种结构和最优资产结构的经典计算方法。
第三章首先介绍中国及世界外汇储备概况、外汇储备管理制度的历史沿革。在此基础上从直接性、政策性和制度性三个角度剖析中国外汇储备激增的成因,并对外汇储备未来走势进行预测。
第四章主要分析中国外汇储备激增对国内物价、人民币外汇市场、中央银行独立性的影响以及货币当局冲销政策的效果和对外汇市场干预的效果。实证研究表明外汇储备激增与国内物价存在内在联系,面对外汇储备的“通胀渠道”,货币当局一直进行强力的冲销,尽管冲销效果不错,但冲销成本不容忽视。在外汇储备激增对人民币汇率造成压力的问题上,本文使用“模型依赖(Model Dependent)"的Weymark指数估计了1996年来我国面临的外汇市场压力指数(Exchange Market Pressure Index, EMP)和央行外汇干预指数(Exchange Market Intervention Index, EMI),并将其与其他7种“模型非依赖型(Model-Free Measurement)"模型所估计的外汇市场压力指数和干预指数进行对比,实证结果显示1996年来人民币总体上面临着升值压力,但不同时期压力存在显著的差异：1996年-2000年期间货币当局的升值压力逐渐减少,也可以认为此间货币当局面临着一定的贬值压力;2000年-2006年间货币当局的EMP指数一直呈现下降态势,说明此间货币当局面临着较大的升值压力；2008年以后EMP指数再度上升,说明货币当局的升值压力逐渐缓解,甚至在2011年前后出现强烈的贬值压力。样本期间中央银行平均干预指数1.155,说明我国央行实行的是强势干预政策。针对外汇储备增加与中国面临的“三元悖论”问题,本文从实证的角度发现中国货币当局还是能够在错综复杂的形势下保证自身货币政策的独立性,中国高额外汇储备对于货币当局政策独立性不存在显著的影响。
第五章是从亚洲总体的角度探讨外汇储备增长的原因,对亚洲44个经济体分析亚洲外汇储备增长的共同原因以及在经济体不同发展程度(收入水平)、汇率制度和地域上持储行为的差异。本章构建了面板数据模型剖析亚洲经济体囤积外汇储备的动机问题。实证结果表明：亚洲经济体外汇储备囤积行为存在着交易性动机、预防性动机、重商主义动机和攀比动机；从存量上看,交易性动机和基于预防资本外逃的预防性动机作用最大,但前者比较稳定,后者是驱动外汇储备变动的最重要因素。攀比动机和基于预防经常项目波动的预防性动机存在着上升的趋势,成为驱动外汇储备变化新的因素；此外,持储动机在不同发展程度和不同汇率制度经济体中也存在着显著的差异性。
第六章使用1992-2010年中国宏观经济季度数据,利用外汇储备动态调整模型从数量和持有动机角度考察了中国最优外汇储备的持有行为。实证结果表明：中国的最优外汇储备持有行为体现着交易性、预防性、重商主义和攀比四种动机；交易性动机和攀比动机对最优外汇储备持有行为的影响最大,预防性动机在2006年以后逐渐强化,而重商主义动机和汇率因素的影响微弱,攀比动机呈现明显的危机驱动型特征；中国外汇储备的变动显著地受储备缺口和货币缺口调整的影响；中国的实际和最优外汇储备量自2002年起陡增,但后者始终低于前者；出口导向型的增长模式、资本管制和强制结售汇制以及汇率弹性不足导致中国的储备缺口调整系数λ较低并最终导致中国最优外汇储备量不断攀升。同时本章还对比了动态调整模型下最优外汇储备量与传统经验比率法、成本收益法下最优数量之间的差异。
第七章主要就东亚外汇储备库的成因、制度缺陷和绩效评估进行分析。首先阐述东亚外汇储备库建立的经济动因,随后利用“保险指数(Coverage Ratio)"方法具体测算了东盟10+3在参与东亚外汇储备库建设中的收益和成本问题,随后探讨了东亚外汇储备库的制度性缺陷以及在在外汇储备库建设过程中中国的角色扮演问题。
第八章主要分析中国外汇储备管理模式的改进。该章首先概述了我国外汇储备管理的总体框架,并对中国持有的以美元标价的外汇储备资产收益状况进行实证估计,结果发现2002年-2010年中国持有的以美元标价的外汇资产整体名义收益率为2.59%,剔除通货膨胀因素并考虑汇率变动带来的收益后,实际收益率仅为0.27%。随后本章对中国所持外汇资产的管理绩效通过“变异系数”指标进行考察,发现中国的外汇资产管理效率低于比利时、中国香港、中国台湾、日本、韩国,但高于其他发达经济体,文中对这一“吊诡”现象进行深入的剖析。针对中国外汇储备管理存在的诸多问题,本文设计了“财政接管”的外汇储备管理框架,并对财政部门与货币部门的协调分工进行细化。就外汇储备本身的管理而言,本文提出按照外汇储备功能分层管理的思想,并对投资、管理思路进行细化。同时,就外汇储备管理的治理结构、透明度和外部监管问题提出政策建议。
第九章是全文总结。
本文存在的可能的创新点和不足有：(1)在分析思路上,针对外汇储备成因从制度上、政策上和直接诱因三个角度剖析外汇储备激增的成因,使成因分析更全面、深入;(2)系统的考察了外汇储备对国内物价的冲击、对外汇市场造成的压力以及对中央银行货币政策独立性产生的影响,同时估计了中央银行货币冲销的效果、外汇市场干预效果；(3)在分析最优外汇储备量时,突破了以前线性模型中“外汇储备均衡”的缺陷,利用动态调整模型确定中国最优外汇储备量,使分析更加贴近实际。同时对持有外汇储备的不同动机进行静态和动态分解,并从调整系数的角度分析中国最优外汇储备高企的成因。这在以前研究中鲜有涉及；(4)不同于以往从国际货币体系改革的角度论述减少中国外汇储备的路径,而是从东亚外汇储备库的建设角度分析其对减少中国乃至东亚外汇储备囤积的作用;(5)在分析方法上不仅有亚洲整体的横向面板数据分析,也有针对中国的纵向时序分析,所用数据不仅有年度、季度的低频数据,也有月度的乃至周、日的高频数据,从而使研究更加全面和稳健;(6)首次论述了“财政主导,央行配合”的外汇储备管理思路、框架。
文章的不足之处可能有：(1)在分析中国最优外汇储备量时使用的是1992年-2010年的季度时间序列数据,考虑到变量比较多但时间维度相对较短,有可能会影响自由度。对于进口倾向m出现与逻辑和经验不吻合的系数符号,文中解释不足；(2)对于外汇储备的投资途径,由于数据限制,本文并未考虑投资于黄金这个重要的渠道；(3)限于篇幅,本文仅围绕着外汇储备最优数量展开分析,但外汇储备管理不仅包括数量管理,还应涵盖结构管理(币种结构、资产结构、地域结构)、风险管理(汇率风险、违约风险等)这两个方面。
According to data released by the State Administration of Foreign Exchange (SAFE), the total amount of China's foreign exchange reserves (hereinafter referred to as "FX") has reached＄3.18trillion up to March2011, accounting for30.3%of global FX. China has been the largest holder of FX since2005, with its amount1.5times higher than Japan, which ranks the second place of world largest FX holders. In1950s, China only has157million FX and did not exceed1000million before it took opening and reform policy in1978. Since then, however, China's FX grew slowly and exceeded10billion and100billion in1982and1996by each. Chinese FX growth accelerated since2000s and exceeded1trillion,2trillion and3trillion in2006,2009and2012successively. Objectively speaking, the fundamental reason of China's FX surging lies in the rising of its economic power and direct resons are establishment of "world factory" status, preferential policies and investment incentives to encourage investment after China's accession to the WTO. The rapid growth of China's FX enhances the its capacity to cope with the fluctuations of balance of payments, to stabilize foreign exchange rate, and strengthen investors'confidence on China's ability to deal with monetary and financial crisis.
