基于VECM的中国外汇储备生成机理研究  

Research on Generation Mechanism of China’s Foreign Exchange Reserves by VECM

作　　者：邱冬阳[1] 姚雅[1] 王全意[1] 

机构地区：[1]重庆理工大学经济与贸易学院,重庆400054

出　　处：《金融经济学研究》2013年第4期15-25,共11页Financial Economics Research

基　　金：国家社会科学基金项目(10BJL020)

摘　　要：基于中国经济发展和外汇储备增长的现状,从外汇储备生成机理入手,建立五变量模型,运用1994～2011年季度样本数据,采用误差修正模型的计量方法对中国外汇储备生成机理进行实证分析,研究表明中国外汇储备的生成主要受供给因素影响,是供给型外汇储备;外汇储备本身的内在机制决定了其增长,其中FDI是影响外汇储备形成的最复杂因素;"马歇尔—勒纳"条件目前在中国是成立的,且人民币汇率主要是间接影响外汇储备的长期增减变动趋势。Upon the development of economy and growth of FER （ foreign exchange reserves） in China, proceeding from the theory of FER on generation mechanism, this paper takes a 5 -Variables -Model, applies.the quarter data from 1994 to 2011, and employs measure method of Vector Error Correction Model on China＇ s foreign exchange reserves on generation mechanism. Therefore, the conclusion are drawn as below：Initially, FER might benamed as the Supply of FER which fluctuates by forming factors mostly in China. Secondly, the growth of FER is determined by its internal mechanism in which FDI are the most complicated factors. Finally, ＂Marshall-Lemer＂ condition could be established at present in China, yet the long-term fluctuating trends of FER are effected indirectly by the RMB exchange rate.

关 键 词：外汇储备 协整 误差修正模型 

分 类 号：F830.92[经济管理—金融学]