中国国际投资头寸表失衡与金融调整渠道

China's International Investment Position and the Role of Valuation Channel in External Imbalance Adjustments

本文估算了中国1998年至2011年间基于市场价值的中国国际投资头寸表季度数据,并运用Gourinchas&Rey(2007a)的现值模型量化分解了中国外部失衡调整中金融和贸易两种调整渠道的贡献度。结果表明,中国持续的外部失衡中存在显著的估值效应损失,在2011年末达到4212亿美元,占对外净资产总额的25%;金融调整渠道能显著地解释约12%的外部失衡动态变化,并且与贸易调整渠道之间存在显著的正相关关系。这意味着在我国外部失衡持续为正值的条件下,不但我国未来净出口增长率会下降,而且还将经历更低的对外净资产回报率。因此本文建议,在短期内应改善我国外汇储备币种结构,在中期推进人民币国际化进程,在长期推动国际货币体系改革。

This paper provides quarterly estimates of China＇s International Investment Position at market value over the period of 1998-2011. Using this novel data set, we follow Gourinchas ＆ Rey（2007a）to explore the implications of a country＇s inter-temporal budget constraint, in order to examine quantitatively how much the variation in China＇s current external imbalance comes from future net export growth （trade channel） , and future changes in returns of the net foreign asset portfolio （valuation channel） , respectively. Our results are twofold： first, we find that the trade channel can account for about 90 percent of the cyclical external imbalance in China, while the remaining 12 percent of external imbalance adjustment can be attributed to the valuation channel. Second, we find a significantly positive correlation between these two adjustment mechanisms, suggesting that the trade and valuation channels are mutually reinforcing. Therefore, positive current external imbalances imply that China must not only experience future decreases in net export growth, but also suffer from negative abnormal returns on net foreign assets.