Misfortune may be a blessing in disguise. China's highly growth and tremendous amount of FX also provoke a series of problems:First of all. bound by the current exchange rate regime and mandatory FX sales and settlement policies, the inflation effect of FX becomes more and more obvious.Although China's monetary authority has excuted sterilized policy very well, but the sterilization costs are rising; Second, high FX has posed intense pressure on RMB appreciation. At the same time, the volatility of monetary authority's EMI has increased greatly. It seems that monetary authority is facing a dilemma between stabilizing RMB exchange rate and improving RMB exchange rate formation mechanism. Third, the autonomy of China's monetary authority may be restricted due to the current exchange rate regime and tremendous amount of FX. In the background of global financial turbulence, how to increase the value of FX and how to effectively diversified FX assets to avoid risks? SAFE have not got effective solutions.
What is the fundamental cause and direct cause of China's high-speed growth of FX? What is the quantitative effect of tremendous amount of FX on domestic price level, RMB exchange rate pressure and monetary autonomy of monetary authority? How to cut off the inflationary channel of FX? How to ascetain China's optimal quantity of FX? How to reduce China's excessive FX under contemportorary international monetary system? East-Asia monetary and financial cooperation has inspired the foundation of "East-Asia Reserve Pooling", what is China's cost and benefit in it? Will "East-Asia Reserve Pooling" reduce East-Asian countries'FX effectively? How to optimalize China's FX management regime? All these issues will be studied in this dissertation.
This dissertation argues that:(1)The institutional causes of China's tremendous amount of FX lies in export-led economic growth mode, while the policial causes lies in mandatory FX settlement and sales, bank's FX position limits and pegged exchange rate, the direct causes lies in current account surplus, capitial and financial account surplus and spectualtive capital flows:(2)Cut off the inflationary channel of FX is key to enhance monetary autonomy, reduce sterilize costs and EMP of RMB.To realize these goals, China should construct a "financial dominant, monetary appurtenant" FX management system and exchange rate formation system;(3)To compute China's optimal quantity of FX, one should ascertain the motivations of FX holding and then build models on that basis.According to monetary approach, domestic financial market dis-equilibrium also affect balance of payments and FX.So, to ascertain China's optimal quantity of FX, one should not neglect the monetary dis-equilibrium factors;(4)China should actively participate in the construction of "East-Asia Reserve Pooling",which could reduce FX competitive hoarding between East-Asian countries through "clubs effect" and increase overall capacity to cope with financial crisis.The exisiting studies shows that the influence of RMB has increased greatly in East-Asian economies.one example is that more and more East-Asian countries pegged their currency to RMB.China should further promote RMB internationalization,strengthening the status of RMB as "reginal dominate currency" and reducing East-Asian economies' dependence on US dollar;(5)China's sovereign wealth fund should learn mature management mode from developed economies, increasing management transparency and independence, strengthening construction of internal control mechanisms and external risk control system.
The dissertation is divided into nine parts, the structural arrangement and the main contents are as follows:
Chapter one is introduction. In this chapter. I introduce the research background, significance, research framework, research methods and the contributions of this dissertation.
The second chapter is a brief introduction of FX management theory, including the meaning, function of FX. balance of payments adjustment theory, the classical methods to compute the optimal quantity of FX, the optimal currency structure and optimal asset structure of FX.
Chapter Ⅲ firstly give an overview on China's and the world's FX, China's FX management history. On this basis, I analysis of the causes of China's tremendous amount of FX from institutional, policial and direct perspective. After that I forecast China's FX growth rate.
Chapter Ⅳ mainly analyse the impact of China's FX surge on domestic prices levels. RMB exchange markets pressures, central bank's independence and monetary authority's autonomy.This chapter also evaluate the effectiveness of monetary authority's sterilization policy and foreign exchange market intervention policy. Empirical studies show that:FX surging intrinsically linked with domestic inflation; monetary authority excute positive sterilization policies to disappoint domestic inflation, but the effectiveness need further observation. I use Mo del-Dependent Weymark index to measure the foreign exchange market pressure on the RMB exchange rate caused by tremendous amount of FX.Using monthly and quarterly data between1996and2011. I calculate China's EMP (Exchange Market Pressure Index) and EMI (Exchange Market Intervention Index) and compared my result with seven other Model-Free measurements.Emperical results shows that:generally speaking,RMB is facing appreciation from1996.But that pressure shows significant differences in different periods:between1996and2000, China's EMP is increasing,which means the appreciation pressure monetary authorities facing gradually reduced, also we can deduce that monetary authority is facing a certain of devaluation pressure; from2000to2006, China's EMP index show some what downward trend, indicating that the monetary authority is facing strong appreciation pressure; After2008,China's EMP index rise again, indicating that the appreciation pressure RMB gradually ease and devaluation pressure is cumunlating. In the sample period, China's central bank intervention index is1.155, indicating that China's central bank took intencified intervention policy. With 'Trilemma" problems China facing, my empirical result proves that China was able to guarantee the monetary policy independence, but did not find any evidence of high FX enhancing the independence of monetary policy.
Chapter Ⅴ investigates the reasons for the FX growth of Asia, the overall of44Asian economies'empirical results show that:Foreign exchange reserves held by Asian economies has increased significantly in both absolute and relative share after the collapse of Bretton Woods System, which has gone far beyond the traditional theory. Why Asia economies prefer to hoard FX? Around this issue, I make a review on the motivation theory of FX accumulation, and then construct a panel data model of FX hoarding in Asia. The empirical results show that:In general, Asian economies'accumulation of FXs the presence of transaction motivation, precautionary motivation, mercantilist motivation and competitive motivation:From the stock point view, the transaction motivation and precautionary motivation based on the prevention of capital flight are of the largest influence, with the former is stable and the latter is the most important factor driving changes in FXs. Competitive motivation and precautionary motivation to prevent current account fluctuations are of upward trending, which became new factors driving the change of foreign exchange reserves; besides, FX holding motivation shows significant difference in different income groups and different exchange rate regimes groups.
