中国巨额外汇储备管理优化研究
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摘要
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研究的热门课题。外汇储备逐年增加的事实本身,充分显示了我国经济实力的不断增强,是我国改革开放基本国策、尤其是对外开放方针政策收获的丰硕成果。
截止2010年12月31日,国家外汇管理局公布的数据显示,我国官方外汇储备余额为28473.38亿美元。同时,根据国际货币基金组织(IMF)的统计数据显示,我国外汇储备组成中美元储备占比超过六成。而美元指数自2002年起呈现一路下跌的趋势,尤其是在2008年金融危机期间下跌至71.31点的历史低点,在2002年-2010年九年间累计下跌了约1/3(2002年美元指数在120左右,2010年美元指数在80左右)。面对金融危机所引起的世界经济不确定,尤其是美国经济的不稳定,将我国巨额的外汇储备过多集中于美元货币,所带来的经济损失和战略风险都很大。因此,在世界经济形势多极化发展的今天,调整我国外汇储备的币种结构、确保我国高额的外汇储备能够做到保值增值,是我国外汇储备管理体制中急需研究的重要课题。
本文以我国外汇储备币种结构为研究对象,在分析当前我国外汇储备币种结构现状的基础上,指出目前过多的美元储备已经造成了巨大价值损失和战略风险。笔者根据外汇储备币种选择需遵循的一般原则,再分析世界主要经济体的经济发展情况,确定了我国外汇储备较适宜的币种结构。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外储结构模型”,通过对该模型的价值评估,得出该模型有十分突出的价值增值功能,并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。论文的最后,创新型的提出了适合我国基本国情的外汇储备结构调整的管理原则,以及如何抑制我国外汇储备过度增加的一系列措施。
With the rapid expansion of China’s foreign exchange reserves and annual new reserves, to manage the currency structure of China’s foreign exchange reserves has become a hot topic at home and abroad. The fact that the foreign exchange reserves increased year by year, which shows China's economic strength is growing, and also the fruitful results based on China's basic national policy of reform and opening up, especially the policies of opening up.
Up to December 31, 2010, the data released by the State Administration of Foreign Exchange shows that, China’s official foreign exchange reserves amount to 2847 billion dollars. Meanwhile, according to the statistics from International Monetary Fund (IMF), the dollar reserves in China's foreign exchange reserves has accounted for over 60%. Since 2002, the dollar index has always gone down, especially dropped to historic low-point 71.31 during the financial crisis in 2008, the dollar index has declined by 1/3 between 2002 -2010(dollar index was around 120 in 2002, while was 80 in 2010). Facing the uncertainty of world economic caused by the financial crisis, especially the instability of US economic, making China's massive foreign exchange reserves focusing on the US currency would bring out economic losses and strategic risks. Therefore, it is an urgent and important subject in China's foreign exchange reserves management, it is better to adjust the currency structure of foreign exchange reserves, to ensure that our huge foreign exchange reserves could be increasing the value.
In this paper, we choose the currency structure in foreign exchange reserves as research object, analyze the present situation of currency structure in China’s foreign exchange reserves, pointing out that the excessive dollar reserves currently has caused tremendous loss of value and strategic risks. According to general principles in choosing reserve currency, and analyzing the world’s major economies, we decided the appropriate currency structure in China’s foreign exchange reserves. Based on the collection of a large number of economic data, this article builds a new model of reserve structure based on regional economic strength in a brand-new perspective, by evaluating the value of this model, gets a conclusion that the model has great significance, and put forward the structural adjustment programs based on the current size of China’s foreign exchange reserves and annual level of new reserves. In the end, the author innovatively puts forward the management principles on structural adjustment, and how to suppress the incensement of China's foreign exchange reserves.
