基于资本急停预防的中国外汇储备需求研究

A Research on Optimal Demand for China′s Foreign Exchange Reserve based on Precaution Motive against Sudden Stops in Capital Flows

一系列金融危机之后,外汇储备增长逐渐由交易动机转向危机预防。本文基于Jeanne和Rancière(2006)的跨期模型,根据外汇储备平滑资本急停时国内消费达到效用最大化的观点,推导出最适外汇储备占GDP的比例公式,然后利用数值模拟的方法计算中国外汇储备需求的最优水平。考虑到中国的实际情况,我们将实际外汇储备规模进行统计口径的调整之后再与测算值比较。研究表明:中国在2004年前应对资本急停的外汇储备不足,2004年后开始超额。此外,我们结合资本急停发生时的汇率变动、资本急停发生概率的变化等对模型进行了扩展讨论。

With a series of financial crises,the trade motivation of increasing foreign exchange reserves is converted into self-insurance.In this paper,the optimal ratio of foreign exchange reserves to GDP is derived from the inter-temporal consumption model of Jeanne and Rancière(2006),according to the view that the foreign exchange reserves will smooth the domestic consumption when a sudden stop occurs and maximize the total utility.And the optimal foreign exchange reserve of China is estimated by calibration.Given the fact of China,two adjustments in the statistic standard of the actual scale are taken and the adjusted value is compared with the optimal value measured by model.It concludes that the amount of foreign exchange reserves to cope with the sudden stop was not enough before 2004,while it exceeds the optimal level after 2004.Furthermore,the framework is extended so as to capture other determinants of the optimal ratio of foreign exchange reserves such as the change of exchange rate,probability of the sudden stop and so on.