CAJ | 학술논문

本文估算了美元计价的中国外汇储备收益率，构造并估算了以货币篮子衡量的外汇储备名义有效收益率和以商品和服务篮子衡量的外汇储备真实有效收益率。本文发现，样本期内，中国外汇储备真实有效收益率的波幅远大于美元计价的外汇储备收益率波幅，真实有效收益率水平远低于美元计价的外汇储备收益率，且二者运动趋势并不一致。特别是在2007年以来，二者运动轨迹在剧烈波动的同时，经常出现明显背道而驰。这说明以美元计价外汇储备收益率最大化为目标的外汇储备管理可能会背离实现外汇储备真实财富保值增值的初衷。
본문고산료미원계개적중국외회저비수익솔，구조병고산료이화폐람자형량적외회저비명의유효수익솔화이상품화복무람자형량적외회저비진실유효수익솔。본문발현，양본기내，중국외회저비진실유효수익솔적파폭원대우미원계개적외회저비수익솔파폭，진실유효수익솔수평원저우미원계개적외회저비수익솔，차이자운동추세병불일치。특별시재2007년이래，이자운동궤적재극렬파동적동시，경상출현명현배도이치。저설명이미원계개외회저비수익솔최대화위목표적외회저비관리가능회배리실현외회저비진실재부보치증치적초충。
We construct three different measures of the returns on China＇ s foreign exchange reserves. In the sample period, we find that returns on China＇ s foreign exchange reserves in term of a basket of currencies or of goods and services are much lower and more volatile than that in term of the US dollar. In addition, movements of real returns on China＇s foreign reserves do not show a close relation with that of dollar-denominated returns, suggesting that targeting the maximum returns on foreign reserves in terms of dollar may not be appropriate for achieving China＇ s policy object of maintaining and increasing the value of its reserve holdings.