外汇储备规模与币种选择理论在中国的实证研究
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摘要
经历了1997年亚洲金融危机后,我国外汇储备总量开始增加,2001年起更是加速增长,年均增长率达到37%。相对于外汇储备的低收益率,我国外汇储备规模的迅速扩张已经使得持有外汇储备的机会成本变得很高,外汇储备现有投资结构上的不平衡则是造成收益和成本不相匹配的一个重要原因。本文将从我国外汇储备的货币结构和单一货币下的资产配置结构入手,研究我国外汇储备结构存在的问题,并期望从基本的研究结论得出有意义的政策建议。
在外汇储备适度规模的分析上,重点研究了比例分析法、成本收益分析法以及计量模型,并采用比例分析法、Frenkel模型对我国的外汇储备规模进行实证研究。研究结论表明Frenkel模型对我国外汇储备变动的解释能力较强,比例分析法对我国外汇储备变动的解释能力很弱。
在外汇储备的币种选择上,从全球外汇储备的货币构成看,美元、欧元、日元和英镑是各国和各地区最重要的储备货币选择对象。在我国外汇储备中65%-70%为美元资产,比例是相当高的。我们采用Markowitz均值方差理论(简称MV模型)研究币种问题,实证结果表明:(1)无论是固定汇率还是浮动汇率,最小风险值随着预期收益的增加而增加,不建议选择持有美元,如果从风险越小越好来考虑建议持有较多的日元,这些和美元具有较高的收益波动性而日元具有较低的收益波动性以及近期相对人民币美元贬值的趋势有关;(2)如果从收益越大越好来考虑,在固定汇率的情况下,英镑被建议选择较多的比例,而在浮动汇率的情况下,欧元被建议选择较多的比例。同时我们也采用极大极小价值离差模型(简称MMVD模型)进行实证研究,结果表明:(1)美元储备货币的分配比例随着时间变化呈现递减的趋势,最近几年都在40%左右变化;(2)欧元在外汇储备中分布的权重有所增加,尤其是在2008年欧元的比重几乎达到25%;(3)随着最低组合收益率从3%变化到5%,美元和欧元始终占据较大的储备比例,而英镑和日元占据较低的储备比例(不到20%)。
总之,通过对我国外汇储备规模和币种选择的研究,发现现有理论模型很难完全解释目前我国的外汇储备状况,而计量模型方法和极大极小模型法相比较适合于解释我国状况。在上述研究基础上,本文提出一些改进我国外汇储备管理的政策建议,力图为我国外汇储备的管理朝着良性发展提供指导作用。
After 1997 Asian financial crisis, foreign exchange reserve of China began to increase, especially increasing more quickly from 2001 with an increase of 37%. The low rate of return in foreign exchange reserve is making its opportunity costs quite high. All these show that the present investment structure in China is in a state of unbalance, which is one of the most important factors resulting in unsuitable profits and costs. Starting from the currency structure and investment proportion in Chinese foreign exchange reserve, this paper aims to disclose the problem existed in foreign exchange reserve in China, and also expects to give significative policy implications to decision- makers.
Based on the theory of the modest foreign exchange reserve, we pay more attention to the methods of ratio analysis, cost-benefit and econometric model. At the same time the paper makes empirical analysis by using ratio analysis and Frenkel model. We find that the Frenkel model can better explan the fluctuation of Chinese foreign exchange rate, but ratio analysis is absence of explanatory power to do with the problem. On currency selection in view of the global foreign exchange reserve, U.S. dollar, euro, yen and sterling are the most important currencies in the world. And U.S. dollar is about 65%-70% of foreign exchange reserve in China, which is in a quite high proportion. Based on Markowitz mean-varance methond, we can see that: (1) no matter under the framework of fixed exchange rate or floating exchange rate, the mimimized risk increases with the increased expected return; U.S.dollor is not suggested to select in investment; yen is thought as a good investment selection if the lower risk is considered. These results are mainly relative to the higher fluctuation of dollars, the lower fluctuation of yen in return rate and U.S.dollor is recently devaluing relative to Renminbi. (2) if the higher return rate is considered, sterling is a good option under the framework of fixed exchange rate, and euro is another selection under floating exchange rate. At the same time, based on the analysis of minimax value-deviation portfolio selection model, we can also see that: (1) the allocation proportion of dollars is showing the degressive trend with the change of time, and it is almost 40% recently; (2) the proportion of euro is increasing, especially in 2008 it is almost 25%; (3) U.S.dollor and euro are always in a higher proportion among the selected four currencies with the increased expected return from 3% to 5%.
