汇率预期、外汇供给与外汇储备  

Exchange Rate Expectation,Foreign Exchange Supply and Foreign Exchange Reserve

作　　者：张见[1] 刘力臻[1] 

机构地区：[1]东北师范大学经济学院

出　　处：《经济与管理研究》2011年第10期93-102,共10页Research on Economics and Management

基　　金：国家社会科学基金重点项目"开放经济内外双均衡协调发展研究"(项目编号08GJA001);中央高校基本科研业务专项资金资助"开放经济内外双均衡协调发展研究--基于资产价格波动;宏观政策搭配和日本案例的分析"(项目编号09SSXT108);教育部人文社科青年项目"均衡外汇管理框架下我国外汇储备的风险收益研究"(项目编号11YJC790181)

摘　　要：基于货币资产组合思想和外汇储备供求理论,本文综合运用理论和实证的研究方法分析了汇率预期、外汇供给和外汇储备三者之间的关系。理论研究发现:直接标价法表示的汇率预期波动对非国际货币发行国的外汇供给具有反向影响,而且这种反向影响随着预期汇率大小的不同具有分段特征;为了维持汇率的相对稳定,外汇供给增加的冲击会导致非国际货币发行国的外汇储备增加,但即期汇率的变化方向并不确定;总体而言,预期汇率波动对非国际货币发行国外汇储备具有反向影响。基于中国数据的实证研究很好地支持了理论分析的结论。Based on the ideology of monetary portfolio and the supply and demand theory of foreign exchange reserve, the interrelationships of exchange rate expectation, foreign exchange supply and foreign exchange reserve are analyzed comprehensively by theoretical method and empirical method. Theoretical research shows that： The fluctuation of exchange rate expectation measured by direct quotation has a negative impact on the foreign exchange supply of the non - international currency country, and the negative impact is a piecewise function of exchange rate expectation ; In order to maintain exchange rate relatively stable, the increment of foreign exchange supply will lead to an foreign exchange reserve increment in non - international currency country, but the change direction of spot exchange rate is uncertain; Generally speaking, the fluctuation of exchange rate expectation measured by direct quotation has a negative impact on the foreign exchange supply of the non - international currency country. The conclusions of theoretical research are well supported by an empirical research based on Chinese data.

关 键 词：汇率预期 外汇供给 外汇储备 货币资产组合 VAR模型 

分 类 号：F832[经济管理—金融学]