巨额外汇储备真有助于防范金融危机吗——基于Probit模型的经验证据

Is China's Massive Foreign Exchange Reserve Helpful to Prevent Financlal Crisis—— Empirical Evidence Based on a Probit Model

在对传统比率分析进行改进的基础上,本文采用不同指标对我国外汇储备充足率进行了度量。其结果显示,我国外汇储备不仅充足,甚至有些过剩。通过综合考虑金融危机宏观特征与外汇市场信息,本文采用二元离散Probit模型构建了危机预警模型。研究表明,无论是否考虑危机变量的正负双向扩展,人民币汇率对中国发生金融危机没有显著影响。与"国际贸易顺差是防范危机爆发的最有力工具"的观点不同,货币供应量与利率因素虽然对金融危机的发生有一定影响,但边际效应并不强。值得关注的是,与亚洲金融危机后许多学者关于"预防性需求是东亚国家积累高额外汇储备的重要动机"的认识不同,我们的实证研究表明,若期望以持续积累外汇储备预防金融危机,实际情况可能事与愿违。本文的研究有助于澄清学界在此问题上的认识误区。

Referring to the traditional ratio analysis and its improvement, this paper uses different ratios to test the adequacy of China’s foreign reserve, and finds it to be adequate or even surplus. By considering the macro feature of the financial crisis as well as the foreign exchange market, we develop a binary discrete probit model as a crisis pre-warning model. Whether taking the two-side movement of the crisis index into account or not, it seems that the RMB exchange rate has no significant effect on the occurrence of financial crisis in China. Contrary to the opinion that 'the trade surplus is the most powerful tool to prevent crisis', while the effect of monetary supply and interest rate is statistically significant, its marginal effect is not strong. We find that China’s massive foreign reserve might trigger financial crisis, other than help to prevent it. This finding is quite different from the common sense, and would help to clarify misunderstandings on this issue.