外汇储备功能动态演变与最优规模
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F830

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国家自然科学基金资助项目(71573170; 71573050)


The functional dynamic evolution and optimal scale of foreign exchange reserves
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    摘要:

    在中国持有高额外汇储备的背景下,文章以外汇储备功能演变为视角,以Agarwal模型为理论基础,构建了基于多层次动态替代的最优规模分析框架.通过实证检验新兴市场国家外汇储备需求决定因素与最优规模的相关性,并测度中国最优外汇储备规模和适度区间.研究表明,外汇储备理论规模由不同层次的需求决定,最优规模是基于动态替代效应的规模.随着功能的演变,外汇储备逐步从满足基本交易需求转向满足安全稳定需求,这说明外汇储备在维护金融安全与稳定中的作用日益重要.进口、FDI、外债、跨境资本流动、利率和汇率对外汇储备规模有着明显影响,金砖国家、新钻国家和高额储备国等不同类型国家对外汇储备需求有明显的异质性.模拟结果显示,中国外汇储备最优规模约为16669亿美元,适度区间在16669亿美元到23580亿美元之间.当前我国应充分发挥外汇储备在维护金融安全中的特殊作用,防范金融风险,保障国家金融安全.

    Abstract:

    Against the background of hold huge foreign exchange reserves in China,based on the theory of the Agarwal model,an optimal scale analysis framework of foreign exchange reserve based on multi-level dynamic substitution is constructed to investigate the functional evolution of China’s foreign exchange reserve. The paper empirically investigates the correlation of factors affecting demand for foreign exchange reserves in emerging markets with the optimal scale of reserves,and measures the optimal scale and appropriate range of China’s foreign exchange reserves. The study shows that the theoretical size of foreign exchange reserves is determined by different levels of demand,and the optimal scale is based on the dynamic substitution effect. With the evolution of the function of foreign exchange reserves,foreign exchange reserves gradually change from meeting basic trading needs to meeting security and stability needs,which shows that foreign exchange reserves play an increasingly important role in maintaining financial security and stability. Imports,FDI,foreign debt,crossborder capital flows,interest rates and exchange rates have significant impacts on the scale of foreign exchange reserves,and there is significant heterogeneity in the demand for foreign exchange reserves among different types of countries,including BRICS,N-11 and Holders of high foreign exchange reserves. According to the simulation results,the optimal scale of China’s foreign exchange reserves is about USD 1 666. 9 billion,with a moderate range from USD 1 666. 9 billion to USD 2 358 billion. At present,China should give full play to the special role of foreign exchange reserves in maintaining financial security,preventing financial risks and ensuring national financial security.

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罗素梅,周光友.外汇储备功能动态演变与最优规模[J].管理科学学报,2020,23(8):33~53

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  • 在线发布日期: 2021-10-25
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