中国高额外汇储备的决定机制及可持续性研究

Study on the Decision Mechanism and Sustainability of High Foreign Exchange Reserves in China

本文通过构建理论分析框架,分析外汇储备可持续性的决定机制和影响因素,选择我国相关数据和变量,建立了VAR模型并进行实证检验,刻画各因素与外汇储备之间的相关性,分解各因素对外汇储备规模的贡献度,从而识别决定外汇储备的短期和长期因素。研究表明出口导向机制、长期利益分享机制和短期套利机制是决定外汇储备规模的三大机制。在决定我国高额外汇储备持续性的因素中,出口是直接的、短期的因素,外商直接投资和人民币汇率是长期的决定因素,而人民币利率既是长期因素又是短期因素。外汇储备规模短期内仍将保持较高的水平,但从长期看,随着我国经济增长方式的转变和套利空间的缩小,经常项目和资本金融项目的双顺差会减少,相应的外汇储备也会下降。因此,在当前的外汇储备管理中,应稳定外汇储备的来源和质量,实现保值增值目标,并充分发挥其维护金融安全的作用。

Through construct theoretical analysis framework, analyzing the determining mechanism and influence factors of sustainability of foreign exchange reserve, this paper se- lects the related data and variables, establishes the VAR model and empirical test, describes the correlation between foreign exchange reserves and factors, decomposes foreign exchange reserve scale of each factor contribution, and identifits short term and long term factor of foreign exchange reserves. Result shows as following. Export oriented mechanism, long-term benefit sharing mechanism and short-term arbitrage mechanism are three determine mecha- nisms of foreign exchange reserve scale. In the sustainability determining factors of China＇s high foreign exchange reserves, short-term factors, foreign direct investment and the RMB exchange rate are the decisive factor for the long-term, and the interest rate is both long and short term factors. Foreign exchange reserve scale in the short term will remain high, but in the long term, along with China＇s economic growth mode transformation and arbitrage space narrow, current account and capital and financial account double surplus will reduce, for- eign exchange reserves will decline. Therefore, we should stablize source of foreign exchange reserves and quality, to achieve the value goal, and maintain financial safety.