截止2010年12月31日,国家外汇管理局公布的数据显示,我国官方外汇储备余额为28473.38亿美元。同时,根据国际货币基金组织(IMF)的统计数据显示,我国外汇储备组成中美元储备占比超过六成。而美元指数自2002年起呈现一路下跌的趋势,尤其是在2008年金融危机期间下跌至71.31点的历史低点,在2002年-2010年九年间累计下跌了约1/3(2002年美元指数在120左右,2010年美元指数在80左右)。面对金融危机所引起的世界经济不确定,尤其是美国经济的不稳定,将我国巨额的外汇储备过多集中于美元货币,所带来的经济损失和战略风险都很大。因此,在世界经济形势多极化发展的今天,调整我国外汇储备的币种结构、确保我国高额的外汇储备能够做到保值增值,是我国外汇储备管理体制中急需研究的重要课题。
本文以我国外汇储备币种结构为研究对象,在分析当前我国外汇储备币种结构现状的基础上,指出目前过多的美元储备已经造成了巨大价值损失和战略风险。笔者根据外汇储备币种选择需遵循的一般原则,再分析世界主要经济体的经济发展情况,确定了我国外汇储备较适宜的币种结构。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外储结构模型”,通过对该模型的价值评估,得出该模型有十分突出的价值增值功能,并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。论文的最后,创新型的提出了适合我国基本国情的外汇储备结构调整的管理原则,以及如何抑制我国外汇储备过度增加的一系列措施。
With the rapid expansion of China’s foreign exchange reserves and annual new reserves, to manage the currency structure of China’s foreign exchange reserves has become a hot topic at home and abroad. The fact that the foreign exchange reserves increased year by year, which shows China's economic strength is growing, and also the fruitful results based on China's basic national policy of reform and opening up, especially the policies of opening up.
Up to December 31, 2010, the data released by the State Administration of Foreign Exchange shows that, China’s official foreign exchange reserves amount to 2847 billion dollars. Meanwhile, according to the statistics from International Monetary Fund (IMF), the dollar reserves in China's foreign exchange reserves has accounted for over 60%. Since 2002, the dollar index has always gone down, especially dropped to historic low-point 71.31 during the financial crisis in 2008, the dollar index has declined by 1/3 between 2002 -2010(dollar index was around 120 in 2002, while was 80 in 2010). Facing the uncertainty of world economic caused by the financial crisis, especially the instability of US economic, making China's massive foreign exchange reserves focusing on the US currency would bring out economic losses and strategic risks. Therefore, it is an urgent and important subject in China's foreign exchange reserves management, it is better to adjust the currency structure of foreign exchange reserves, to ensure that our huge foreign exchange reserves could be increasing the value.
In this paper, we choose the currency structure in foreign exchange reserves as research object, analyze the present situation of currency structure in China’s foreign exchange reserves, pointing out that the excessive dollar reserves currently has caused tremendous loss of value and strategic risks. According to general principles in choosing reserve currency, and analyzing the world’s major economies, we decided the appropriate currency structure in China’s foreign exchange reserves. Based on the collection of a large number of economic data, this article builds a new model of reserve structure based on regional economic strength in a brand-new perspective, by evaluating the value of this model, gets a conclusion that the model has great significance, and put forward the structural adjustment programs based on the current size of China’s foreign exchange reserves and annual level of new reserves. In the end, the author innovatively puts forward the management principles on structural adjustment, and how to suppress the incensement of China's foreign exchange reserves.
引文
宾建成,詹花秀.2010.“金砖四国”经济效率比较分析[J].求索,11:1-4.
陈文政. 2009.中国外汇储备最优规模的再思考[J].上海经济研究,9:3-9.
关晓红,邵学言.2005.发展中国家外汇储备的增加原因及管理现状[J].南方金融,9:25-27.
国家外汇管理局网站.2009.外汇管理概览. [EB/OL]. http://www.safe.gov.cn/model_safe/zssk/zssk_list.jsp?id=6&ID=150900000000000000
国家外汇管理局网站. 2010. [EB/OL]. http://www.safe.gov.cn/model_safe/news/new_detail.jsp?ID=90000000000000000,807&id=3&type=2.
何帆,陈平.2006.外汇储备的积极管理:新加坡、挪威的经验与启示[J].国际金融研究融,6:4-13.
蒋庆洋.2008.国际外汇储备管理研究及对中国的启示[J].上海金融,3:73-75.
