基于数值模拟下的中国外汇储备潜在损失分析

外汇储备余额持续积累加剧了外汇储备资产潜在损失的进一步扩大。文章通过对中国外汇储备积累方式的分析,认为造成外汇储备损失的主要路径有三个:冲销债券的利息支付、国际短期资本的投机和人民币对美元汇率升值。在此基础上,文章数值模拟了不同路径下的外汇储备潜在损失,得出以下结论:一是人民币过快升值会加重我国外汇储备损失,应根据我国金融市场的发展状况,逐步改革汇率体系,令人民币更富弹性;二是改变中国外汇储备管理模式,从以往的被动型、防御型模式变成主动型、投资型模式,一方面逐步放松资本账户管制,允许个人和机构海外投资,另一方面加大中国的主权财富基金——中国投资公司的投资力度和规模,通过市场化手段获得更高收益。     

CHINA'S EQUILIBRIUM REAL EXCHANGE RATE: A COUNTERFACTUAL ANALYSIS

Abstract.  China's 'equilibrium' real effective exchange rate is explored using an adaptation of the Devarajan-Lewis-Robinson three-good general equilibrium model under a variety of assumptions about the balance of trade. The absence of secondary indices of import and export prices necessitates their construction from trade data. Some undervaluation is suggested in the lead-up to and during the financial crisis, due in part to an extraordinary accumulation of foreign reserves following exchange rate integration in 1994. If, instead, China had run a more typical trade balance prior to the crisis its real effective exchange rate would have been higher by about a tenth.     

PRICE DYNAMICS,FOREIGN EXCHANGE AND ANTICIPATED SHOCKS IN A TOURISM ECONOMY

Using a dynamic model of an open monetary economy, this paper examines the effects of tourism‐related anticipated shocks on goods prices and foreign exchange reserves. Foreign tourists consume mainly non‐traded goods in holiday destinations, converting them into exportable goods. This gives rise to a tourism terms‐of‐trade effect that affects the accumulation of foreign exchange. Announcements of anticipated events bring tourist visits forward, resulting in an initial under‐adjustment or an over‐adjustment in the prices of the non‐traded goods when the tourism terms‐of‐trade effect is positive or negative. This leads to an increase or a decrease in foreign reserves in the long run.     

中国均衡实际有效汇率:一个总量一般均衡分析

亚洲金融危机时期中国实行事实上的盯住美元制度 ,同时亚洲各国的汇率水平进行了重新调整。本文探讨在亚洲金融危机以前及危机期间中国实际有效汇率的“均衡”水平。假定一系列不同的贸易差额 ,我们运用扩展了的Devarajan Lewis Robinson三商品一般均衡模型估计均衡实际有效汇率的不同时间路径。模型的关键要素是要有进口品和出口品价格指数的时间序列资料。鉴于这些价格指数从其他渠道无法获得 ,作者利用贸易数字构造了这些指数。研究发现在亚洲金融危机之前的 4年内中国的实际有效汇率低于均衡汇率 ,这部分地缘于外汇储备的快速累积。与事实相反 ,如果假设在此期间 ,每年不超过 1 0 %的出口收入转化为外汇储备 ,则中国的实际有效汇率将会比现在高 5%到 1 2 %     

Does wage-inflation targeting complement foreign exchange intervention? An evaluation of a multi-target,two-instrument monetary policy framework

We assess the inclusion of wage inflation as an intermediate target of an emerging central bank using a dynamic stochastic general equilibrium model with sticky wages and prices calibrated for the South Korean economy. The model includes wage inflation as an additional target jointly with domestic price inflation and the output gap in a Taylor- type interest rate rule operating with a sterilized foreign exchange (FX) intervention rule. Our results show a complementary relationship between wage inflation targeting and price inflation targeting. That is, by supplementing price inflation targeting with wage inflation targeting, welfare improves for cases with and without sterilized FX intervention. When intervention is in place, wage inflation targeting has the added advantage of reducing the volatilities of nominal exchange rate and foreign exchange reserves thereby promoting a more sustainable conduct of FX intervention.     