Chapter Ⅵ mainly using quarterly data between1992and2010to construct a reserve adjustment model under monetary disequilibrium framework including monetary factor to explore the quantitative characteristics of China's optimal FXs. The empirical result shows that:China's accumulation of optimal FXs reveals the presence of transaction motivation, precautionary motivation, mercantilism motivation, competitive motivation and the influence of exchange rate volatility. The transaction motivation and competitive motivation are of the largest influence, the precautionary motivation is of upward trending since2006, while the mercantilism motivation and exchange rate factor are of weak influence; Adjustments of reserve demand gap and monetary demand gap has significant influence on optimal FXs; China's actual and optimal FXs are surging since2002: Export-led mode of economic development, capital controls, mandatory FX sales and settlements, limited exchange rate elasticity leads to lower adjustment coefficient λ,which finally leads to China's high optimal foreign reserves. In this section I also compare the results from dynamic adjustment model of optimal FX with the traditional empirical results from ratio methods, cost-benefit methods.
Chapter Ⅶ analyzes the main causes of the East Asian foreign exchange reserve pool being constructed, its performance and institutional defects. At first I investigate the economic motives of East Asian reserve pooling. And then estimates the benefits and the costs of ASEAN10+3joining East Asian reserve pooling using "Insurance Index (Coverage Ratio)". At last I explore the institutional deficiections of "East Asian foreign exchange reserve pooling" and the China's role in the construction of the foreign exchange reserve pooling.
Chapter Ⅷ analyse the improvement of China's FX management model. This chapter outlines the institutional framework of China's FX management system, and estimates the earnings ratio of China's dollar-denominated foreign currency reserve assets. The results show that the overall nominal rate of foreign exchange assets earnings rate is2.59%between2012and2010, but the actual rate is only0.27%. I also evaluate the management performance of China's foreign exchange assets using variation coefficient, I found that China's asset management efficiency is lower than Belgium, Hong Kong(China), Taiwan(China), Japan, South Korea, but higher than developed economies such as UK,Norway.I deeply analyze this "paradox". To resolve the problems of China's foreign exchange reserve management, I propose a framework of "financial dominate, central bank participate", which coordinate financial sector and monetary sector in FX management.This chapter refines the ideology of hierarchical management in accord to the FX's function, as well as the investment management ideas. At the same time. I give some advices on FX management, governance structure, transparency and external supervision mechanism.
Chapter IX is summary.
Possible innovation:(1)I analyse the causes of FX from three perspectives including institutional causes, policial causes and direct causes, so my analysis is more comprehensive and in-depth;(2)I systematically investigate the impacts of FX on the domestic price, RMB exchange market pressure as well as the polcy independence of the People's Bank of China; I also evaluate the effectiveness of central bank's sterilization policies and the foreign exchange market intervention policies;(3)I use dynamic adjustment model to overcome the shortcomings of linear models in estimating the optimal quantity of China's FX,which make my analysis more realistic.Meanwhile, I analyse the different motives of the high FX helding and make Static and dynamic decomposition, and then analyse the cause of China's tremendous amount of FX's increasing from the point of adjusting coefficient λ,Which rarely involved in previous studies;(4)Previous studies ananlysing the methods to reduce China's tredmendous FX mainly from the perspect of the international monetary system reform,insted I analyze the role of "East Asian economies'reserve pooling" in reducing the foreign exchange reserve accumulation;(5) My analyse using not only the Asian panel data but also the Chinese time data series, so that my study is more comprehensive and robust;(6) For the first time I discussed the ideas of the mode "financial dominate, central bank participate" framework in FX management.
Possible deficiencies:(1)I only use the time series data between1992to2010in the analysis of China's optimal FX due to the availableness of data, which may affect degrees of freedom in my estimation. The problem of the propensity to import m is not consistent with the traditional theories and experiences, which I do not provide a convincing explainations;(2)Due to data limitation, this dissertation does not consider investing in gold;(3)Because of the limitation of space, I only calculated the optimal quantity of China's FX. did not calculate the optimal currency structure and asset structure of China's FX, both of which are very important for reserve management.
引文
1国家外汇管理局《外汇储备热点问答(三)》[EB/OL]http://www.safe.gov.cn/model_safe/news/new_detail.jsp?ID=90000000000000000.919&id=3&type=1.2 2011-07-28
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1 Obstfeld. M.. J. C. Shambaugh. and A. M. Taylor.2010. Financial Stability. The Trilemma, and International Reserves[J]. American Economic Journal:Macroeconomics,2(2),pp.57-94.
2 文中作者用"export of home assets to foreigners suddenly stops and import of foreign assets by domestic residents suddenly starts "形容" double drain",意指在BOP中,国内投资者向国外投资者出口“资产(发行股票债券等)”减少,同时国内投资者增加对国外“资产”的需求(进口),那么这二者均会导致东道国官方外汇储备减少,因此称为“双向干涸”
3 Chinn, M.D., and Ito, H.,2008, A New Measure of Financial Openness [J], Journal of Comparative Policy Analysis,10(3), pp.309-322.
1 Edison et al. (2002)、Kose et al. (2006)、Miniane (2004)、Cheung et al. (2006)、Potchamanawong (2007)、 De Gregorio (1998)分别从不同角度构建了或名义(de jure)或实际(de facto)的金融开放/资本管制指数。
2 Kim, C.J., and Lee, J.W., 2008, Exchange Rate Regime and Monetary Policy Independence in East Asia [J], Pacific Economic Review,13(2),pp.155-170.
3 Taguchi, H.,2009, Currency Regime and Monetary Autonomy——Empirical Evidence Using Recent and Global Data from 1990 to 2007[R]. PRI Discussion Paper Series. No.09A-08.
4 Fabien, D.,2009, The Trilemma:An Empirical Assessment over 35 Years Since the 1970s[R]. Hi-Stat Discussion Paper, No.069.
1 Aizenman. J.. Chinn. M.D., and Ito, H.,2008. Assessing the Emerging Global Financial Architecture.-Measuring the Trilemma's Configurations over Time[R], NBER working paper. No.14533.
2 Taguchi, H.,2011. Monetary Autonomy in Emerging Market Economies:The Role of Foreign Reserves [J], Emerging Markets Review.12 (4), pp.371-388.
3包括八个东亚经济体中国大陆、香港、马来西亚、印度尼西亚、韩国、菲律宾、新加坡、泰国和十个拉美经济体阿根廷、智利、巴西、哥伦比亚、厄瓜多尔、牙买加、墨西哥、秘鲁、委内瑞拉、特立尼达和多巴哥。
1 Taguchi, H., Nataraj, G., and Sahoo, P.,2011, Monetary Autonomy in Selected Asian Economies:The Role of International Reserves [J]. Journal ofAsian Economics.22. pp.471-482.
