货币国际化、金融稳定与储备需求
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摘要
本文基于央行应对银行挤兑、卖出储备干预外汇市场维持固定汇率的理论模型,提出货币国际化、金融稳定和外汇储备需求规模变动的实证检验假设,采用固定效应面板数据回归发现,与外汇储备的进口交易需求相比,当前金融稳定动机更能解释处于动态转变过程中的外汇储备规模需求;一国货币国际化程度越高,出于金融稳定动机的储备规模需求越小;非国际货币发行国家和地区的储备规模在1993-2001年经历了从进口交易需求到金融稳定需求的转型;国际货币发行国家和地区的储备规模则主要由金融稳定因素驱动。金融危机前后,外汇储备规模变动的金融稳定驱动因素更加明显。因此,适度规模的外汇储备有助于金融稳定,金融稳定为实体经济创造良好发展环境,经济实力增长有助于顺利实施货币国际化进程。而货币高度国际化后,将会逐步减少外汇储备的金融稳定需求。
This paper puts forward the empirical test hypothesis of currency globalization, financial stability and changes of reserve requirements based on a theoretical model that the central bank sells reserves to interfere the foreign currency market and keep the fixed exchange rates when confronting the bank run. By means of the fixed effect panel data regression, it is found that the current financial stability motive can well explain the reserve requirement for foreign exchanges in the dynamic transitional process, in comparison with the importing transaction demand for foreign currency; in a country, the higher the extent of currency globalization is, the less the reserve requirements for financial stability motives are; countries with non-globalized currencies experienced a transition from import transaction demand to financial stability demand in the years of 1993 to 2001; and the reserve scale of a currency globalized country is mainly driven by the motive for financial stability. Before and after the financial crisis, foreign exchange reserves change more apparently due to the motive for financial stability. Therefore, a moderate scale of foreign exchange reserves is helpful for financial stability, financial stability creates a good environment for the development of the real economy, and the growth of economic force ultimately contributes to the process of currency globalization. Moreover, as the currency is being highly globalized, it will gradually reduce the foreign exchange reserve requirement for financial stability purpose.
This paper puts forward the empirical test hypothesis of currency globalization, financial stability and changes of reserve requirements based on a theoretical model that the central bank sells reserves to interfere the foreign currency market and keep the fixed exchange rates when confronting the bank run. By means of the fixed effect panel data regression, it is found that the current financial stability motive can well explain the reserve requirement for foreign exchanges in the dynamic transitional process, in comparison with the importing transaction demand for foreign currency; in a country, the higher the extent of currency globalization is, the less the reserve requirements for financial stability motives are; countries with non-globalized currencies experienced a transition from import transaction demand to financial stability demand in the years of 1993 to 2001; and the reserve scale of a currency globalized country is mainly driven by the motive for financial stability. Before and after the financial crisis, foreign exchange reserves change more apparently due to the motive for financial stability. Therefore, a moderate scale of foreign exchange reserves is helpful for financial stability, financial stability creates a good environment for the development of the real economy, and the growth of economic force ultimately contributes to the process of currency globalization. Moreover, as the currency is being highly globalized, it will gradually reduce the foreign exchange reserve requirement for financial stability purpose.
引文
[1]M Obstfeld, J C Shambaugh, A M Taylor. Financial Stability, the Trilemma, and International Reserves[J]. American Economic Journal: Macroeconomics, 2010, 2(2):57-94.
[2]J Aizenman, M D Chinn, H Ito. Financial Spillovers and Macro Prudential Policies[R]. NBER Working Paper, No. w24105, 2017.
[3]罗素梅, 周光友, 曾瑶. 金融安全、国家利益与外汇储备优化管理[J]. 管理科学学报, 2017(12):1-18.
[4]M Chinn, J A Frankel. Will the Euro Eventually Surpass the Dollar as Leading International Reserve currency? [A]. In R H Clarida. G7 Current Account Imbalances: Sustainability and Adjustment[C]. Chicago: University of Chicago Press, 2007: 283-338.
[5]J Aizenman, J Lee. Financial versus Monetary Mercantilism: Long-run View of Large International Reserves Hoarding[J]. World Economy, 2008, 31(5):593-611.
[6]K M Dominguez. Foreign Reserve Management during the Global Financial Crisis[J]. Journal of International Money and Finance, 2012, 31(8):2017-2037.
[7]J Aizenman, Y W Cheung, H Ito. International Reserves before and after the Global Crisis: Is There No End to Hoarding? [J]. Journal of International Money and Finance, 2015, 52:102-126.