In conclusion, by analyzing the modest foreign exchange reserve and currency selection in China, we find that the present theory and models are difficult to explain the state of Chinese foreign reserve. Comparatively speaking, econometric model and minimax value-deviation portfolio selection model are suitable to explain this point. Based these researches above we give some suggestions to improve management of foreign reserve. And also we give some suggestive directions to make management of foreign reserve towards benign development in China.
在外汇储备适度规模的分析上,重点研究了比例分析法、成本收益分析法以及计量模型,并采用比例分析法、Frenkel模型对我国的外汇储备规模进行实证研究。研究结论表明Frenkel模型对我国外汇储备变动的解释能力较强,比例分析法对我国外汇储备变动的解释能力很弱。
在外汇储备的币种选择上,从全球外汇储备的货币构成看,美元、欧元、日元和英镑是各国和各地区最重要的储备货币选择对象。在我国外汇储备中65%-70%为美元资产,比例是相当高的。我们采用Markowitz均值方差理论(简称MV模型)研究币种问题,实证结果表明:(1)无论是固定汇率还是浮动汇率,最小风险值随着预期收益的增加而增加,不建议选择持有美元,如果从风险越小越好来考虑建议持有较多的日元,这些和美元具有较高的收益波动性而日元具有较低的收益波动性以及近期相对人民币美元贬值的趋势有关;(2)如果从收益越大越好来考虑,在固定汇率的情况下,英镑被建议选择较多的比例,而在浮动汇率的情况下,欧元被建议选择较多的比例。同时我们也采用极大极小价值离差模型(简称MMVD模型)进行实证研究,结果表明:(1)美元储备货币的分配比例随着时间变化呈现递减的趋势,最近几年都在40%左右变化;(2)欧元在外汇储备中分布的权重有所增加,尤其是在2008年欧元的比重几乎达到25%;(3)随着最低组合收益率从3%变化到5%,美元和欧元始终占据较大的储备比例,而英镑和日元占据较低的储备比例(不到20%)。
总之,通过对我国外汇储备规模和币种选择的研究,发现现有理论模型很难完全解释目前我国的外汇储备状况,而计量模型方法和极大极小模型法相比较适合于解释我国状况。在上述研究基础上,本文提出一些改进我国外汇储备管理的政策建议,力图为我国外汇储备的管理朝着良性发展提供指导作用。
After 1997 Asian financial crisis, foreign exchange reserve of China began to increase, especially increasing more quickly from 2001 with an increase of 37%. The low rate of return in foreign exchange reserve is making its opportunity costs quite high. All these show that the present investment structure in China is in a state of unbalance, which is one of the most important factors resulting in unsuitable profits and costs. Starting from the currency structure and investment proportion in Chinese foreign exchange reserve, this paper aims to disclose the problem existed in foreign exchange reserve in China, and also expects to give significative policy implications to decision- makers.
Based on the theory of the modest foreign exchange reserve, we pay more attention to the methods of ratio analysis, cost-benefit and econometric model. At the same time the paper makes empirical analysis by using ratio analysis and Frenkel model. We find that the Frenkel model can better explan the fluctuation of Chinese foreign exchange rate, but ratio analysis is absence of explanatory power to do with the problem. On currency selection in view of the global foreign exchange reserve, U.S. dollar, euro, yen and sterling are the most important currencies in the world. And U.S. dollar is about 65%-70% of foreign exchange reserve in China, which is in a quite high proportion. Based on Markowitz mean-varance methond, we can see that: (1) no matter under the framework of fixed exchange rate or floating exchange rate, the mimimized risk increases with the increased expected return; U.S.dollor is not suggested to select in investment; yen is thought as a good investment selection if the lower risk is considered. These results are mainly relative to the higher fluctuation of dollars, the lower fluctuation of yen in return rate and U.S.dollor is recently devaluing relative to Renminbi. (2) if the higher return rate is considered, sterling is a good option under the framework of fixed exchange rate, and euro is another selection under floating exchange rate. At the same time, based on the analysis of minimax value-deviation portfolio selection model, we can also see that: (1) the allocation proportion of dollars is showing the degressive trend with the change of time, and it is almost 40% recently; (2) the proportion of euro is increasing, especially in 2008 it is almost 25%; (3) U.S.dollor and euro are always in a higher proportion among the selected four currencies with the increased expected return from 3% to 5%.
