中国外汇储备投资组合选择——基于外汇储备循环路径的内生性分析

本文从中美两国经济的本质性差异出发,通过刻画中国外汇储备对外投资的"循环路径",构建了包括央行、金融市场和实体经济的斯塔克尔伯格及古诺模型,进而模拟出中国外汇储备对外投资对本国经济的间接贡献、合意的外汇储备投资组合,以及最优外汇储备投资规模。研究结果表明,中国外汇储备投资于美国风险资产的规模将影响外汇储备间接转化为美国对中国FDI的比例。同时,中国央行外汇储备规模及投资策略对危机时期的反应不足。改变外汇储备投资收益的主要方法包括降低居民的相对风险回避系数,通过政策引导促进居民消费,以及大力发展中国金融市场,降低对美国金融市场的依赖程度。

The Investment Portfolio of China’s Foreign Reserves——An Endogenous Perspective of Foreign Reserves Flow Cycle

This article has established a Stackelberg and a Cournot game model,involving the central banks,financial markets of China and the U.S.as well as the real economic sector of China in order to depict a cycle of the foreign investment of China’s foreign exchange reserves through the perspective of the essential differences of China and the U.S..Besides,we have simulated the optimal investment portfolio of China’s foreign reserves and its contribution to China’s domestic economy.The results have shown that the risky assets investment of China’s foreign exchange reserves on the U.S.assets will affect the proportion of which China’s reserves transform indirectly into the FDI to China from the U.S..However,the reaction of our central bank has been relatively slow.Therefore,in order to enable our central bank to gain profits,we suggest that it is necessary to bring down the CRRA coefficient of our residents,and improve our financial market development as well.