超额外汇储备和汇率超调:中国的证据  

Excessive Foreign Exchange Reserve and Exchange Rate Overshooting

作　　者：邹薇[1] 郑浩[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《中国地质大学学报（社会科学版）》2011年第6期76-84,共9页Journal of China University of Geosciences(Social Sciences Edition)

摘　　要：数据显示,很多发展中国家在其短期的发展过程中积累了巨额外汇储备,表现出对外汇储备和外国债券的强烈偏好,与此同时这些国家汇率变动的标准差与同期外汇储备变动的标准差呈显著正相关。本文在Obstfeld&Rogoff(1995)模型基础上,考虑了居民对国外债券的偏好对汇率超调的影响。模型分析结果表明:对国外债券的偏好会引起汇率的剧烈波动。这是因为货币扩张时本国货币的预期贬值,会使本国居民持有更多的国外债券,以期望升值时获利。本国居民持有国外债券,意味着货币需求的减少,为了使货币市场达到均衡,名义利率必须进一步降低,导致预期的汇率贬值更大,从而出现汇率超调。实证发现我国外汇储备偏离其适宜规模的比例从1991年的1倍左右扩大至2008年的5倍左右,而在此期间汇率失衡现象明显,VAR结果显示当前年均近30%的储备偏离幅度将意味着实际汇率水平偏离均衡值约4%。Data show that many developing countries dramatically accumulate large quantities of foreign exchange reserves in their short-term developing process, which shows their strong preference for the foreign exchange reserves and bonds. At the same time, the standard deviation of the exchange rate movements in these countries has a significant positive correlation with the standard deviation of the foreign exchange reserve movements. This paper, by taking into account the preferences of foreign bonds, analyzes how excessive foreign exchange reserves impact exchange rate overshooting based upon the model of Obstf- eld ~ Rogoff （1995）. The result shows that the preference for foreign bonds will lead to exchange rate volatility because the expected depreciation of domestic currency will make the domestic residents hold of deviation of foreign exchange reserves means that the real effective exchange rate deviates by 4 % from its equilibrium value.

关 键 词：国外债券 超额储备 汇率超调 

分 类 号：F832.6[经济管理—金融学]