金艳平,唐国兴.1997.我国外汇储备币种结构探讨[J].上海金融,5:12-14.
孔立平.2010.全球金融危机下中国外汇储备币种构成的选择[J].国际金融研究,3:64-72.
邝国权.2004.新形势下中国外汇储备管理新思维探索[J].国际经贸探索,6:42-46.
李江华,杨能良.2003.IMF外汇储备管理指南对我国的启示[J].上海金融,8:38-41.
李扬,余维彬,曾刚.2007.经济全球化背景下的中国外汇储备管理体制改革[J].国际金融研究,4:4-12.
罗坚毅,王宇华.2010.金融危机下我国外汇储备管理的研究[J].价格月刊,1:34-38.
欧阳芳,余其昌.2001.浅议我国外汇储备的结构管理[J].地质技术经济管理,6:1-3.
庞中英.2010.警惕美国用霸权减债[J].环球时报.2010. [EB/OL]. http://finance.huanqiu.com/roll/2010-08/1053707.html.
宋红波.2007.我国外汇储备币种结构的选择与调整[D].厦门大学:23-24
宋铁波,陈建国.2001.当前我国外汇储备币种组合分析[J].南方金融,4:11-13.
王大贤.2009.金融危机背景下外汇储备管理探讨[J].投资金融,5:26-30.
王国林.2003.外汇储备的国际比较分析[J].国际金融研究,7:62-66.
王永中.2011.中国外汇储备的构成、收益与风险[J].国际金融研究,1:44-52.
杨虎,刘琼荪,钟波.2004.数理统计[M].北京:高等教育出版社:191-197.
杨胜刚,龙张红.2009.基于模糊决策理论的中国外汇储备币种结构研究[J].财经理论与实践,5:8-13.
杨胜刚,谭卓.2007.基于层次分析法的中国外汇储备货币结构管理研究[J].财经理论与实践,5:2-7.
易江,李楚霖.1997.外汇储备最优组合的方法[J].预测,2:57-60.
易纲.2009.外储猛增美国国债占比重回下降通道[J].上海证券报. [EB/OL]. http://www.cnstock.com/paper_new/html/2009-12/17/content_71806716.htm
曾之明.2010.后危机时代外国外汇储备优化配置策略抉择[J].现代经济探讨,4:36-39.
张明,何帆.2006.美元贬值背景下外汇储备的结构调整[J].中国金融,20:63-64.
者贵昌.2005.中国国际储备的分析与研究[J].国际金融研究,5:55-61.
郑建明,桑百川.2007.我国外汇储备过多的风险及管理对策[J].国际贸易问题,11:109-115.
周丽.2010.我国高额外汇储备管理问题研究[D].山东大学:12-14.
朱淑珍.2002.中国外汇储备的投资组合风险与收益分析[J].上海金融,7:26-28.
宗良,李建军,邵科.2010.优化外国外汇储备资产结构的若干思考[J].国际贸易,9:34-38.
Arndt S. W、Kierzkow ski H. 2001. Fragmentation: New Production Patterns in the World Economy, London: Oxford University Press.
Bernd Scherer、Andreas Gintschel. 2003. Currency Allocation as Dual Benchmark Optimization [J]. http://www.solutionmetrics.com.au/customers/2003_central_bank_v3.pdf.
Betts Caroline、Devereux、Michael B. 2000. Exchange rate dynamics in a model of Pricing-to- Market[J]. Journal of International Economics,5:215-244.
Campbell John Y、Medeiros Serfatyde Karine、Viceira Luis M. 2007. Global Currency Hedging[Z]. NBER Working Papers Series.
Click Reid W. 2006. On the Composition of Asian Cent ral Bank Reserves: Will the Euro Replace the Dollar? [J]. Journal of Asian Economics,17: 417 - 426.
Edwards、Sebastian. 2002. Capital mobility, capital controls, and globalization in the twenty-first century [M]. The Annals of the American A-academy of Political and Social Science:249-260.