[8]A Bar-Ilan, D Lederman. International Reserves and Monetary Policy[J]. Economics Letters, 2007, 97(2):170-178.
[9]M Kato, C R Proaňo, W Semmler. Does International Reserves Targeting Decrease the Vulnerability to Capital Flights? [J]. Research in International Business and Finance, 2018, 44:64-75.
[10]李巍, 张志超. 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[J]. 经济研究, 2009(8):27-36.
[11]R McKinnon, Z Liu. Zero Interest Rates in the United States Provoke World Monetary Instability and Constrict the US Economy[J]. Review of International Economics, 2013, 21(1):49-56.
[12]A Steiner. The Accumulation of Foreign Exchange by Central Banks: Fear of Capital Mobility[J]. Journal of Macroeconomics, 2013, 38:409-427.
[13]J Aizenman, N Marion. International Reserve Holdings with Sovereign Risk and Costly Tax Collection[J]. The Economic Journal, 2004, 114(497):569-591.
[14]C B Durdu, E G Mendoza, M E Terrones. Precautionary Demand for Foreign Assets in Sudden Stop Economies: An Assessment of the New Mercantilism[J]. Journal of Development Economics, 2009, 89(2):194-209.
[15]O Jeanne, R Rancière. The Optimal Level of International Reserves for Emerging Market Countries: A New Formula and Some Applications[J]. The Economic Journal, 2011, 121(555):905-930.
[16]J B Taylor. International Monetary Coordination and the Great Deviation[J]. Journal of Policy Modeling, 2013, 35(3):463-472.
[17]A R Ghosh, J D Ostry, C G Tsangarides. Accounting for Emerging Market Countries' International Reserves: Are Pacific RIM Countries Different? [J]. Journal of International Money and Finance, 2014, 49:52-82.
[18]E Alberola, A Erce, J M Serena. International Reserves and Gross Capital Flows Dynamics[J]. Journal of International Money and Finance, 2016, 60:151-171.
[19]Y J Kim. Sudden Stops, Limited Enforcement, and Optimal Reserves[J]. International Review of Economics & Finance, 2017, 51:273-282.
[20]朱孟楠, 曹春玉. 加息周期、汇率安排与储备需求[J]. 金融研究, 2018(1):1-17.
[21]Y W Cheung, C Wong. Are All Measures of International Reserves Created Equal? An Empirical Comparison of International Reserve Ratios[J/OL]. https://www.econstor.eu/bitstream/10419/18028/1/economics_2008-15.pdf, 2008.
[22]X Qian, A Steiner. International Reserves and the Maturity of External Debt[J]. Journal of International Money and Finance, 2017, 73:399-418.
[23]I Gumus. The Relationship Between Sovereign Spreads and International Reserves: Does the Exchange Rate Regime Matter? [J]. Emerging Markets Finance and Trade, 2016, 52(3):658-673.
(1)该规则认为,新兴市场经济体外汇储备规模应足以支持其外部债务的1年摊销还款额度,即一国外汇储备应该覆盖短期外债(1年或1年内到期需归还的外部债务),这意味着储备规模对短期债务的比率为1。如此设定的原因是各国应有足够的外汇储备抵制短期外资的大规模撤出。
(2)限于篇幅,回归结果略去备索。
(3)2013年5月,美联储主席Ben S. Bernanke暗示美联储即将削减债券购买后,全球债券市场陷入恐慌, 政府债券遭受重创, 短短4个月债券收益率暴涨。市场曾用“削减恐慌”(Taper Tantrum) 形容美联储2013年暗示考虑放缓扩充资产负债表速度的举动。
(4)IMF官方外汇储备货币构成数据自1995年开始统计。
(5)与前述非国际货币发行国维持汇率低估的传统贸易动机不同,汇率合意浮动可能是国际货币发行国外汇储备金融稳定需求的动机之一。因此本部分将汇率变量加入外汇储备的金融稳定需求模型,控制其对国际货币发行国储备规模变动的影响。
[2]J Aizenman, M D Chinn, H Ito. Financial Spillovers and Macro Prudential Policies[R]. NBER Working Paper, No. w24105, 2017.
[3]罗素梅, 周光友, 曾瑶. 金融安全、国家利益与外汇储备优化管理[J]. 管理科学学报, 2017(12):1-18.
[4]M Chinn, J A Frankel. Will the Euro Eventually Surpass the Dollar as Leading International Reserve currency? [A]. In R H Clarida. G7 Current Account Imbalances: Sustainability and Adjustment[C]. Chicago: University of Chicago Press, 2007: 283-338.