In conclusion, by analyzing the modest foreign exchange reserve and currency selection in China, we find that the present theory and models are difficult to explain the state of Chinese foreign reserve. Comparatively speaking, econometric model and minimax value-deviation portfolio selection model are suitable to explain this point. Based these researches above we give some suggestions to improve management of foreign reserve. And also we give some suggestive directions to make management of foreign reserve towards benign development in China.
引文
[1] Agarwal J.P. Optimal monetary reserves for developing countries. Review of World Economics, 1971, 107: 76-91.
[2] Alfaro L., Kanczuk F. Optimal reserve management and sovereign debt. Journal of International Economics, 2009,77(1):23-36.
[3] Balogh T. International reserve and liquidity. The Economics Journal, 1960, 70: 357-377.
[4] Cai X., Teo K.L., Yang X., Zhou X.Y. Portfolio optimization under a maximum rule. Management Science, 2000, 46: 957-972.
[5] Chiodi L., Mansini R., Speranza M.G. Semi-absolute deviation rule for mutual funds portfolio selection. Annals of operations research, 2003, 124: 245-265.
[6] Deb K., Pratap A., Agarwal S., and Meyarivan T. A fast and elitist multiobjective genetic algorithm: NSGA-Ⅱ. IEEE Transactions on Evolutionary Computation, 2002, 6(2).
[7] Devereux M.B. A simple model of emerging market portfolio structure. International Review of Economics & Finance, 2009, 18(3):457-468.
[8] Fleming J.M. On exchange rate unification. The Economics Journal, 1971, 81: 467-488.
[9] Heller H.R. Optimal international reserves. The Economics Journal, 1966, 76: 296-311.
[10] Konno H., Yamazaki H. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock. Management Science, 1991, 37: 519-531.
[11] Markowitz H. Portfolio Selection. Journal of Finance, 1952, 7: 77-91.
[12] Speranza M.G. Linear programming models for portfolio optimization. Finance, 1993, 14: 107–123.
[13] Sula O. Demand for international reserves in developing nations: A quantile regression approach. Journal of International Money and Finance, 2011,30(5): 764-777.
[14] Tariffin. Robert. Gold and Dollar Crisis. New Haven: Yale University Press, 1960.
[15] Triffin R. National Central Banking and the International Economy. The Review of Economic Studies, 1947, 14(2): 55-70
[16] Young M.R. A minimax portfolio selection rule with linear programming solution. Management Science, 1998, 44: 673-683.
[17]陈文政.中国外汇储备最优规模的再思考.上海经济研究,2009(9): 3-9.
[18]陈雨露,张成思.全球新型金融危机与中国外汇储备管理的战略调整,国际金融研究,2008,11.
[19]国家外汇管理局:http://www safe.gov.cn/
[20]侯高岚.国际金融.北京:清华大学出版社,2005,183.
[21]黄涛,黄海南.中国外汇储备适度规模测算——基于外汇需求法的实证研究.经济体制改革, 2007,5:118-121.
[22]刘训敏.金融危机下我国外汇储备风险及币种构成分析.现代经济信息, 2010, 16: 151-153.
[23]梅德平.国际金融学.北京:中国经济出版社,2004,181.
[24]美国联邦储备局:http://research.stlouisfed.org/fred2/
[25]彭飞,史本山,黄登仕.极大极小价值离差资产选择模型研究.管理科学报, 2003, 11: 290-293.
[26]王爱俭,王景武.中国外汇储备投资多样化研究.北京:中国金融出版社,2009.
[27]王大生.?基于MMVD模型的我国美元外汇储备资产的结构调整研究[硕士论文].?湖南,湖南大学,2007.