Eichengreen、Barry、Mathieson、Donald. 2000. The Currency Composition of Foreign Exchange Reserves: Retrospect and Prospect [EB/OL].
Fuchs-Schundeln、Nicola、Norbert、Funke. 2001. Stock Market Liberalization: Financial and Macroeconomic Implications [J]. IMF Working Paper. [EB/OL].
http://www.imf.org/external/pubs/cat/longres.cfm?sk=15513.0.
Harry Markowitz. 1952. Portfolio Selection[J]. The Journal of Finance,7:77—91.
Herald、Badinger. 2000. The Demand for International Reserves in the Euro-system[J]. IEF Working Paper.
Michael P. Dooley. 1987. An Analysis of the Management of the Currency Composition of Reserve Assets and External Liabilities of Developing Countries[J]. The Reconstruction of International Monetary Arrangements,3:262-280.
Papaioannou Elias、Richard、Siourounis Gregorios. 2006. Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospect s for the Dollar [J]. Journal of the Japanese andInternational Economies,20:508 - 547.
Robert H. Heller、Malcolm A. Knight. 1978. Reserve-Currency Preferences of Central Banks[J]. Essays in International Finance,4:131-142.
Roger S. 1993. The Management of Foreign Exchange Reserves[EB/LD]. BIS Economic Papers.
Srichander Ramaswamy. 1998. Portfolio Selection Using Fuzzy Decision Theory [EB/LD].
Srichander Ramaswamy. 1999. Reserve Currency Allocation: An Alternative Methodology [EB/OL].
Tobin J. 1956. The interest elasticity of transactions demand for cash[J]. Review of Economics and Statistics,38:241—270.
陈文政. 2009.中国外汇储备最优规模的再思考[J].上海经济研究,9:3-9.
关晓红,邵学言.2005.发展中国家外汇储备的增加原因及管理现状[J].南方金融,9:25-27.
国家外汇管理局网站.2009.外汇管理概览. [EB/OL]. http://www.safe.gov.cn/model_safe/zssk/zssk_list.jsp?id=6&ID=150900000000000000
国家外汇管理局网站. 2010. [EB/OL]. http://www.safe.gov.cn/model_safe/news/new_detail.jsp?ID=90000000000000000,807&id=3&type=2.
何帆,陈平.2006.外汇储备的积极管理:新加坡、挪威的经验与启示[J].国际金融研究融,6:4-13.
蒋庆洋.2008.国际外汇储备管理研究及对中国的启示[J].上海金融,3:73-75.
金艳平,唐国兴.1997.我国外汇储备币种结构探讨[J].上海金融,5:12-14.
孔立平.2010.全球金融危机下中国外汇储备币种构成的选择[J].国际金融研究,3:64-72.
邝国权.2004.新形势下中国外汇储备管理新思维探索[J].国际经贸探索,6:42-46.
李江华,杨能良.2003.IMF外汇储备管理指南对我国的启示[J].上海金融,8:38-41.
李扬,余维彬,曾刚.2007.经济全球化背景下的中国外汇储备管理体制改革[J].国际金融研究,4:4-12.
罗坚毅,王宇华.2010.金融危机下我国外汇储备管理的研究[J].价格月刊,1:34-38.
欧阳芳,余其昌.2001.浅议我国外汇储备的结构管理[J].地质技术经济管理,6:1-3.
庞中英.2010.警惕美国用霸权减债[J].环球时报.2010. [EB/OL]. http://finance.huanqiu.com/roll/2010-08/1053707.html.
宋红波.2007.我国外汇储备币种结构的选择与调整[D].厦门大学:23-24
宋铁波,陈建国.2001.当前我国外汇储备币种组合分析[J].南方金融,4:11-13.
王大贤.2009.金融危机背景下外汇储备管理探讨[J].投资金融,5:26-30.
王国林.2003.外汇储备的国际比较分析[J].国际金融研究,7:62-66.
王永中.2011.中国外汇储备的构成、收益与风险[J].国际金融研究,1:44-52.
杨虎,刘琼荪,钟波.2004.数理统计[M].北京:高等教育出版社:191-197.
