后危机背景下基于预防动机的中国外汇储备需求研究

发布时间：2018-08-02 18:16

【摘要】：本文首先应用EGARCH模型捕捉了我国外汇储备的非对称波动性;随后从持有外汇储备的预防性动机出发,建立了中国外汇储备适度规模模型。本文应用受限向量误差修正模型方法,识别了中国的外汇储备适度规模及人民币汇率的协整方程。结果表明,我国外汇储备起到了屏蔽、缓冲金融危机的作用,也表明我国外向型的经济发展模式是导致外汇储备持续增长的结构性因素。同时,外汇储备增长对人民币汇率存在正向冲击效应,长期内将导致汇率升值。在后危机背景下,政策当局短期内应增加汇率灵活性,释放储备增加导致的汇率升值压力;长期内应转变经济增长模式,推进汇率和利率的市场化变革,提高经济体抵御危机的能力,从根本上降低经济体对外汇储备的需求。
[Abstract]:This paper firstly uses EGARCH model to capture the asymmetric volatility of China's foreign exchange reserve, and then, from the precautionary motivation of holding foreign exchange reserve, establishes the appropriate scale model of China's foreign exchange reserve. In this paper, the constrained vector error correction model is used to identify the moderate size of China's foreign exchange reserves and the cointegration equation of RMB exchange rate. The results show that China's foreign exchange reserves act as a shield and buffer against the financial crisis, and that the export-oriented economic development model is the structural factor leading to the sustained growth of foreign exchange reserves. At the same time, the growth of foreign exchange reserves has a positive impact on the RMB exchange rate, which will lead to exchange rate appreciation in the long run. In the context of the post-crisis, the policy authorities should increase exchange rate flexibility in the short term, release the pressure of exchange rate appreciation caused by the increase in reserves, and in the long run should change the economic growth model and promote the marketization of exchange rates and interest rates. Improve the ability of the economy to withstand the crisis, fundamentally reduce the demand for foreign exchange reserves.
【作者单位】：大连理工大学经济学院;东北财经大学数学与数量经济学院;
【基金】：教育部人文社会科学青年基金项目(项目号:09YJC790023) 大连理工大学博士启动基金资助
【分类号】：F224;F832.6

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