我国外汇储备的溢出效应研究——基于引力模型的分析

The Spillover Effect of China's Foreign Exchange Reserve:Analysis Based on the Gravity Model

本文采用2000-2015年199个国家和地区的外汇储备面板数据,基于引力模型理论,考察了我国高额外汇储备的溢出效应及对全球资产配置的影响。研究发现:我国外汇储备具有随地理距离递减的空间外溢效应,双边汇率制度关联会增加外汇储备持有比例的相似程度,而且这种溢出效应更多地表现在与中国金融发展水平类似、资本账户开放程度相近的国家之间。上述结论凸显了国家间加强外汇储备合作调整的战略意义。探究我国外汇储备的溢出效应,有利于发展中经济体更好地理解外汇储备的变动逻辑,对于完善外汇储备管理体制,参与国际宏观经济政策协调机制均具有一定的积极意义。

Because the foreign exchange reserves reflect the imbalance of the global economy,we cannot fully explain the growth of the foreign exchange reserves solely from the perspective of one country.For foreign exchange reserves play a positive role in regulating the balance of payments and maintaining exchange rate stability,consideration must be given to the synergy of the reserve fluctuations and the economic links between countries.The literatures have mainly focused on the internal effects of foreign exchange reserves on China's economy,whereas this paper focuses on the international effects from an external perspective.Using the foreign exchange reserve unbalanced panel data from the WDI database,we explore the influence of the bilateral exchange rate systems,capital account openness,financial development,and other factors on the proportions of foreign exchange reserves held by two countries.The results of these analyses enable us to investigate the spillover effect of China's foreign exchange reserves and its impact on global asset allocation based on the gravity model.Our sample covers 199 countries and regions from 2000 to 2015,including developed countries,emerging market countries,and other developing countries.Compared with previous studies,our sample has the advantages of a long time span,large size,and diverse types of countries.The abundant national data also provide sufficient support for our empirical tests.The ordinary least squares(OLS)regression results indicate that the spillover effect of China's foreign exchange reserves decreases in terms of geographical distance and is more significant between countries with linked bilateral exchange rate regimes,similar levels of financial development,and capital account openness with China.In addition,a common language,religion,and legal system reduces the difference in the proportion of foreign exchange reserves held by the two countries.To overcome the influence of heteroscedasticity and sample selection bias,we use the Poisson pseudo-maximum likelihood estimation(PPML)method to re-estimate the model.We use instrumental variables and conduct a two-stage least squares regression(2SLS)to deal with the endogeneity problem,and re-measure the foreign exchange reserve ratio,capital account openness,and level of financial development using alternative variables to test the robustness of our conclusions.Our conclusions are still robust after taking the sample selection bias,endogeneity,and variable measurement errors into consideration.The main contributions of this paper are as follows.First,we provide a novel approach to understand the pattern of a country's foreign exchange reserves.Compared with the studies seeking to determine an appropriate scale of foreign exchange reserves,our analysis aims at how to achieve these produces more realistic meanings.Second,focusing on the international influence on China's foreign exchange reserves,this paper analyzes the channels of the spillover effects of foreign exchange reserves based on international crisis contagion theory.We examine direct channels,such as capital flows,trade spillovers,and credit channels,and indirect channels that affect investors'psychological expectations.Lastly,in view of the high explanatory power of the gravity model for international capital flows,we introduce the gravity model into the framework in an innovative manner and expand its practical application in the field of international finance.Our findings highlight the strategic significance of strengthening the cooperation on the management of foreign exchange reserves between countries.For example,an inter-country foreign exchange reserve pool could be established,and national banks could collect foreign exchange reserves through capital subscriptions and bond issuances to meet their financing needs and jointly respond to international shocks.At the same time,different countries should coordinate their exchange rate policies,monetary policies,and capital control instruments to avoid competitive devaluation and control the degree of variation.Understanding the spillover effect of China's foreign exchange reserves can also help developing economies better understand the changing nature of foreign exchange reserves.This would not only help improve the management of large-scale foreign exchange reserves and defuse the international financial risks,but also help realize the goal of developing an international macroeconomic policy coordination mechanism and an international economic governance structure.