持续贸易顺差背景下中国外汇储备的增长模式研究  

Growth Pattern of Foreign Reserve in China: Under the Background of Continuous Trade Surplus

作　　者：马杰[1,2] 辛星[1] 钱劲宇[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]美国密西根大学Ross商学院,安娜堡mi48109

出　　处：《管理科学》2010年第6期112-118,共7页Journal of Management Science

基　　金：国家自然科学基金(70803003);教育部人文社会科学基金(07JC790053);北京航空航天大学"蓝天人才计划"~~

摘　　要：基于Buffer Stock模型,建立中国外储增长与汇率关系的初始模型,借鉴RS模型,考虑汇率升/贬对储备增长的两种不同信号效应,通过协整检验和导入误差修正项,进一步改进初始模型。实证表明,贸易波动率对储备需求的影响,较外储持有机会成本的影响要大得多,这揭示了中国出口导向经济发展战略的负面效应;研究还发现,人民币升值对中国外储规模的抑制效应远大于卢比升值对印度外储规模的抑制效应,反映了人民银行面对本币升值时会更积极地干预汇市;与印度卢比贬值能够增加外储不同,人民币贬值却对中国外储规模没有显著影响。在中国提出扩大内需、转变经济增长方式的新形势下,没有必要继续对汇率变动进行不对称干预。Based on BS model,this study constructed a model to probe the relationship between reserve′s growth and exchange rate;and referring to the RS model,this study constructed another model to consider the asymmetric effect of exchange rate on reserve′s growth.Furthermore,this study amended the original models through the cointegration analysis and the introduction of error correction model.The empirical results show the effect of trade volatility on reserve is much larger than that of opportunity cost of holding reserves,and this is in line with the economic development of China that is driven by export sector.This paper finds the PBC will intervene with the foreign exchange market more positively when facing the equivalent pressure of appreciation,compared to the central bank of India.Different from the situation in India,there is no significant effects of RMB depreciation on the reserve′s growth,which indicates PBC would like to tolerate the RMB depreciation within a mild scope.Since China intends to change the economic growth pattern,PBC need not intervene the foreign exchange market asymmetrically any more.

关 键 词：储备增长 出口贸易 机会成本 不对称效应 误差修正 

分 类 号：F832[经济管理—金融学]