中国的高额外汇储备可持续吗?  

Are the High Foreign Exchange Reserves of China Sustainable?

作　　者：罗素梅[1] 张逸佳[2] 

机构地区：[1]上海财经大学金融学院,上海国际金融中心研究院 [2]复旦大学经济学院

出　　处：《国际金融研究》2015年第4期22-33,共12页Studies of International Finance

基　　金：第55批中国博士后基金项目(2014950702);上海市社科规划课题(2014BJB003);国家自然科学基金项目(71173153)的资助

摘　　要：在我国持有高额外汇储备并面临不断贬值的背景下,本文以外汇储备的来源结构变化为视角,通过分析影响高额外汇储备可持续性的决定因素,揭示我国外汇储备持续增长的主要原因和内在机制。然后选择相关数据和指标,构建VAR模型,对外汇储备可持续性决定因素进行实证检验。研究结果表明,国内生产总值、外商直接投资、汇率、利率、出口依存度是决定外汇储备可持续性的主要因素;在不同时间维度,各因素对外汇储备可持续性的影响作用各异,短期内由出口依存度主导,在长期主要由国内生产总值、外商直接投资、汇率等取代,而国内生产总值在长期发挥主导性作用。金融危机后中国经济面临转型,逐步从出口导向型的发展模式向内需拉动型过渡,从长期来看,庞大经济体量下的外汇储备规模增速将放缓,并可能出现逐步下降的趋势。当务之急是,我国仍要考虑合理配置外汇储备,发挥其特殊作用,并使其更好地保值增值。This paper analyzes the determinants of the sustainability of China＇s high foreign exchange reserves based on the source structure with the fact that China has been accumulating an increasingly high scale of foreign exchange reserves and faces the continuous devaluation of its reserve assets. Based on the change of the source structure, this paper analyzes the determinants and the internal mechanism of the sustainability of China＇s high foreign exchange reserves. Using a sample of China＇s fundamental economic indicators from 1985 to 2013, the author sets up a VAR model, which shows that Gross Do- mestic Product, Foreign Direct Investment, Exchange Rate, RMB Interest Rate and Export Dependence are the determinants of the sustainability of China＇ s high foreign exchange reserves. In the short term, the impact from the Export Dependence are rather dominant, while in the long term, the most significant determinant-GDP, along with FDI and Exchange Rate, con- tributes to the major impact. Consequently, the author concludes that, with the transformation of economic growth （from ex- port-oriented economy to domestically driven economy）, the pace of China＇s accumulating foreign exchange reserves will slow down and the scale of foreign exchange reserves relative to China＇s economy size may even demonstrate a declining trend. Therefore the policy makers should take the initiative in allocating the reserve asset more rationally to achieve value hedge and increment.

关 键 词：外汇储备 可持续性 VAR 模型 

分 类 号：F831[经济管理—金融学]