[28]王培麟.用Excel求解线性规划及线性方程组的方法.西北民族学院学报自然科学版,2002,2:37-39.
[29]王炎.中国外汇储备的适度研究[硕士论文].武汉,武汉大学,2005.
[30]张建平.政策性银行利用外汇储备转化资金支持“走出去”问题研究.北京:中国市场出版社,2009.
[31]张曙光,张斌.外汇储备持续积累的经济后果.经济研究, 2007,4: 18-29.
[32]郑金华.多目标进化算法及其应用.北京:科学出版社,2007.
[2] Alfaro L., Kanczuk F. Optimal reserve management and sovereign debt. Journal of International Economics, 2009,77(1):23-36.
[3] Balogh T. International reserve and liquidity. The Economics Journal, 1960, 70: 357-377.
[4] Cai X., Teo K.L., Yang X., Zhou X.Y. Portfolio optimization under a maximum rule. Management Science, 2000, 46: 957-972.
[5] Chiodi L., Mansini R., Speranza M.G. Semi-absolute deviation rule for mutual funds portfolio selection. Annals of operations research, 2003, 124: 245-265.
[6] Deb K., Pratap A., Agarwal S., and Meyarivan T. A fast and elitist multiobjective genetic algorithm: NSGA-Ⅱ. IEEE Transactions on Evolutionary Computation, 2002, 6(2).
[7] Devereux M.B. A simple model of emerging market portfolio structure. International Review of Economics & Finance, 2009, 18(3):457-468.
[8] Fleming J.M. On exchange rate unification. The Economics Journal, 1971, 81: 467-488.
[9] Heller H.R. Optimal international reserves. The Economics Journal, 1966, 76: 296-311.
[10] Konno H., Yamazaki H. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock. Management Science, 1991, 37: 519-531.
[11] Markowitz H. Portfolio Selection. Journal of Finance, 1952, 7: 77-91.
[12] Speranza M.G. Linear programming models for portfolio optimization. Finance, 1993, 14: 107–123.
[13] Sula O. Demand for international reserves in developing nations: A quantile regression approach. Journal of International Money and Finance, 2011,30(5): 764-777.
[14] Tariffin. Robert. Gold and Dollar Crisis. New Haven: Yale University Press, 1960.
[15] Triffin R. National Central Banking and the International Economy. The Review of Economic Studies, 1947, 14(2): 55-70
[16] Young M.R. A minimax portfolio selection rule with linear programming solution. Management Science, 1998, 44: 673-683.
[17]陈文政.中国外汇储备最优规模的再思考.上海经济研究,2009(9): 3-9.
[18]陈雨露,张成思.全球新型金融危机与中国外汇储备管理的战略调整,国际金融研究,2008,11.
[19]国家外汇管理局:http://www safe.gov.cn/
[20]侯高岚.国际金融.北京:清华大学出版社,2005,183.
[21]黄涛,黄海南.中国外汇储备适度规模测算——基于外汇需求法的实证研究.经济体制改革, 2007,5:118-121.
[22]刘训敏.金融危机下我国外汇储备风险及币种构成分析.现代经济信息, 2010, 16: 151-153.
[23]梅德平.国际金融学.北京:中国经济出版社,2004,181.
[24]美国联邦储备局:http://research.stlouisfed.org/fred2/
[25]彭飞,史本山,黄登仕.极大极小价值离差资产选择模型研究.管理科学报, 2003, 11: 290-293.
[26]王爱俭,王景武.中国外汇储备投资多样化研究.北京:中国金融出版社,2009.
[27]王大生.?基于MMVD模型的我国美元外汇储备资产的结构调整研究[硕士论文].?湖南,湖南大学,2007.
[28]王培麟.用Excel求解线性规划及线性方程组的方法.西北民族学院学报自然科学版,2002,2:37-39.
[29]王炎.中国外汇储备的适度研究[硕士论文].武汉,武汉大学,2005.
[30]张建平.政策性银行利用外汇储备转化资金支持“走出去”问题研究.北京:中国市场出版社,2009.
[31]张曙光,张斌.外汇储备持续积累的经济后果.经济研究, 2007,4: 18-29.
[32]郑金华.多目标进化算法及其应用.北京:科学出版社,2007.