外汇储备对我国物价水平的影响——基于协整检验与误差修正模型的分析

协整和格兰杰因果检验结果表明,我国外汇储备与物价水平存在协整关系,且外汇储备是物价水平的格兰杰原因,表明外汇储备增加将对通货膨胀形成压力。但从误差修正模型的检验结果看,我国外汇储备对物价水平的影响在短期内较为有限,其主要原因是我国央行短期内进行大量的外汇冲销操作。因此,我国需要采取有效的措施来缓解通胀压力,如加大央行公开市场业务操作、改革外汇管理体制、适当放宽汇率浮动幅度以及合理使用我国现有外汇储备等。     

外汇储备与金融危机中的汇率稳定

本文首先分析了2008年全球金融危机下的外汇储备与实际有效汇率,结果表明2007年外汇储备存量更高和2008年外汇储备流量增加更多的国家,在2008年发生全球金融危机时保持了更稳定的汇率.在进一步对外汇储备与实际有效汇率的关系做了面板数据分析后,得出以下结论:外汇储备可以降低实际有效汇率的波动率,但这种效应是非线性的;更高的外汇储备充足率代表在危机状况下实行外汇市场干预的更大潜力;其他经济变量如一国的经济增长速度提高、货币供应量的波动降低、贸易条件的改善以及国内金融深化程度的加强都能降低有效汇率的波动.     

宏观经济波动与人民币汇率政策的影响因素分析

本文通过对当前新一轮宏观经济波动特征的分析,发现随着中国经济对外开放度的日益提高,汇率政策对宏观经济的运行已具有越来越重要的影响.目前中国国际收支顺差过大、外汇储备增长过快已成为加剧宏观经济过热的重要因素之一.通过调整名义汇率来解决顺差过大的思路受制于价格总水平调整幅度的局限,因为在影响我国商品和劳务的价格因素中,劳动力价格水平与发达国家相比悬殊过大既是影响商品价格水平的一个主导性因素又是一个长期性因素,在短期内不可能大幅度的缩小这一差距.由此,决定了目前不可能采取对人民币汇率水平大幅升值的办法来解决国际收支失衡和外汇储备过快增长的问题.解决人民币汇率的市场化形成机制和汇率水平向真实汇率回归问题是一项相对长期的政策选择,因而,短期的汇率政策只能以外汇储备的结构调整为主导.     

The Impacts of Financial Integration on the Linkages Between Monetary Independence and Foreign Exchange Reserves

This paper investigates the short-run and long-run effects of financial integration on the dynamics between monetary independence and foreign exchange reserves using a GMM system estimation involving two-year non-overlapping average data (2000-2011) from 114 countries. The results indicate that the effect of foreign exchange reserves on the monetary independence is intensified by the level of financial integration. This suggests a positive spill over effect from the financial integration to the monetary policy independence. Besides, a positive implication of financial integration on monetary independence could be established when the foreign exchange reserves is at the maximum level. In addition, the comparisons between the mean of foreign exchange reserves and the threshold levels of foreign exchange reserves that neutralise the impact of financial integration indicate that on average, the foreign exchange reserves are sufficient to offset the effect of financial integration. A stable exchange rate will undermine the positive impact of foreign exchange reserves on monetary independence. Finally, the long-run and short-run impacts occur in the same direction. This paper ends with some policy implications and suggestions for future research.     

The monetary autonomy of Finland: What can the time series analysis tell us?

The effectiveness of domestic monetary policy under fixed exchange rates is highly dependent on the response of the foreign exchange reserves to a monetary expansion or contraction. Domestic monetary conditions, in turn, can be expected to be subject to shocks emerging from changes in reserves. These shocks can badly harm stabilization objectives if they are not neutralized. This paper analyzes the monetary autonomy of the Finnish economy during the 1970's and early 1980's using a data-oriented approach suggested byGeweke. A purely empiristic interpretation of the results would indicate that the degree of monetary autonomy is high and increasing over time. However, incorporating theoretical considerations turns this conclusion upside down. The Finnish financial system has in all likelihood experienced structural changes that have reduced the potential for effective monetary policies. On the other hand, we do not find any evidence of strong effects of reserve shocks on the domestic money and credit markets, though the importance of such shocks may have increased slightly. Methodologically, the analysis highlights that economic theory is needed in organizing empirical observations even when the point of departure is data-oriented.     