杨胜刚,龙张红.2009.基于模糊决策理论的中国外汇储备币种结构研究[J].财经理论与实践,5:8-13.
杨胜刚,谭卓.2007.基于层次分析法的中国外汇储备货币结构管理研究[J].财经理论与实践,5:2-7.
易江,李楚霖.1997.外汇储备最优组合的方法[J].预测,2:57-60.
易纲.2009.外储猛增美国国债占比重回下降通道[J].上海证券报. [EB/OL]. http://www.cnstock.com/paper_new/html/2009-12/17/content_71806716.htm
曾之明.2010.后危机时代外国外汇储备优化配置策略抉择[J].现代经济探讨,4:36-39.
张明,何帆.2006.美元贬值背景下外汇储备的结构调整[J].中国金融,20:63-64.
者贵昌.2005.中国国际储备的分析与研究[J].国际金融研究,5:55-61.
郑建明,桑百川.2007.我国外汇储备过多的风险及管理对策[J].国际贸易问题,11:109-115.
周丽.2010.我国高额外汇储备管理问题研究[D].山东大学:12-14.
朱淑珍.2002.中国外汇储备的投资组合风险与收益分析[J].上海金融,7:26-28.
宗良,李建军,邵科.2010.优化外国外汇储备资产结构的若干思考[J].国际贸易,9:34-38.
Arndt S. W、Kierzkow ski H. 2001. Fragmentation: New Production Patterns in the World Economy, London: Oxford University Press.
Bernd Scherer、Andreas Gintschel. 2003. Currency Allocation as Dual Benchmark Optimization [J]. http://www.solutionmetrics.com.au/customers/2003_central_bank_v3.pdf.
Betts Caroline、Devereux、Michael B. 2000. Exchange rate dynamics in a model of Pricing-to- Market[J]. Journal of International Economics,5:215-244.
Campbell John Y、Medeiros Serfatyde Karine、Viceira Luis M. 2007. Global Currency Hedging[Z]. NBER Working Papers Series.
Click Reid W. 2006. On the Composition of Asian Cent ral Bank Reserves: Will the Euro Replace the Dollar? [J]. Journal of Asian Economics,17: 417 - 426.
Edwards、Sebastian. 2002. Capital mobility, capital controls, and globalization in the twenty-first century [M]. The Annals of the American A-academy of Political and Social Science:249-260.
Eichengreen、Barry、Mathieson、Donald. 2000. The Currency Composition of Foreign Exchange Reserves: Retrospect and Prospect [EB/OL].
Fuchs-Schundeln、Nicola、Norbert、Funke. 2001. Stock Market Liberalization: Financial and Macroeconomic Implications [J]. IMF Working Paper. [EB/OL].
http://www.imf.org/external/pubs/cat/longres.cfm?sk=15513.0.
Harry Markowitz. 1952. Portfolio Selection[J]. The Journal of Finance,7:77—91.
Herald、Badinger. 2000. The Demand for International Reserves in the Euro-system[J]. IEF Working Paper.
Michael P. Dooley. 1987. An Analysis of the Management of the Currency Composition of Reserve Assets and External Liabilities of Developing Countries[J]. The Reconstruction of International Monetary Arrangements,3:262-280.
Papaioannou Elias、Richard、Siourounis Gregorios. 2006. Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospect s for the Dollar [J]. Journal of the Japanese andInternational Economies,20:508 - 547.
Robert H. Heller、Malcolm A. Knight. 1978. Reserve-Currency Preferences of Central Banks[J]. Essays in International Finance,4:131-142.
Roger S. 1993. The Management of Foreign Exchange Reserves[EB/LD]. BIS Economic Papers.
Srichander Ramaswamy. 1998. Portfolio Selection Using Fuzzy Decision Theory [EB/LD].
Srichander Ramaswamy. 1999. Reserve Currency Allocation: An Alternative Methodology [EB/OL].
Tobin J. 1956. The interest elasticity of transactions demand for cash[J]. Review of Economics and Statistics,38:241—270.
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