2 Eichengreen.B, and Hausmann. R.,2009, Exchange Rate and Financial Fragility[R], NBER Working Paper, No.7418.
1 Reade.J.J., and Volz,U.,2010, Chinese Monetary Policy and the Dollar Peg[C], The Evolving Role of China in the Global Economy, Venice International University. San Servolo.23-24 July. http;//econstor.eu/bitsuream/10419/43877/l/643975446.pdf
2 Aizenman.J,Jto, H., and Chinn. M.D..2010. The Emerging Global Financial Architecture:Tracing and Evaluating the New Patterns of the Trilemma's Configurations [J], Journal of International Money and Finance,29(4), pp.615-641.
1 Triffin, R.,1960, Gold and the Dollar Crisis [M], New Haven und London:Yale University Press.
1 Green, R., and Torgerson, T.,2007, Are High Foreign Exchange Reserves in Emerging Markets a Blessing or a Burden? [J],Department of the Treasury:Office of International Affairs Occasional Paper,6.
Jeanne,O., and Ranciere, R.,2008, The Optimal Level of International Reserves for Emerging Market Countries:A New Formula and Some Applications [R], CEPR Discussion Papers, No.6723.
1 Baumol, W.J.,1952, The Transactions Demand for Cash:An Inventory Theoretic Approach [J], The Quarterly Journal of Economics,66(4), pp.546-566.
2 Tobin.,J.,1956. The Interest-Elasticity of Transactions Demand for Cash [J], Review of Economics and Statistics,38(3),pp.241-247.
3 Heller, H.R.,1966, Optimal International Reserves[J],Economic Journal,76(302), pp.296-311.
4更精确地讲,此处的“机会成本”应为“持有成本(cost of carry)",指持有一定投资头寸而招致的成本,它等于这一投资头寸的融资成本(为获得这些投资资金所付出的成本)与这一头寸的投资收益之差,故也可以理解为利差(张志超,2008)。
1另一种自我保险的解释主要是：在巴罗平滑扭曲的背景下(in the context of Barro's distortion smoothing),发展中国家囤积大量外汇储备主要是为了稳定财政开支,特别的当一个国家面临着波动的产出、无弹性的财政支出、高税收成本和主权风险(sovereign risk)时,他们更希望累积国际储备和外债。
2这一观点较早地由Ben-Bassat和Gottlieb(1992a,b)提出。他们视国际储备为产出的稳定器,因为国际储备能降低由于资本逃和融资骤停带来的产出下降带来的风险。
3 Garcia, P., and Soto. C.,2004, Large Hoardings of International Reserves:Are They Worth It? [J], Working Papers Central Bank of Chile., No.299.
4 Aizenman, J., and Lee, J.,2007, International Reserves:Precautionary versus Mercantilist Views, Theory and Evidence [J], Open Economies Review,18(2), pp.191-214.
5 Caballero, R.J., and Panageas, S.,2004, Contingent Reserves Management:An Applied Framework[R], NBER Working Papers, No.10786.
6 Jeanne,O., and Ranciere. R..2006, The Optimal Level of International Reserves for Emerging Market Countries:Formulas and Applications [J], IMF Working Paper, No.06/229.
7 Jeanne,O., and Ranciere,R.,2008, The Optimal Level of International Reserves for Emerging Market Countries:A New Formula and Some Applications [J], CEPR Discussion Papers, No.6723.
8 Jeanne, O.,2007, International Reserves in Emerging Market Countries:Too Much of a Good Thing? [J], Brookings Papers on Economic Activity,38(1),pp.1-80.
1 Aizenman, J., and Marion, N. P.,2003, The High Demand for International Reserves in the Far East:What's Going On? [J], Journal of the Japanese and International Economies,17(3),pp.370-400.
2 Aizenman, J., and Marion, N. P.,2004, International Reserves Holdings with Sovereign Risk and Costly Tax Collection [J], Economic Journal,114 (297), pp.569-91.
3与之相反,Green和Torgerson (2007)认为新兴市场经济体的外汇储备已经超过了预防性水平,积累外汇储备的边际防范性收益已经非常低。
4 Aizenman, J., Lee, Y., and Rhee, Y.,2007, International Reserves Management and Capital Mobility in a Volatile World:Policy Considerations and a Case Study of Korea [J]. Journal of the Japanese and International Economies,21(1), pp.11-15.
5 Sanjay, S., and Chandan, International Reserve-Holding in India:Self Insurance for Future? [EB/OL] http://www.igidr.ac.in/-money/mfc_10/Sanjay_Chandan_Intemational_Reserve-Holding_in_India_Self_Insur ance_for_Future (Revised),pdf
6 Marta. R.A., and Milan, Z.,2008, Are Emerging Asia's Reserve Really Too High? [R], IMF Working Paper, No.08/192.
1 Rajan R.,2002, Exchange Rate Policy Options for Post-Crisis Southeast Asia:Is There a Case for Currency Baskets? [J], The World Economy,25(1),pp.137-163.
2 Eichengreen. B.,2004, Global Imbalances and the Lesson of Bretton Woods [R], NBER Working Papers, No.10497.
3 McKinnon. R., and Schnabl, G.,2009, The Case for Stabilizing China's Exchange Rate:Setting the Stage for Fiscal Expansion [J], China & World Economy,17(1), pp.1-31.
4 Aizenman, J.. and Lee. J.,2008. Financial versus Monetary Mercantilism:Long-run View of Large International Reserves Hoarding [J], The World Economy,31(5), pp.593-611.
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1 Feldstein, M.,1999, Self-Protection for Emerging Market Economies [R], NBER Working Papers, No.6907.
2 Fischer, S.,1999, On the Need for an International Lender of Last Resort [J], Journal of Economic Perspectives,13(4), pp.85-104.
3 Cheung, Y.W., and Qian, X.W.,2009, Hoarding of International Reserves:Mrs Machlup's Wardrobe and the Joneses [J], Review of International Economics,17(4), pp.824-843.
4 Machlup, F.,1966, The Need for Monetary International Reserves [M]. Reprints in International Finance 5. Princeton University.
5 Victor, P., and Li. Y.Q.,2010, Regime Dependence, Mrs. Machlup's Wardrobe and the Accumulation of International Reserves in Asia [J], Economic Letter.110(3),pp.231- 234.
6 Choi, W.G., Sunil, S., and Stromqvist, M.,2007, Capital Flows, Financial Integration, and International Reserve Holdings:The Recent Experience of Emerging Markets and Advanced Economies [R], IMF Working Paper, No.07/151
1 Kenen, P.B., and Yudin, E.B.,1965, The Demand for International Reserves [J].Review of Economics and Statistics,47(3),1965, pp.242-250.
2 Couchene, T.J., and Youssef, G.M.,1967, The Demand for International Reserves [J], Journal of Political Economy,75(4), pp.404-413.
