我国外汇储备币种结构与收益率的一个估计

Research on Change in Foreign Reserve Management Model from the Currency Composition and Yield in China

文章在假设持有美元、欧元、日元三种币种结构的前提下,构建了我国外汇储备增长率的分解方程,利用Recursive Residual和虚拟变量法来处理异常点,同时借助CU-SUM检验确认了2003年8月为结构性断点,继而分为两个子样本分别估计,并得出:(1)2003年8月前,我国外汇储备平均收益率约为3.66%,欧元资产比例大约为11.78%;2003年8月后欧元资产比例上升至21.79%,收益率微升至4.03%。(2)利用估计出的币种结构进一步对收益率进行调整,并将调整后的收益率与我国同期的GDP增长率和FDI投资回报率进行对比,说明改变现行的消极管理模式为强调市场化手段、旨在提高收益率为特征的积极管理模式的必要性,同时针对积极型外汇储备管理模式给出了进一步的研究展望。

Based on the assumption that there were dollars and the euro and yen in China＇s foreign reserve, the paper constructed the decomposition equation of the foreign exchange reserves growing rate and adopted recursive residual to identify the presence of abnormal points, and dummy variables and moving average methods were used to handle abnormal points phenomena. Then this paper adopted a CUSUM test for the revised data to confirm August 2003 as the structural break-point and the sample were divided into two sub-samples to estimate the theoretical model and we found： （1） before August 2003, foreign exchange reserves gave a yield of about 3.66% and the euro assets accounted for approximately 11.78% ;after August 2003, the euro assets rose to about 21.79% and the yield rose to 4. 03%. （2）on this basis,this paper adopted the estimated currency structure as weights to get a weighted average yield of China＇s foreign exchange reserves in the sample period, and compared the yield with FDI investment returns and GDP growth rate of the same period to educe the importance and necessity to change the current foreign reserve management mode to the positive foreign reserve management mode that emphasized market-based means to improve yield. And,this paper gave the future study framework on active foreign reserve management model.