国际货币贬值造成储备管理者减持吗?

Does Devaluation of International Currency Result in Sale by Reserve Managers?

为了考察储备管理者的投资组合如何对汇率变化做出反应,文章首先从各币种占外汇储备的份额中分离出单纯由数量变动引起的组合效应值,进而采用广义矩估计法(GMM)分析组合效应与汇率变动之间的关系。研究发现储备管理者的策略选择因时期而异:伴随着欧元诞生及发展中国家外汇储备的增加,央行从实行投资组合再平衡策略(国际货币贬值造成市场增持)逐渐过渡到积极多元化策略(国际货币贬值造成市场减持);2007年金融危机爆发后,发展中国家回到再平衡投资策略。各国在不同阶段的外汇储备管理策略对中国的外汇管理具有一定的借鉴意义。

In order to study how reserve managers' portfolio responds to exchange rate changes,the paper extracts portfolio value factors deriving solely from quantitative changes of each currency in the foreign-exchange reserves and then uses GMM( generalized method of moment) method to analyze the relationship between portfolio values and exchange rate changes. The paper finds that reserve managers' choice of strategy varies over time. With the birth of the euro and the increase of developing countries' foreignexchange reserves,central banks gradually transitioned from portfolio rebalancing strategy( depreciation of international currency triggers on-market purchase) to active diversification( depreciation of international currency triggers on-market sale). After the financial crisis of 2007,developing countries reversed to rebalancing investment strategy. The foreign-exchange reserves management strategies adopted at various stages by other countries might serve as useful references for China's reserves management.