中国外汇储备的投资收益与多元化战略  

Investment Returns and Diversification Strategy of China's Foreign Exchange Reserve

作　　者：王永中[1] 

机构地区：[1]中国社会科学院世界经济与政治所

出　　处：《国际经济评论》2013年第2期118-129,7-8,共12页International Economic Review

基　　金：国家社会科学基金项目"美国主权债务可持续性与中国外汇储备管理研究"(项目批准号:11CGJ011)的阶段性成果

摘　　要：全球金融危机和欧美主权债务危机既对中国外汇储备的安全构成了严重威胁,又为中国转换外汇储备管理思路、加快对外股权投资提供了有利的时间窗口。基于中国持有美国、日本证券资产的数据,估算中国目前外汇储备的资产结构,大体为美元资产54.3%,日元资产8.5%,欧元资产37%。中国人民银行发行央行票据和提高存款法定准备金率所形成的冲销成本是可控的,但付出了金融抑制和经济结构扭曲的代价。分别以名义美元、实际美元(美元指数)、名义人民币为计价单位测算,2005年以来中国人民银行持有外汇储备的净收益率基本都处于亏损状态。中国应在继续强调外汇储备管理的流动性、安全性目标的同时,将收益性目标置于更为优先和重要的地位;应在外汇储备管理体制中引入财政部门,逐步由央行单独管理的一元模式向央行、财政部协同管理的二元模式转变;优化外汇资产的配置结构,追求多元化资产投资组合;规范主权财富基金的制度安排,研究设立新的主权财富基金。The global financial crisis and European and US sovereign debt crises not only constitute a serious threat to the security of China's foreign exchange reserve,but also provide an opportunity for China to update its foreign reserve management philosophy and make outward equity investment.Based on relevant statistics of China' s debt holdings,this article estimates that among its foreign exchange reserves,dollar assets may account for 54.3 percent,yen assets 8.5 percent while euro assets take 37 percent.The costs of PBOC' s sterilization through issuing central bank notes and raising required reserve ratio are controllable,although the country has paid a price of financial depression and economic structure distortion.Based on nominal dollar,real dollar(dollar index) and nominal renminbi, respectively,it is calculated that the total and net investment yields of China' s foreign exchange reserves are both negative.While continuing to stress meeting the targets of liquidity and security in the management of foreign exchange reserves,raising investment yields should be given higher priority. The fiscal department,meanwhile,should participate in the management of foreign exchange reserves so that the traditional regime involving only the central bank can be replaced by one that is centered on both the central bank and the fiscal department.The investment portfolio of the foreign exchange reserves should also be improved to seek diversified investment.The systematic arrangement of the sovereign wealth fund,this article argues,should also be regulated and the possibility of establishing a new sovereign wealth fund can be studied.

关 键 词：外汇储备 投资收益 多元化战略 

分 类 号：F832.6[经济管理—金融学]