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4 Kelly, M. G.,1970, The Demand for International Reserves [J]. American Economic Review,60(4), pp.655-667.
5 Flanders, M. J.,1971, The Demand for International Reserves[R], Princeton Studies in International Finance, No.27, Princeton.
1 Mulder, C.B., and Bussiere, M., 1999, External Vulnerability in Emerging Market Economies-How High Liquidity Can Offset Weak Fundamentals and the Effects of Contagion [R], IMF Working Paper, No.WP/99/88.
2 Calvo, G.A.,1996, Capital Flows and Macroeconomic Management:Tequila Lessons[J], International Journal of Finance and Economics,1 (3), pp.207-223.
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5 Rodrik, D., and Velasco, A.,1999, Short-Term Capital Flows[R],NBER Working Papers, No.7364.
6 Wijnholds, J.O., and Kapteyn, A.,2001, Reserve Adequacy in Emerging Market Economies [R], IMF Working Paper, No.WP/01/143.
1 Heller, H.R.,1966, Optimal International Reserves [J], the Economic Journal,76(302), pp.296-311.
2更精确地讲,此处的“机会成本”应为“持有成本(cost of carry) ",指持有一定投资头寸而招致的成本,它等于这一投资头寸的融资成本(为获得这些投资资金所付出的成本)与这一头寸的投资收益之差,故也可以理解为利差(张志超,2009)。
1 Heller,H.R. and Khan,M.S.,1978,The Demand for International Reserves under Fixed and Floating Exchange Rates[R],IMFStaff Papers,25(4), pp.623-649.
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5 Edwards, S.,1985, On the Interest Rate Elasticity of the Demand for International Reserves:Some Evidence from Developing Countries [J]. Journal of International Money and Finance,4(2), pp.287-295.
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3 Oskooee和Brown (2002)认为“…看上去外汇储备与利率之间的负相关关系只存在于个体研究中而不存在于整体研究中”。事实上确实如此!出现机会成本不合理论期望系数的研究大多是整体研究(pooled),个体研究一般上支持机会成本与外汇储备之间的负向相关关系,如Elbadawi(1990)对苏丹Coppin (1994)对巴巴多斯Huang (1995)对中国Ben-Bassat和Gottlieb (1992)对以色列、Silva和Erica (2004)对巴西Ramachandran (2004), Aizenman et al. (2007), Sanjay和Chandan(2008)对印度、Jalil Abdul (2008)对巴基斯坦、Hee-Ryang Ray (2007)对韩国的研究。
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5 IMF,2003, Three Current Policy Issues in Developing Countries [R], World Economic Outlook:Public Debt in Emerging Markets, September, pp.65-111.
6由于边际进口倾向m难以计算,在实证研究中一般用平均进口倾向(进口值/GDP)代表之。
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8 Ioyah, M. A.,1976, Demand for International Reserves in Less Developed Countries:A Disturbed Lag Specification[R], Review of Economics and Statistics,58(3). pp.351-355.
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1融资骤停”指流向新兴市场经济体的私人资本迅速减少,并通常伴随着产出水平、私人投资和信贷大幅下降和实际汇率升值。这一概念较早地由Dornbush等人提出。
2最优外汇储备表达式为RJ-R*=λ+γ-(1-ρ)1/λ。其中δ为风险厌恶系数、λ为危机前私人外债与产出之比,γ为危机发生时产出下降程度,ρ为危机发生前后消费效用边际替代率。
3 Fernando, M. G.,2007, The Optimal Level of Foreign Reserves in Financially Dollarized Economies:The Case of Uruguay [R], IMF Working Paper, WP/07/265.
4 Floerkemeier, H., and Sumlinski, M.,2008, International Reserve Trends in the South Caucasus and Central Asia Region[R], IMF Working Paper. WP/08/41.
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1 Edwards, S.,1985, On the Interest Rate Elasticity of the Demand for International Reserves:Some Evidence from Developing Countries [J], Journal of International Money and Finance,4(2). pp.287-295.
2 Bahmani-Oskooee, M.. and Malixi, M.,1994, Dynamic Reserve Adjustment under Varying Balance of Payments Positions [J], International Economic Journal,8(3), pp.45-56.
1 Badinger, H.,2004, Austria's Demand for International Reserves and Monetary Disequilibrium:The Case of a Small Open Economy with a Fixed Exchange Rate Regime [J], Economica,71(2), pp.39- 55.
1本文甚至还考虑了经济货币化程度(M2/GDP)对中国货币需求的影响,但这一变量引入后导致回归结果出现不合理的系数符号,故剔除这一变量。
2 Mcgibany, J.M., and Nourzad, F.,1995, Exchange Rate Volatility and the Demand for Money in the U.S [J], International Review of Economics and Finance,4(4), pp.411-425.
3在Arango和Nadiri (1981)、Bahmani-Oskooee和Pourheydarian (1990)的文献中对该系数进行了细致的讨论。
4 Badinger (2004)则将货币失衡MtDE定义为M1t-1-M1t.并采用协整的方法确定最优货币需求M1t.。
1 Hee-Ryang Ra,2009, Opportunity Cost and the Demand for International Reserves:A Simultaneous Approach Incorporating the Supply Side [J], The Journal of the Korean Economy,10(3), pp.395-419.
1 Buchanan, J.,1965, An Economic Theory of Clubs [J], Economica,32(125), pp.1-14.
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1 Medhora, R.,1992, The Gain From Reserve Pooling in the West African Monetary Union[J]. Economia Internazionale,45,pp.209-222.
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4“融资骤停”指流向新兴市场经济体的私人资本迅速减少,并通常伴随着产出水平、私人投资和信贷大幅下降和实际汇率升值。在操作上,Calvo et al. (2004)将其定义为“一国资本净流入的下降幅度在一年内达到该国资本流动样本均值的2个标准差以上”,而Guidotti et al(2004)、Jeanne和Ranciere(2011)则将其定义为一国资本流入与GDP之比较前一年减少5%,此时该国发生了“融资骤停”问题。
1所谓货币互换是指缔约双方约定在未来的一段时期内和特定的情形下(比如遭遇严重的经常项目赤字)以约定的汇率和条件交换货币储备。货币互换只是缔约方之间相互赋予对方的一种权利,这种协议在期限内可以启用,也可以不启用。一战后英国于1925年4月28宣布,英国依照战前汇率平价1英镑兑换4.86美元恢复金本位制。随后美国联储向英格兰银行提供总值2亿美元的黄金储备以助英国政府对付可能发生的对英镑的投机性冲击。这一协议开创了货币互换的先河,并为未来的货币互换在操作层面上提供了一个范本。
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8 Mohan, R.,2006,Coping with Liquidity Management in India:A Practitioner's View[C], address at the 8th Annual Conference on Money and Finance in the Indian Economy at Indira Gandhi Institute of Development Research (IGIDR).27 March, Mumbai, http://rbidocs.rbi.org.in/rdocs/Speeches/PDFs/69613.pdf.
