基于效用最大化模型的中国最优外汇储备研究
发布时间：2018-08-09 20:11
【摘要】：中国外汇储备的发展就好像中国经济发展的一面镜子，经历了改革开放初期的严重短缺，继而高速增长，到近几年外汇储备相对充裕的几个阶段。短短三十年时间，中国外汇储备的增长速度是世界其他国家所无法比拟的。增幅之大，增长之快，也是世界罕见的。中国外汇储备如此持续高速增长，其中的原因有许多，包括中国宏观经济高速增长，对外开放程度逐年加大，汇率体制改革，以出口为导向的经济增长政策，强制结售汇制度以及对人民币升值的预期等等。总之，高速的外汇储备增长引起了国内外学术界的关注。对其研究也越来越多。 这随之而来的问题就是，中国外汇储备是否适度，是相对过剩还是有待提高。外汇储备为中国经济带来的好处是有目共睹的，不仅使中国从容应对亚洲金融危机，还提高了中国的对外支付能力，增加了海外投资者的信心，并为中国经济的高速发展提供了有力的保障和支撑。但是外汇储备并非越多越好，收益率低下，货币政策倒逼，通胀压力加大等都是持有过多外汇储备所需付出的代价。尤其是这几年美元持续走低，使得中国外汇储备大幅缩水，给经济造成了不小的损失，所以认为中国外汇储备相对过剩的观点越来越多。本文正是基于这样的背景下，，来探讨中国外汇储备规模问题。 从国内外以往的理论研究来看，对外汇储备最优规模的研究是按这样的顺序发展的。最初是比例分析法，其中几个代表性的指标有储备与进口比例（R/M）、储备与短期外债比例（R/SD）和储备与货币供应量比例等。随着资本项目流动的加大，出现了外汇储备的需求函数分析法，它把计量经济学的分析方法运用到外汇储备最优规模问题，通过构建需求函数更加全面地分析了外汇储备的需求。成本收益模型把外汇储备当作一种资产来分析，为了求出其最适度规模，必须使其边际收益等于边际成本。这种方法为分析外汇储备问题开辟了一条新道路。国内研究最优外汇储备规模问题大多采用上述三种方法，按照中国的实际情况对模型进行扩展，再套用中国数据，得出相应结论。 目前国际上研究外汇储备最优规模的前沿理论是基于效用最大化模型，这在国内文献中比较少见。本文针对这方面的空缺，在效用最大化模型的基础上研究中国最优外汇储备问题。文章第四章将详细介绍JR模型，然后搜集中国外汇储备相关数据，进行数值模拟分析和敏感性分析，这些将在文章第五章中体现。最后根据模型得出的结论从控制外汇储备增长和外汇储备的运营管理两方面提出若干政策建议。
[Abstract]:The development of China's foreign exchange reserves is like a mirror of China's economic development. It has experienced a serious shortage in the early stage of reform and opening up, then increased at a high speed, and has been relatively abundant in recent years. In just three decades, China's foreign exchange reserves have grown faster than other countries in the world. The rate of increase and the speed of growth are also rare in the world. There are many reasons for the sustained and rapid growth of China's foreign exchange reserves, including the rapid growth of China's macroeconomic economy, the increase in the degree of opening up year by year, the reform of the exchange rate system, and the export-oriented economic growth policy. Compulsory settlement and sale of foreign exchange system and the expectation of RMB appreciation and so on. In short, the rapid growth of foreign exchange reserves has attracted the attention of the academic community at home and abroad. More and more research has been done on it. The question that follows is whether China's foreign exchange reserves are moderate, relative excess or need to be raised. The benefits that foreign exchange reserves bring to China's economy are obvious to all. They not only enable China to cope with the Asian financial crisis, but also enhance China's ability to pay abroad and increase the confidence of overseas investors. And for the rapid development of China's economy to provide a strong guarantee and support. But the more reserves the better, the lower yields, the tighter monetary policy and inflationary pressures are the costs of holding excess reserves. In particular, as the dollar has continued to weaken in recent years, causing China's foreign exchange reserves to shrink sharply, causing a lot of losses to the economy, there is a growing number of views that China's foreign exchange reserves are relatively excess. This article is based on this background, to explore the size of China's foreign exchange reserves. From the previous theoretical studies at home and abroad, the research on the optimal size of foreign exchange reserves is developed in this order. At the beginning, the proportional analysis method was used, among which the ratio of reserve to import (R / M), the ratio of reserve to short-term external debt (R/SD) and the ratio of reserve to money supply were several typical indicators. With the increase of capital account flow, the demand function analysis method of foreign exchange reserve appears, which applies econometric analysis method to the optimal scale of foreign exchange reserve. The demand of foreign exchange reserve is analyzed more comprehensively by constructing demand function. The cost-benefit model analyzes the foreign exchange reserve as an asset. In order to find out its optimal scale, the marginal income must be equal to the marginal cost. This method opens up a new way to analyze the problem of foreign exchange reserves. Most of the domestic researches on the optimal foreign exchange reserve scale are based on the above three methods. According to the actual situation in China, the model is expanded, and then applied to the Chinese data, and the corresponding conclusions are drawn. At present, the frontier theory of the optimal size of foreign exchange reserves is based on the utility maximization model, which is rare in domestic literature. In this paper, the optimal foreign exchange reserves of China are studied on the basis of utility maximization model. The fourth chapter will introduce JR model in detail, then collect the relevant data of China's foreign exchange reserve, carry on the numerical simulation analysis and sensitivity analysis, these will be reflected in the fifth chapter of the article. Finally, according to the conclusions of the model, some policy suggestions are put forward from the aspects of controlling the growth of foreign exchange reserves and the operation and management of foreign exchange reserves.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F224