The role of international reserves holding in buffering external shocks

An extended literature analyses the accumulation foreign exchange holding observed in many developing and emerging countries since the 2000s. Empirical studies on the self-insurance motive suggest that high-reserves economies are more resilient to financial crises and to international capital inflows volatility. They show also that pre-crisis foreign reserve accumulation explains post-crisis growth. However, some papers suggest that the relationship between international reserves holding and reduced vulnerability is nonlinear, meaning that reserve holding is subject to diminishing returns. This article devotes more attention to the potential nonlinear relationship between the foreign reserves holding and macroeconomic resilience to shocks. For a sample of nine emerging economies, we assess to what extent the accumulation of international reserves allows to mitigate negative impacts of external shocks on the output gap. While a major part of the literature focuses on the global financial crisis, we investigate this question by considering two sub-periods: 1995–2003 and 2004–2013. We implement threshold VAR model in which the structure is allow to change if the threshold variable crosses a certain estimated threshold. We find that the effectiveness of reserve holding to improve the resilience of domestic economies to shocks has increased over time. Hence, the diminishing returns of foreign reserve holding stressed in the previous literature must be qualified.     

The ‘compensation’ thesis,as exemplified by the case of the Chinese central bank

This paper extends the theory of demand-led money supply endogeneity to the case of an open economy with a fixed exchange rate. This theory is contrasted to the standard Mundell-Fleming view. In the compensation approach advocated here, central banks are able to set interest rates, even in a fixed exchange rate regime, either because there are automatic market mechanisms that will induce the private sector to act in such a way that changes in foreign reserves will be compensated by opposite changes in central bank claims over the domestic economy, or because the central bank will engage in endogenous sterilization operations in its efforts to enforce its benchmark interest rate. Analyzing the balance sheet of the Chinese central bank, we find that the large rise in foreign reserves on the asset side is compensated by large positive changes in items of the liability side, mainly bonds issued by the central bank. Foreign reserves are not cointegrated with the monetary base, meaning that there is no long-run relationship between foreign exchange reserves and the supply of base money. We also find no long-run relation between foreign exchange reserves and the consumer price index.     

Modelling the impact of central bank intervention on exchange rate volatility under inflation targeting

This article empirically investigates the effect of central bank’s foreign exchange interventions on the level and volatility of the Uganda shilling/US dollar exchange rate (UGX/USD) under an inflation-targeting regime. Utilizing daily data spanning the period 1 September 2005, to 31 December 2015, we estimate a foreign exchange intervention model within a GARCH theoretic framework. Empirical results indicate that foreign exchange interventions have had mixed impact on the volatility of the exchange rate. We find that inflation targeting is capable of curbing temporary exchange rate shocks. Empirical results indicate that while order flow is capable of reducing exchange rate volatility, an increase in the operating target rate, the 7-day interbank rate tends to exacerbate exchange rate volatility. Our empirical results are robust to alternative model specifications. We argue that inflation targeting is an effective monetary policy tool for curbing exchange rate volatility.     

International reserves and swap lines: Substitutes or complements?

Developing Asia experienced a sharp surge in foreign currency reserves prior to the 2008–9 crisis. The global crisis has been associated with an unprecedented rise of swap agreements between central banks of larger economies and their counterparts in smaller economies. We explore whether such swap lines can reduce the need for reserve accumulation. The evidence suggests that there is only a limited scope for swaps to substitute for reserves. The selectivity of the swap lines indicates that only countries with significant trade and financial linkages can expect access to such ad hoc arrangements, on a case by case basis. Moral hazard concerns suggest that the applicability of these arrangements will remain limited. However, deepening swap agreements and regional reserve pooling arrangements may weaken the precautionary motive for reserve accumulation.     