[5]J Aizenman, J Lee. Financial versus Monetary Mercantilism: Long-run View of Large International Reserves Hoarding[J]. World Economy, 2008, 31(5):593-611.
[6]K M Dominguez. Foreign Reserve Management during the Global Financial Crisis[J]. Journal of International Money and Finance, 2012, 31(8):2017-2037.
[7]J Aizenman, Y W Cheung, H Ito. International Reserves before and after the Global Crisis: Is There No End to Hoarding? [J]. Journal of International Money and Finance, 2015, 52:102-126.
[8]A Bar-Ilan, D Lederman. International Reserves and Monetary Policy[J]. Economics Letters, 2007, 97(2):170-178.
[9]M Kato, C R Proaňo, W Semmler. Does International Reserves Targeting Decrease the Vulnerability to Capital Flights? [J]. Research in International Business and Finance, 2018, 44:64-75.
[10]李巍, 张志超. 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[J]. 经济研究, 2009(8):27-36.
[11]R McKinnon, Z Liu. Zero Interest Rates in the United States Provoke World Monetary Instability and Constrict the US Economy[J]. Review of International Economics, 2013, 21(1):49-56.
[12]A Steiner. The Accumulation of Foreign Exchange by Central Banks: Fear of Capital Mobility[J]. Journal of Macroeconomics, 2013, 38:409-427.
[13]J Aizenman, N Marion. International Reserve Holdings with Sovereign Risk and Costly Tax Collection[J]. The Economic Journal, 2004, 114(497):569-591.
[14]C B Durdu, E G Mendoza, M E Terrones. Precautionary Demand for Foreign Assets in Sudden Stop Economies: An Assessment of the New Mercantilism[J]. Journal of Development Economics, 2009, 89(2):194-209.
[15]O Jeanne, R Rancière. The Optimal Level of International Reserves for Emerging Market Countries: A New Formula and Some Applications[J]. The Economic Journal, 2011, 121(555):905-930.
[16]J B Taylor. International Monetary Coordination and the Great Deviation[J]. Journal of Policy Modeling, 2013, 35(3):463-472.
[17]A R Ghosh, J D Ostry, C G Tsangarides. Accounting for Emerging Market Countries' International Reserves: Are Pacific RIM Countries Different? [J]. Journal of International Money and Finance, 2014, 49:52-82.
[18]E Alberola, A Erce, J M Serena. International Reserves and Gross Capital Flows Dynamics[J]. Journal of International Money and Finance, 2016, 60:151-171.
[19]Y J Kim. Sudden Stops, Limited Enforcement, and Optimal Reserves[J]. International Review of Economics & Finance, 2017, 51:273-282.
[20]朱孟楠, 曹春玉. 加息周期、汇率安排与储备需求[J]. 金融研究, 2018(1):1-17.
[21]Y W Cheung, C Wong. Are All Measures of International Reserves Created Equal? An Empirical Comparison of International Reserve Ratios[J/OL]. https://www.econstor.eu/bitstream/10419/18028/1/economics_2008-15.pdf, 2008.
[22]X Qian, A Steiner. International Reserves and the Maturity of External Debt[J]. Journal of International Money and Finance, 2017, 73:399-418.
[23]I Gumus. The Relationship Between Sovereign Spreads and International Reserves: Does the Exchange Rate Regime Matter? [J]. Emerging Markets Finance and Trade, 2016, 52(3):658-673.
(1)该规则认为,新兴市场经济体外汇储备规模应足以支持其外部债务的1年摊销还款额度,即一国外汇储备应该覆盖短期外债(1年或1年内到期需归还的外部债务),这意味着储备规模对短期债务的比率为1。如此设定的原因是各国应有足够的外汇储备抵制短期外资的大规模撤出。
(2)限于篇幅,回归结果略去备索。
(3)2013年5月,美联储主席Ben S. Bernanke暗示美联储即将削减债券购买后,全球债券市场陷入恐慌, 政府债券遭受重创, 短短4个月债券收益率暴涨。市场曾用“削减恐慌”(Taper Tantrum) 形容美联储2013年暗示考虑放缓扩充资产负债表速度的举动。
(4)IMF官方外汇储备货币构成数据自1995年开始统计。
(5)与前述非国际货币发行国维持汇率低估的传统贸易动机不同,汇率合意浮动可能是国际货币发行国外汇储备金融稳定需求的动机之一。因此本部分将汇率变量加入外汇储备的金融稳定需求模型,控制其对国际货币发行国储备规模变动的影响。
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