[Abstract]:The development of China's foreign exchange reserves is like a mirror of China's economic development. It has experienced a serious shortage in the early stage of reform and opening up, then increased at a high speed, and has been relatively abundant in recent years. In just three decades, China's foreign exchange reserves have grown faster than other countries in the world. The rate of increase and the speed of growth are also rare in the world. There are many reasons for the sustained and rapid growth of China's foreign exchange reserves, including the rapid growth of China's macroeconomic economy, the increase in the degree of opening up year by year, the reform of the exchange rate system, and the export-oriented economic growth policy. Compulsory settlement and sale of foreign exchange system and the expectation of RMB appreciation and so on. In short, the rapid growth of foreign exchange reserves has attracted the attention of the academic community at home and abroad. More and more research has been done on it. The question that follows is whether China's foreign exchange reserves are moderate, relative excess or need to be raised. The benefits that foreign exchange reserves bring to China's economy are obvious to all. They not only enable China to cope with the Asian financial crisis, but also enhance China's ability to pay abroad and increase the confidence of overseas investors. And for the rapid development of China's economy to provide a strong guarantee and support. But the more reserves the better, the lower yields, the tighter monetary policy and inflationary pressures are the costs of holding excess reserves. In particular, as the dollar has continued to weaken in recent years, causing China's foreign exchange reserves to shrink sharply, causing a lot of losses to the economy, there is a growing number of views that China's foreign exchange reserves are relatively excess. This article is based on this background, to explore the size of China's foreign exchange reserves. From the previous theoretical studies at home and abroad, the research on the optimal size of foreign exchange reserves is developed in this order. At the beginning, the proportional analysis method was used, among which the ratio of reserve to import (R / M), the ratio of reserve to short-term external debt (R/SD) and the ratio of reserve to money supply were several typical indicators. With the increase of capital account flow, the demand function analysis method of foreign exchange reserve appears, which applies econometric analysis method to the optimal scale of foreign exchange reserve. The demand of foreign exchange reserve is analyzed more comprehensively by constructing demand function. The cost-benefit model analyzes the foreign exchange reserve as an asset. In order to find out its optimal scale, the marginal income must be equal to the marginal cost. This method opens up a new way to analyze the problem of foreign exchange reserves. Most of the domestic researches on the optimal foreign exchange reserve scale are based on the above three methods. According to the actual situation in China, the model is expanded, and then applied to the Chinese data, and the corresponding conclusions are drawn. At present, the frontier theory of the optimal size of foreign exchange reserves is based on the utility maximization model, which is rare in domestic literature. In this paper, the optimal foreign exchange reserves of China are studied on the basis of utility maximization model. The fourth chapter will introduce JR model in detail, then collect the relevant data of China's foreign exchange reserve, carry on the numerical simulation analysis and sensitivity analysis, these will be reflected in the fifth chapter of the article. Finally, according to the conclusions of the model, some policy suggestions are put forward from the aspects of controlling the growth of foreign exchange reserves and the operation and management of foreign exchange reserves.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F224
【参考文献】
相关期刊论文 前10条
1 钟伟;论中国国际储备的适度规模[J];财经研究;1995年07期
2 姜波克;牛晓健;;局部战争视角下中国国际储备管理研究[J];复旦学报(社会科学版);2006年04期
3 马之
本文编号：2175183
本文链接：https://www.wllwen.com/guanlilunwen/bankxd/2175183.html