1 Mohanty, M.S, and Turner, P., Foreign Exchange Reserve Accumulation in Emerging Markets:What Are the Domestic Implications? [J], BIS Quarterly Review. pp.39-52.
2作者涵盖的样本包括：中国、印度、韩国、马来西亚、新加坡、泰国、中国台湾、阿根廷、巴西、智利、墨西哥、南非和土耳其。使用的数据为2000年一2006年季度数据。作者利用比较简洁的线性模型估计了货币当局的冲销效果。模型形式为△DCt=α0+α1△NFAt+α2△DCt-1+ε,其中DCt、△NFAt分别为中央银行资产负债表的净国内信贷和净国外资产。
3 Khan and Reinhart(1994)认为在1990年代拉美国际冲销资本流入所支付的利息成本高达GDP的0.25%—0.5%。 Khan, M.S., and Reinhart, C.M.,1994, Macroeconomic Management in Maturing Economies:the Response to Capital Inflows [J], IMF Issues Paper, Washington DC, March.
4 Cardarelli, R., Elekdag, S., and Kose,M.A.,2009, Capital Inflows:Macroeconomic Implications and Policy Responses[R], IMF Working Paper,WP/09/40
1 Hashmi.M.S., Xu,C.S., Khan,M.M.. Bashir.M., and Ghazanfar.F.,2011,Monetary Policy Reaction Function and Sterilization of Capital Inflows:An Analysis of Asian Countries[J]Asian Social Science,7(9), pp.19-32.
2 Wu, Y.,2009, Measuring China's Monetary Sterilization and Autonomy in the Era of Globalization:1995-2005 [J].Journal of Asian Economics,20(3), pp.336-347.
3 Aizenman, J., and Glick, R.,2008. Sterilization, Monetary Policy, and Global Financial Integration[R].NBER Working paper, No.3902.
4 Alice Y.O., Rajan, R.S., and Thomas, D.W.,2010, China as a Reserve Sink:The Evidence from Offset and Sterilization Coefficients [J]. Journal of International Money and Finance,29(5). pp.951-972.
5 Brissimis, S.N.. Gibson, H.D., and Tsakalotos, E.,2002, A Unifying Framework for Analyzing Offsetting Capital Flows and Sterilization:German and the ERM [J], International Journal of Finance and Economics, 7(1), pp.63-78.
1 Burdekin, R.C.K.. Siklos, P.L., 2005.What Has Driven Chinese Monetary Policy since 1990? Investigating the People's Bank of China Policy Rule[R].East-West Center Working Papers, No.85. August.
2 He. D., Chu, C., Shu, C., Wong, A..2005, Monetary Management in Mainland China in the Face of Large Capital Inflows[R]. HongKong Monetary Authority (HKMA) Research Memorandum. No.07/2005, April.
3 Zhang,C..2010.Sterilization in China:Effectiveness and Cost[R],[EB/OL] http://fic.wharton.upenn.edu/fic/papers/10/10-29.pdf
4 Wang.Y.Z. (王永中).2010, Effectiveness of Capital Controls and Sterilizations in China [J]. China & World Economy 18(3), pp.106-124.
5李培育,余明.外汇储备、汇率波动和货币政策操作[J].金融研究.2004年第2期.pp79-86.
6管华雨,张晓田论发展中国家的货币冲销政策[J].金融研究.2000年第7期.pp101-108
7武剑.货币冲销的理论分析与政策选择[J]管理世界.2005年第8期.pp6-10
8万先明,裴平,张谊浩.外汇储备增加的通货膨胀效应和货币冲销政策的有效性：基于中国统计数据的有效性[J].金融研究.2006年第7期.pp13-21
9曲强,张良,扬仁眉.外汇储备增长、货币冲销的有效性及对物价波动的动态影响——基于货币数量论和SVAR的实证研究[J].金融研究.2009年第5期.pp47-60.
10皇甫秉超.国际收支双顺差下的中国冲销干预政策：2000-2009[J].世界经济情况.2010年第1期.pp14-20.
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2最优干预模型为mt=γe,,其中分别mt、e,为基础货币和汇率的离差。通过最小化产出波动可以计算出γ系数。当γ系数较大时,说明货币当局逆经济风向行事,强力干预外汇市场引致国内货币供应的剧烈变化,γ系数趋近于无穷时,说明货币当局采用的是固定汇率制度：当γ系数较小时说明货币当局更倾向于通过利率波动吸收外部冲击,γ系数为0时说明货币当局采用的是浮动汇率制度。
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1 Tanner, E.,2002, Exchange Market Pressure, Currency Crises, and Monetary Policy:Additional Evidence from Emerging Markets[R], IMF Working Paper, WP/02/14.
2分别是巴西、智利、墨西哥、韩国、泰国、印度尼西亚。
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2 Weymark, D.N.,1995,Estimating Exchange Market Pressure and the Degree of Exchange Market Intervention for Canada[J], Journal of International Economics,39(3-4), pp.273-295.
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2在Siklos和Weymark(2006)的文中将外汇市场干预指数表示为EMI=1-(事后EMP/事前EMP)。由于一般而言事后的EMP小于事前EMP,所以EMI通常介于0、1之间,那么EMI越大,则说明干预效果越好。
1 Roy, Amlan, and Maria M. Tudela,2000, Emerging Market Risk Indicator (EMRI):Re-Estimated [M], New-York:Credit Suisse First Boston.
1 Obstfeld, M., and Rogoff, K.S..1995, The Mirage of Fixed Exchange Rates [J]. Journal of Economic Perspectives.9 (4), pp.73-96.
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1 Rose, A.K.,1996.Explaining Exchange Rate Volatility:An Empirical Analysis of'The Holy Trinity'of Monetary Independence, Fixed Exchange Rates, and Capital Mobility[J],Journal of International Money and Finance,15 (6),pp.925-45.
2IMF出版的《汇率制度分类(Exchange Rate Arrangement)》中有关资本流动的科目在1968年-1996年为11项,1997年至今为13项。
3 Hausman, R., Panizza. U., and Stein. E.,2001, Why Do Countries Float the Way They Float [J], Journal of Development Economics,66(2), pp.387-414.
4 Frankel. J.A.,1999, No Single Currency Regime is Right for all Countries or at all Times [J], NBER Working Paper, No.7338.
1 Alexander K. S.,1973, Monetary Policy under Fixed Exchange Rates:Effectiveness, the Speed of Adjustment and Proper Use [J], Economica,40(158), pp.136-154.
2 Borensztein, E., Zettelmeye, J., and Philippon, T..2001. Monetary Independence in Emerging Markets: Does the Exchange Rate Regime Make a Difference[R], IMF Working Paper, No.01/1.
3 Frankel,J.A., Schmukler, S. L., and Serven, L., 2004, Global Transmission of Interest Rates:Monetary Independence and Currency Regime [J]. Journal of International Money and Finance. 23(5), pp.701-734.