基于区域经济实力的储备货币研究

随着我国外汇储备规模的迅速扩大及年新增储备的急剧增加,我国外汇储备币种结构的管理已成为国内外的热门课题。本文通过分析目前我国外汇储备币种结构现状,指出当前过多的美元储备造成了巨大价值损失和战略风险。在收集大量经济数据的基础上,以全新视角构建了基于区域经济实力的储备结构模型,通过对该模型的价值评估,得出该模型有较大的现实意义,最后提出了基于当前我国外汇规模及年增量水平下的国家外储结构调整方案。     

Foreign Exchange Accumulation and the Entrapment of Chinese Monetary Power: Towards a Balanced Growth Regime?

This article criticises the notion that China's foreign exchange reserves have strengthened its monetary power. While some scholars have argued that China's international monetary influence has been ‘entrapped’ by the domestic interests of its export sector, a one-sided focus on the export sector fails to identify the significant constraints on its macroeconomic autonomy. This article proposes an extension of the concept of entrapment that draws attention to the key role of state-owned enterprises (SOEs) and their domestic fixed-asset investment in its growth regime: China's external monetary dependency – which is understood as both export dependency and the need to maintain foreign exchange accumulation – has been caused by a disparity between fixed-asset investment and private consumption that reflects a redistribution of income from the household sector to the SOE sector. In particular, I expose the SOE sector's rising interests in foreign exchange accumulation by uncovering a mutually reinforcing dynamic between China's external monetary dependence and the financial repression of its banking system. By entrenching an investment-led growth regime that provides key benefits the SOE sector, this dynamic is found to have seriously constrained the macroeconomic policy autonomy of Chinese authorities to rebalance growth away from investments and exports towards private consumption.     

一个基于金融稳定的外汇储备分析框架——兼论中国外汇储备的适度规模

本文构建一个包含外汇储备、金融不稳定、资本流动以及实体经济变量的系统分析框架,探讨影响新兴市场经济体外汇储备的相关因素,继而模拟出中国合意的外汇储备规模。研究结果表明,若国内金融稳定受到冲击或者跨境资本流动日益频繁,外汇储备在广义货币量中的占比就会增加;金融不稳定和实体经济状况对外汇储备占比的边际影响都呈现递减的态势,说明外汇储备的作用是有限度的。另外,模拟结果显示,在确保国内金融稳定的前提下,目前中国的外汇储备总量并不过度,正处于合意的区间范围之内。     

Liquidity management of foreign exchange reserves in continuous time

In order to cope with daily foreign currency exchange payments or trades and avoid liquidity crisis, central banks need to maintain the liquidity of foreign exchange reserves. In this paper, we develop a Foreign Exchange Reserves Liquidity Management (FERLM) model based on stochastic process by introducing a foreign exchange factor. We also generate a feasible target proportion of the liquidity reserve to total foreign exchange reserves, by seeking the balance between capital gains of holding foreign exchange reserves and losses of liquidity insufficiency.     

The determinants of international reserves in the emerging countries: a nonlinear approach

In this article, we adopt a nonlinear approach to examine the dynamics of the international reserves holdings by the emerging economies. To do so, we estimate the demand for international reserves with a Panel Smooth Transition Regression (PSTR) model that loosens two restricting hypotheses, homogeneity and time-stability. We find evidence for the presence of a nonlinear behaviour in the demand for international reserves, a result that is new to the literature. The coefficients are found to change smoothly, as a function of two threshold variables – out of five candidates tested in total. Our specification accounts for the acceleration of foreign exchange reserves accumulation that the linear specifications fail to explain.     

外汇储备适度规模测度理论述评及新进展

外汇储备最优规模的确定是一国外汇储备管理的前提和基础,在当前我国持有巨额外汇储备和面临"双缩水"风险的背景下,如何科学合理地测度我国的外汇储备适度规模,对加强外汇储备的管理并使其保值增值有着重要的意义.本文以外汇储备测度理论的发展为视角,在对各种外汇储备适度规模测度理论进行分析和评价的基础上,介绍和梳理了近年来国内外相关研究的最新进展,以期为我国探寻外汇储备最优规模测度理论提供新的思路.