后危机背景下基于预防动机的中国外汇储备需求研究  

Analysis of Chinese Foreign Exchange Reserves Demand Based on Precautionary Motive under Background of Post Crisis

作　　者：谷宇[1] 韩国高[2] 

机构地区：[1]大连理工大学经济学院,116023 [2]东北财经大学数学与数量经济学院

出　　处：《国际贸易问题》2011年第4期150-161,共12页Journal of International Trade

基　　金：教育部人文社会科学青年基金项目(项目号:09YJC790023);大连理工大学博士启动基金资助

摘　　要：本文首先应用EGARCH模型捕捉了我国外汇储备的非对称波动性;随后从持有外汇储备的预防性动机出发,建立了中国外汇储备适度规模模型。本文应用受限向量误差修正模型方法,识别了中国的外汇储备适度规模及人民币汇率的协整方程。结果表明,我国外汇储备起到了屏蔽、缓冲金融危机的作用,也表明我国外向型的经济发展模式是导致外汇储备持续增长的结构性因素。同时,外汇储备增长对人民币汇率存在正向冲击效应,长期内将导致汇率升值。在后危机背景下,政策当局短期内应增加汇率灵活性,释放储备增加导致的汇率升值压力;长期内应转变经济增长模式,推进汇率和利率的市场化变革,提高经济体抵御危机的能力,从根本上降低经济体对外汇储备的需求。This paper measures the asymmetric volatility of Chinese foreign exchange reserves with the EGARCH model,and sets up the model of Chinese foreign exchange rate reserves demand based on the precautionary motive.With the method of restricted VECM,this paper recognizes Chinese foreign reserves demand co-integration function and RMB exchange rate co-integration function.The result proves the crisis-prevention and crisis-cushion function of foreign exchange reserves and concludes the outward-oriented economic development pattern is the structural factor causing the growth of foreign reserves.And the growth of reserves impacts the RMB exchange rate positively and would induce the appreciation of RMB in the long run.Under the background of post-crisis,the government agencies should enhance the flexibility of RMB exchange rate to release the appreciation pressure caused by the reserves.In the long run,the authorities should transform economic growth pattern,push the innovation of exchange rate forming mechanism and improve the crisis-defense capability of economy for the purpose of lowering the demand for foreign exchange reserves.

关 键 词：外汇储备 人民币汇率 预防动机 受限向量误差修正模型 金融危机 汇率 利率改革 

分 类 号：F832.63[经济管理—金融学]