中国外汇储备投资组合选择——基于外汇储备循环路径的内生性分析

发布时间：2018-07-16 08:14

【摘要】：本文从中美两国经济的本质性差异出发,通过刻画中国外汇储备对外投资的"循环路径",构建了包括央行、金融市场和实体经济的斯塔克尔伯格及古诺模型,进而模拟出中国外汇储备对外投资对本国经济的间接贡献、合意的外汇储备投资组合,以及最优外汇储备投资规模。研究结果表明,中国外汇储备投资于美国风险资产的规模将影响外汇储备间接转化为美国对中国FDI的比例。同时,中国央行外汇储备规模及投资策略对危机时期的反应不足。改变外汇储备投资收益的主要方法包括降低居民的相对风险回避系数,通过政策引导促进居民消费,以及大力发展中国金融市场,降低对美国金融市场的依赖程度。
[Abstract]:Based on the essential differences between Chinese and American economies, this paper constructs Stackelberg and Cournot models including the central bank, financial market and real economy by depicting the "circular path" of China's foreign exchange reserve investment abroad, including the central bank, the financial market and the real economy. Furthermore, the indirect contribution of China's foreign exchange reserve investment to the national economy, the agreed foreign exchange reserve investment portfolio, and the optimal foreign exchange reserve investment scale are simulated. The results show that the size of China's foreign exchange reserves invested in risk assets in the United States will affect the indirect conversion of foreign exchange reserves to FDI from the United States to China. At the same time, the size of the PBoC's foreign exchange reserves and investment strategies are inadequate in response to the crisis. The main methods to change the investment income of foreign exchange reserve include reducing the relative risk avoidance coefficient of residents, promoting residents' consumption through policy guidance, and vigorously developing Chinese financial market and reducing their dependence on American financial market.
【作者单位】：南开大学经济学院;
【基金】：教育部重点研究基地重大项目(2009JJD790027);教育部重大攻关项目(09JZD0016);教育部人文社科青年项目(11YJC790171)的资助
【分类号】：F832.6

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