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1 Miniane, J., and Rogers, J.H.,2007, Capital Controls and the International Transmission of U.S. Money Shocks [J], Journal of Money, Credit and Banking,39(5), pp.1003-1035.
2 Obstfeld, M., Shambaugh, J.. and Taylor, A.,2004, Monetary Sovereignty. Exchange Rates, and Capital Controls:The Trilemma in the Interwar Period[R]. IMF Staff Papers, Special lssue(51), pp.75-108.
3 Obstfeld, M., Shambaugh, J. C., and Taylor, A. M.; 2005, The Trilemma in History:Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility[R], Review of Economics and Statistics,87 (3), pp.423-438.
1 Obstfeld. M.. J. C. Shambaugh. and A. M. Taylor.2010. Financial Stability. The Trilemma, and International Reserves[J]. American Economic Journal:Macroeconomics,2(2),pp.57-94.
2 文中作者用"export of home assets to foreigners suddenly stops and import of foreign assets by domestic residents suddenly starts "形容" double drain",意指在BOP中,国内投资者向国外投资者出口“资产(发行股票债券等)”减少,同时国内投资者增加对国外“资产”的需求(进口),那么这二者均会导致东道国官方外汇储备减少,因此称为“双向干涸”
3 Chinn, M.D., and Ito, H.,2008, A New Measure of Financial Openness [J], Journal of Comparative Policy Analysis,10(3), pp.309-322.
1 Edison et al. (2002)、Kose et al. (2006)、Miniane (2004)、Cheung et al. (2006)、Potchamanawong (2007)、 De Gregorio (1998)分别从不同角度构建了或名义(de jure)或实际(de facto)的金融开放/资本管制指数。
2 Kim, C.J., and Lee, J.W., 2008, Exchange Rate Regime and Monetary Policy Independence in East Asia [J], Pacific Economic Review,13(2),pp.155-170.
3 Taguchi, H.,2009, Currency Regime and Monetary Autonomy——Empirical Evidence Using Recent and Global Data from 1990 to 2007[R]. PRI Discussion Paper Series. No.09A-08.
4 Fabien, D.,2009, The Trilemma:An Empirical Assessment over 35 Years Since the 1970s[R]. Hi-Stat Discussion Paper, No.069.
1 Aizenman. J.. Chinn. M.D., and Ito, H.,2008. Assessing the Emerging Global Financial Architecture.-Measuring the Trilemma's Configurations over Time[R], NBER working paper. No.14533.
2 Taguchi, H.,2011. Monetary Autonomy in Emerging Market Economies:The Role of Foreign Reserves [J], Emerging Markets Review.12 (4), pp.371-388.
3包括八个东亚经济体中国大陆、香港、马来西亚、印度尼西亚、韩国、菲律宾、新加坡、泰国和十个拉美经济体阿根廷、智利、巴西、哥伦比亚、厄瓜多尔、牙买加、墨西哥、秘鲁、委内瑞拉、特立尼达和多巴哥。
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4更精确地讲,此处的“机会成本”应为“持有成本(cost of carry)",指持有一定投资头寸而招致的成本,它等于这一投资头寸的融资成本(为获得这些投资资金所付出的成本)与这一头寸的投资收益之差,故也可以理解为利差(张志超,2008)。
1另一种自我保险的解释主要是：在巴罗平滑扭曲的背景下(in the context of Barro's distortion smoothing),发展中国家囤积大量外汇储备主要是为了稳定财政开支,特别的当一个国家面临着波动的产出、无弹性的财政支出、高税收成本和主权风险(sovereign risk)时,他们更希望累积国际储备和外债。
2这一观点较早地由Ben-Bassat和Gottlieb(1992a,b)提出。他们视国际储备为产出的稳定器,因为国际储备能降低由于资本逃和融资骤停带来的产出下降带来的风险。
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3与之相反,Green和Torgerson (2007)认为新兴市场经济体的外汇储备已经超过了预防性水平,积累外汇储备的边际防范性收益已经非常低。
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3 Kaminsky, G.L., and Reinhart, C.M.,1999, The Twin Crises:The Causes of Banking and Balance of Payments Problems [J], American Economic Review,89(3), pp.473-500.
4 Berg, A., and Pattillo, C.,1999, Predicting Currency Crises:The Indicators Approach and an Alternative[J]. Journal of International Money and Finance.,18(4), pp.561-586.
5 Rodrik, D., and Velasco, A.,1999, Short-Term Capital Flows[R],NBER Working Papers, No.7364.
6 Wijnholds, J.O., and Kapteyn, A.,2001, Reserve Adequacy in Emerging Market Economies [R], IMF Working Paper, No.WP/01/143.
1 Heller, H.R.,1966, Optimal International Reserves [J], the Economic Journal,76(302), pp.296-311.
2更精确地讲,此处的“机会成本”应为“持有成本(cost of carry) ",指持有一定投资头寸而招致的成本,它等于这一投资头寸的融资成本(为获得这些投资资金所付出的成本)与这一头寸的投资收益之差,故也可以理解为利差(张志超,2009)。
1 Heller,H.R. and Khan,M.S.,1978,The Demand for International Reserves under Fixed and Floating Exchange Rates[R],IMFStaff Papers,25(4), pp.623-649.
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3 Landell-Mills, J.M.; 1989, The Demand for International Reserves and Their Opportunity Cost [J], IMF staff papers,36 (2), pp.708-732.
4 Sula,O.,2011, Demand for International Reserves in Developing Nations:A Quantile Regression Approach [J], Journal of International Money and Finance,30(5), pp.764-777.
5 Edwards, S.,1985, On the Interest Rate Elasticity of the Demand for International Reserves:Some Evidence from Developing Countries [J]. Journal of International Money and Finance,4(2), pp.287-295.
6 Ramachandran, M.,2004, The Optimal Level of International Reserves:Evidence for India [J]. Economics Letters,83(3), pp.365-370.
7 Ramachandran, M.,2006, On the Upsurge of Foreign Exchange Reserves in India [J], Journal of Policy Modeling,28(7), pp.797-809.
1 Rodrik, D.,2006, The Social Cost of Foreign Exchange Reserves[R], International Economic Journal,20(3), pp.253-266.
2 Levy Yeyati. E.,2008, The Cost of Reserves [J], Economics Letters,100(1), pp.39-42.
3 Oskooee和Brown (2002)认为“…看上去外汇储备与利率之间的负相关关系只存在于个体研究中而不存在于整体研究中”。事实上确实如此!出现机会成本不合理论期望系数的研究大多是整体研究(pooled),个体研究一般上支持机会成本与外汇储备之间的负向相关关系,如Elbadawi(1990)对苏丹Coppin (1994)对巴巴多斯Huang (1995)对中国Ben-Bassat和Gottlieb (1992)对以色列、Silva和Erica (2004)对巴西Ramachandran (2004), Aizenman et al. (2007), Sanjay和Chandan(2008)对印度、Jalil Abdul (2008)对巴基斯坦、Hee-Ryang Ray (2007)对韩国的研究。
Bilson, John F. O., and Frenkel. J.A.,1979. International Reserves:Adjustment Dynamics [J], Economics Letters,4(3), pp.267-270.
