超额外汇储备和汇率超调:中国的证据

发布时间：2018-11-08 06:54

【摘要】：数据显示,很多发展中国家在其短期的发展过程中积累了巨额外汇储备,表现出对外汇储备和外国债券的强烈偏好,与此同时这些国家汇率变动的标准差与同期外汇储备变动的标准差呈显著正相关。本文在ObstfeldRogoff(1995)模型基础上,考虑了居民对国外债券的偏好对汇率超调的影响。模型分析结果表明:对国外债券的偏好会引起汇率的剧烈波动。这是因为货币扩张时本国货币的预期贬值,会使本国居民持有更多的国外债券,以期望升值时获利。本国居民持有国外债券,意味着货币需求的减少,为了使货币市场达到均衡,名义利率必须进一步降低,导致预期的汇率贬值更大,从而出现汇率超调。实证发现我国外汇储备偏离其适宜规模的比例从1991年的1倍左右扩大至2008年的5倍左右,而在此期间汇率失衡现象明显,VAR结果显示当前年均近30%的储备偏离幅度将意味着实际汇率水平偏离均衡值约4%。
[Abstract]:The data show that many developing countries have accumulated huge foreign exchange reserves during their short-term development, showing a strong preference for foreign exchange reserves and foreign bonds. At the same time, there is a significant positive correlation between the standard deviation of exchange rate changes and the standard deviation of foreign exchange reserve movements in the same period. On the basis of ObstfeldRogoff (1995) model, this paper considers the influence of resident's preference for foreign bonds on exchange rate overshoot. The results of the model analysis show that the preference for foreign bonds will cause the exchange rate to fluctuate sharply. This is because the expected devaluation of the local currency as the currency expands will allow residents to hold more foreign bonds in the hope of making a profit when they appreciate. Holding foreign bonds means less demand for money. In order for the money market to be balanced, nominal interest rates must be further lowered, leading to a greater depreciation of the expected exchange rate, resulting in exchange rate overshoot. It is found that the proportion of China's foreign exchange reserves deviating from its proper size has increased from about one time in 1991 to about five times in 2008, and the phenomenon of exchange rate imbalance is obvious during this period. VAR results show that the current average reserve deviation of nearly 30 percent will mean that the real exchange rate level deviates from the equilibrium value by about 4 percent.
【作者单位】：武汉大学经济与管理学院;
【分类号】：F832.6;F224

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