中国外汇冲销的实践及效果分析

发布时间：2018-11-18 12:56

【摘要】：改革开放以来,我国对外开放程度在不断提高,国际收支的经常账户和资本与金融账户一直保持着双顺差的态势。一般来说,国际收支顺差,本币会升值,国际收支会自动调节汇率。但是,我国为了维持人民币对美元汇率的稳定,在顺差条件下,中央银行只好大量买进美元,抛出人民币,以此来缓解人民币升值的压力。这些用来被迫买进外汇而投放的人民币(即外汇占款)是目前我国货币投放的最主要途径,并由此导致了我国货币存量的内生性扩张,引致国内货币流动性过剩。为了保证国内货币供给量的稳定,中央银行被迫在国内市场上进行外汇冲销操作,以此来保持国内经济平稳发展。本文在这种背景下分析我国外汇冲销的实践。作者利用1994-2010年我国宏观经济数据,按照时间顺序,阶段性的划分出中国自1994年至今的外汇冲销实践历程,对每一个阶段的主要外汇冲销方式、规模和特点都进行了分析、归纳和总结。结果发现：我国外汇冲销操作具有：外汇冲销规模越来越大；外汇冲销操作越来越频繁；外汇冲销操作工具逐渐多样化；外汇冲销操作具有被动性等特点。同时,本文对中央银行票据和存款准备金政策这两种外汇冲销工具进行了效果分析(包括：有效性检验、成本分析)。在对中央银行票据效果分析过程中,一方面运用VAR模型、协整检验、格兰杰因果关系检验、误差修正模型和脉冲响应分析等计量经济学方法对央行票据冲销的有效性进行检验,结果发现央行票据余额与基础货币成负向协整关系,与利率成正向协整关系,央行发行1单位的央行票据会减少4.5单位的基础货币。另一方面,本文从成本角度分析了中央银行票据这一工具,这种成本主要表现在发行央行票据的利息成本、投资美国国债的收益、汇率变动而产生的外汇资产损益这三个方面,结果发现中央银行在2003年到2010年使用央行票据进行冲销产生的成本是比较大的。在对存款准备金政策的效果分析过程中,一方面运用计量经济学模型对存款准备金政策的有效性进行了检验,结果发现准备金政策的实施会对商业银行的贷款规模的紧缩产生一定的作用,但是由于各类银行资产负债结构的不同,对准备金政策变化的反映存在一定差异。准备金政策对国有商业银行贷款规模的影响程度最小,对股份制商业银行贷款规模的影响程度最大,对城市商业银行的影响介于两者之间。若以国有商业银行所受的影响为基数计算,股份制商业银行和城市商业银行所受影响分别为国有商业银行的3.12倍和1.75倍。另一方面,本文从成本角度来分析存款准备金政策,这种成本主要表现在中央银行需要向商业银行支付的存款准备金利息成本和商业银行的机会成本,结果发现中央银行运用存款准备金政策进行外汇冲销需要支付较大的成本。最后本文结合中国台湾地区、日本和泰国等地区和国家的实践经验,提出了相应的政策建议：减少外汇干预,逐步放宽汇率的波动幅度；改革现行的结售汇制度；继续加强资本管制力度；进一步完善公开市场操作；继续调整存款准备金率；设立外汇平准基金。
[Abstract]:Since the reform and opening-up, China's opening to the outside world has been increasing, and the current account of the balance of payments and the capital and financial accounts have maintained a double surplus. In general, the balance of payments surplus, the local currency will appreciate, and the balance of payments will automatically adjust the exchange rate. However, in order to maintain the stability of the Chinese currency against the US dollar, the central bank has to buy a large amount of the U.S. dollar and throw the renminbi in a surplus to ease the pressure on the yuan's appreciation. The RMB (that is, the foreign exchange account), which is used for the forced purchase of foreign exchange, is the most important way of the current money release in our country, and it has led to the internal expansion of our country's currency stock, which has led to the surplus of domestic currency liquidity. In order to ensure the stability of domestic currency supply, the central bank is forced to carry out foreign exchange write-off operation in the domestic market, so as to keep the domestic economy steady. In this paper, the paper analyzes the foreign exchange reversal in our country The author makes use of the macro-economic data of China in 1994-2010, and according to the time order, the paper divides the practice history of foreign exchange in China from 1994 to present, and analyses, sums up the main foreign exchange reverse way, scale and characteristics of each stage. The result shows that the foreign exchange write-off operation has the following advantages: the foreign exchange reverse operation is becoming more and more frequent; the foreign exchange write-off operation is becoming more and more frequent; the foreign exchange write-off operation tool is gradually diversified; and the foreign exchange reverse operation has the passivity and so on. Features: At the same time, the paper has carried on the effect analysis of the two foreign exchange reverse tools of the central bank note and the deposit reserve policy (including: the validity check, in that proces of the analysis of the effect of the central bank note, on the one hand, the method of econometrics such as the VAR model, the cointegral test, the Granger causality test, the error correction model and the impulse response analysis is used to reverse the central bank note The results show that the central bank's bill balance is in negative relationship with the base currency and is in a positive association with the interest rate, and the central bank's central bank note of 1 unit will be reduced by 4. On the other hand, the paper analyzes the instrument of the central bank's bill from the cost angle, which is mainly manifested in the interest cost of issuing the central bank note, the return of the investment in the U. S. national debt and the foreign exchange capital generated by the exchange rate fluctuation. In the three aspects of profit and loss, the result found that the central bank used the central bank note in 2003 to 2010 to reverse the production The cost of the deposit reserve policy is relatively large. In the process of the effect analysis of the deposit reserve policy, on the one hand, the effectiveness of the deposit reserve policy is checked by using the econometrics model, and the result shows that the implementation of the reserve policy will affect the loan rules of the commercial bank. The contraction of the model has a certain effect, but due to the different types of bank assets and liabilities, the reserve policy The effect of the reserve policy on the loan scale of the state-owned commercial banks is the least, and the degree of influence on the loan scale of the joint-stock commercial banks is the largest and the commercial commercial banks have the largest influence on the scale of the loans of the state-owned commercial banks. The effect of the bank is between the two. If the influence of the state-owned commercial bank is the base, the influence of the joint-stock commercial bank and the city commercial bank is the state-owned commercial bank 3.12 times and 1.75 times. On the other hand, the paper analyzes the deposit reserve policy from the cost angle, which is mainly manifested in the interest of the deposit reserve which the central bank needs to pay to the commercial bank. This is the opportunity cost of the commercial bank, and the result shows that the central bank uses the deposit reserve policy to carry out foreign exchange In the end, the author puts forward the corresponding policy suggestions in combination with the experience of Taiwan, Japan and Thailand in the areas of Taiwan, Japan and Thailand: to reduce the foreign exchange intervention, to gradually loosen the fluctuation range of the exchange rate, and to reform the current settlement Exchange system; continue to strengthen capital control; further improve open market operation; continue to adjust
【学位授予单位】：中央民族大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.52

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