5 IMF,2003, Three Current Policy Issues in Developing Countries [R], World Economic Outlook:Public Debt in Emerging Markets, September, pp.65-111.
6由于边际进口倾向m难以计算,在实证研究中一般用平均进口倾向(进口值/GDP)代表之。
7 Cooper, R.,1968, The Relevance of International Liquidity to Developed Countries [J], American Economic Review,58(2), pp.625-636.
8 Ioyah, M. A.,1976, Demand for International Reserves in Less Developed Countries:A Disturbed Lag Specification[R], Review of Economics and Statistics,58(3). pp.351-355.
9 Cheung, Y.W., and Ito, H.,2009, A Cross-Country Empirical Analysis of International Reserves [R], CESifo Working Paper Series, No.2654.
1融资骤停”指流向新兴市场经济体的私人资本迅速减少,并通常伴随着产出水平、私人投资和信贷大幅下降和实际汇率升值。这一概念较早地由Dornbush等人提出。
2最优外汇储备表达式为RJ-R*=λ+γ-(1-ρ)1/λ。其中δ为风险厌恶系数、λ为危机前私人外债与产出之比,γ为危机发生时产出下降程度,ρ为危机发生前后消费效用边际替代率。
3 Fernando, M. G.,2007, The Optimal Level of Foreign Reserves in Financially Dollarized Economies:The Case of Uruguay [R], IMF Working Paper, WP/07/265.
4 Floerkemeier, H., and Sumlinski, M.,2008, International Reserve Trends in the South Caucasus and Central Asia Region[R], IMF Working Paper. WP/08/41.
5 Bernard. K.M.,2011. International Reserve Adequacy in Central America [R], IMF Working Paper, WP/11/114.
1 Alfaro, L., Kalemli-Ozcan. S., and Volosovych. V.,2005, Why Doesn't Capital Flow from Rich to Poor Countries? An Empirical Investigation [R], NBER Working Papers, No.11901.
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6叶永刚,熊志刚,张培,宋凌峰.基于抵补风险的外汇储备适度规模研究[J].经济管理.2008年第6期.pp49-54.
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8周光友,罗素梅.外汇储备最优替代的动态决定[J].金融研究.2011年第5期.pp29-41.
9姜朝旭,刘德军,孟燕.我国外汇储备规模分析[J].宏观经济研究.2002年第6期.pp37-39.
1刘莉亚,任若恩.我国外汇储备适度规模的测算与分析[J].财贸经济.2004年第5期.pp61—68.
2刘斌.人民币自由兑换的外汇储备要求[J].财经研究.2000年第11期.pp59-64.
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5黄继.关子中国外汇储备需求的动态分析.世界经济文汇.2002年第6期.pp62-69.
6 Bahmani-Oskooee, M., and Malixi, M.,1987. Effects of Exchange Rate Flexibility on the Demand for International Reserve [J], Economics Letters,23(1), pp.89-93.
6李杨.我国外汇储备收益“相当可观”[N].上海证券报2006年3月17日A2版。
1 Edwards, S.,1985, On the Interest Rate Elasticity of the Demand for International Reserves:Some Evidence from Developing Countries [J], Journal of International Money and Finance,4(2). pp.287-295.
2 Bahmani-Oskooee, M.. and Malixi, M.,1994, Dynamic Reserve Adjustment under Varying Balance of Payments Positions [J], International Economic Journal,8(3), pp.45-56.
1 Badinger, H.,2004, Austria's Demand for International Reserves and Monetary Disequilibrium:The Case of a Small Open Economy with a Fixed Exchange Rate Regime [J], Economica,71(2), pp.39- 55.
1本文甚至还考虑了经济货币化程度(M2/GDP)对中国货币需求的影响,但这一变量引入后导致回归结果出现不合理的系数符号,故剔除这一变量。
2 Mcgibany, J.M., and Nourzad, F.,1995, Exchange Rate Volatility and the Demand for Money in the U.S [J], International Review of Economics and Finance,4(4), pp.411-425.
3在Arango和Nadiri (1981)、Bahmani-Oskooee和Pourheydarian (1990)的文献中对该系数进行了细致的讨论。
4 Badinger (2004)则将货币失衡MtDE定义为M1t-1-M1t.并采用协整的方法确定最优货币需求M1t.。
1 Hee-Ryang Ra,2009, Opportunity Cost and the Demand for International Reserves:A Simultaneous Approach Incorporating the Supply Side [J], The Journal of the Korean Economy,10(3), pp.395-419.
1 Buchanan, J.,1965, An Economic Theory of Clubs [J], Economica,32(125), pp.1-14.
2 Dodsworth, J.R.,1978, International Reserve Economies in Less Developed Countries [J], Oxford Economic Papers,30(2), pp.277-291.
3 Dodsworth, J.R.,1992, Reserve Pooling:An Application of the Theory of Clubs[J],Economia Internazionale,44:209-222
1 Medhora, R.,1992, The Gain From Reserve Pooling in the West African Monetary Union[J]. Economia Internazionale,45,pp.209-222.
2 Williams,O., Polius, T., and Hazel, S.,2001, Reserve Pooling in the East Caribbean Currency Union and the CFA Franc Zone[R], IMF working paper,WP/01/104.
5 Eichengreen, B.,2007, Insurance Underwriter or Financial Development Fund:What Role for Reserve Pooling in Latin America? [J]. Open Economies Review,18(1), pp.27-52.
4“融资骤停”指流向新兴市场经济体的私人资本迅速减少,并通常伴随着产出水平、私人投资和信贷大幅下降和实际汇率升值。在操作上,Calvo et al. (2004)将其定义为“一国资本净流入的下降幅度在一年内达到该国资本流动样本均值的2个标准差以上”,而Guidotti et al(2004)、Jeanne和Ranciere(2011)则将其定义为一国资本流入与GDP之比较前一年减少5%,此时该国发生了“融资骤停”问题。
1所谓货币互换是指缔约双方约定在未来的一段时期内和特定的情形下(比如遭遇严重的经常项目赤字)以约定的汇率和条件交换货币储备。货币互换只是缔约方之间相互赋予对方的一种权利,这种协议在期限内可以启用,也可以不启用。一战后英国于1925年4月28宣布,英国依照战前汇率平价1英镑兑换4.86美元恢复金本位制。随后美国联储向英格兰银行提供总值2亿美元的黄金储备以助英国政府对付可能发生的对英镑的投机性冲击。这一协议开创了货币互换的先河,并为未来的货币互换在操作层面上提供了一个范本。
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