外汇储备需求及其长期均衡——来自多重复合协整技术(MCCIT)证据  

The Foreign Exchange Reserve Demand and Its Long-term Equilibrium—— Evidence from Multiple Compound Co-integration Theory

作　　者：赵华春[1,2] Jeffrey Forrest 熊华强[2] 

机构地区：[1]中国社会科学院数量经济技术经济研究所,北京100732 [2]江西师范大学财政金融学院,江西南昌330022 [3]Department of Mathematics,Pennsylvania State System of Higher Education,Slippery Rock University

出　　处：《华东经济管理》2015年第11期159-166,共8页East China Economic Management

基　　金：江西省社会科学"十二五"规划项目(15YJ15)

摘　　要：文章运用传统协整技术、考虑结构突变的协整技术以及多重复合协整技术,对我国外汇储备的长期均衡问题进行深入研究,研究结果表明:运用多重复合协整技术分析中国的外汇储备长期均衡问题最为合理;对外贸易条件对我国外汇储备需求存在门限效应;在样本时间段内,我国实际外汇储备持有量确实存在长期偏高现象,偏高水平达到5.98%,如果考虑"热钱"效应,其偏离水平远高于5.98%。根据研究结论,文章给出了相应的政策建议。In this paper,we study the long-term equilibrium of foreign reserves in China through applying the traditional co-integration theory,co-integration theory by considering structural breakups and the related multiple compound co-integration theory（MCCIT）. The results indicate that：It is most appropriate to employ the MCCIT to analyze the long-term equilibrium of Chinese foreign reserves. Chinese terms of trade possess a threshold effect on the demand of foreign reserves. Within the time period the sample was collected,the foreign reserves are really overestimated and the overestimation is about 5.98%,the level deviated from the long-term equilibrium foreign reserves is greater than 5.98%if we consider the“hot money”effect. Lastly,based on this study,we provide some relevant policy recommendations.

关 键 词：外汇储备 协整技术 结构突变 门限效应 

分 类 号：F830.92[经济管理—金融学]