中国动用外汇储备投资美国国债的效应分析

发布时间：2018-11-17 14:01

【摘要】：中国在2006年超越日本成为全球最大的外汇储备国。在现有的外汇储备中,美元及其资产是中国最主要的投资对象。但是,伴随着次贷危机的爆发和逐级发酵,包括美国在内的西方发达经济体先后进入了经济冬眠期。为了缓解就业压力、刺激经济增长,美国推出了量化宽松(QE)的货币政策。实施这一政策的直接后果便是美元在过去三年中的价格走低。特别是当人民币加速升值后,美元贬值给中国外汇储备的资产价值造成的损失愈发显著。而恰恰是在此背景下,中国却在过去几年内持续增持美国国债,并逐渐成为美国的第一大债权国。这无疑给我们带来了很大的困扰——美元预期贬值的情况下为何还要增持美国国债?这种行为会不会给中国经济带来较大的负面作用呢?这些问题都逐渐成为了学术界当前关注与讨论的话题。文章首先系统性地梳理了外汇储备管理的理论体系以及储备资产投资的相关理论,并发现已有的理论体系呈现出逐级深入、逐步细化的研究路径。在此基础上,通过对中国外汇储备规模以及所持美国国债情况的分析与归纳,并结合现有的研究方法,提出了基于政府债券发行与流通的效应分析思路。即,投资美国国债会给中国带来“主权财富转移效应”和“通货膨胀效应”。进而,借助政府债券铸币税模型和代表性个人消费效用最大化分析框架对上述两种效应的存在以及可能的经济路径进行了较为详尽的讨论与实证研究。结果表明,由于政府债券铸币税的存在,中国在过去6年间共向美国政府输送了超过600亿美元的主权财富。同时,投资美国国债的行为在理论上还会对中国形成通货膨胀水平上涨的压力。只是由于中国央行集中持有外汇储备,才使得这种潜在的通货膨胀压力最终被转嫁到外汇占款对通货膨胀的影响上。最后,文章基于中国投资美国国债的经济效应以及外汇储备对中国经济的影响,建议中国应该合理控制外汇储备的规模、降低投资美国国债的比例,并适度加快人民币国际化进程,促进主权财富的增加。同时,文章还从管理的层次、考核的指标等方面构建了中国外汇储备的投资管理体系。
[Abstract]:China overtook Japan as the world's largest foreign exchange reserve in 2006. The dollar and its assets are China's main investors in existing foreign exchange reserves. However, with the outbreak of the subprime mortgage crisis and the gradual fermentation, developed western economies, including the United States, have entered the period of economic hibernation. To ease job pressure and stimulate economic growth, the United States launched quantitative easing (QE) monetary policy. The immediate consequence of this policy is the decline in the dollar over the past three years. Especially as the yuan accelerates, the loss to the value of China's foreign exchange reserves from a weaker dollar is even more pronounced. It is against this backdrop that China has continued to increase its holdings of U.S. Treasuries over the past few years and has gradually become the largest creditor of the United States. This is doubtless a big worry for us-why should we increase our holdings of Treasuries when the dollar is expected to depreciate? Will such behavior have a greater negative impact on China's economy? These problems have gradually become a topic of concern and discussion in academic circles. Firstly, the paper systematically combs the theory system of foreign exchange reserve management and the related theory of reserve asset investment, and finds that the existing theoretical system has a deep and detailed research path step by step. On this basis, through the analysis and induction of the scale of China's foreign exchange reserves and the situation of the U. S. Treasury bonds held, and combined with the existing research methods, this paper puts forward the thinking of effect analysis based on the issuance and circulation of government bonds. That is, investing in US Treasury bonds will give China "sovereign wealth transfer effect" and "inflation effect." Furthermore, by means of the seigniorage model of government bonds and the analysis framework of representative individual consumption utility maximization, the existence and possible economic path of these two effects are discussed and empirically studied in detail. The results show that China has channelled more than $60 billion of sovereign wealth to the U.S. government over the past six years as a result of the seigniorage on government bonds. At the same time, investing in U.S. Treasuries could theoretically put pressure on China to inflate. It is only because the people's Bank of China holds foreign exchange reserves that this potential inflationary pressure is eventually transferred to the inflation impact of foreign currency holdings. Finally, based on the economic effects of China's investment in US Treasury bonds and the impact of foreign exchange reserves on China's economy, the paper suggests that China should reasonably control the size of foreign exchange reserves and reduce the proportion of investments in US Treasury bonds. And moderate acceleration of RMB internationalization process, promote the increase of sovereign wealth. At the same time, the paper constructs the investment management system of China's foreign exchange reserve from the management level and the evaluation index.
【学位授予单位】：天津财经大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.6

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