国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2015年
4期
22~33
,共null页
外汇储备 可持续性 VAR 模型
外彙儲備 可持續性 VAR 模型
외회저비 가지속성 VAR 모형
Foreign Exchange Reserve; Sustainability; VAR Model
在我国持有高额外汇储备并面临不断贬值的背景下，本文以外汇储备的来源结构变化为视角．通过分析影响高额外汇储备可持续性的决定因素，揭示我国外汇储备持续增长的主要原因和内在机制。然后选择相关数据和指标。构建VAR模型．对外汇储备可持续性决定因素进行实证检验。研究结果表明，国内生产总值、外商直接投资、汇率、利率、出口依存度是决定外汇储备可持续性的主要因素；在不同时间维度，各因素对外汇储备可持续性的影响作用各异．短期内由出口依存度主导．在长期主要由国内生产总值、外商直接投资、汇率等取代．而国内生产总值在长期发挥主导性作用。金融危机后中国经济面临转型，逐步从出口导向型的发展模式向内需拉动型过渡，从长期来看。庞大经济体量下的外汇储备规模增速将放缓。并可能出现逐步下降的趋势。当务之急是，我国仍要考虑合理配置外汇储备．发挥其特殊作用。并使其更好地保值增值。
在我國持有高額外彙儲備併麵臨不斷貶值的揹景下，本文以外彙儲備的來源結構變化為視角．通過分析影響高額外彙儲備可持續性的決定因素，揭示我國外彙儲備持續增長的主要原因和內在機製。然後選擇相關數據和指標。構建VAR模型．對外彙儲備可持續性決定因素進行實證檢驗。研究結果錶明，國內生產總值、外商直接投資、彙率、利率、齣口依存度是決定外彙儲備可持續性的主要因素；在不同時間維度，各因素對外彙儲備可持續性的影響作用各異．短期內由齣口依存度主導．在長期主要由國內生產總值、外商直接投資、彙率等取代．而國內生產總值在長期髮揮主導性作用。金融危機後中國經濟麵臨轉型，逐步從齣口導嚮型的髮展模式嚮內需拉動型過渡，從長期來看。龐大經濟體量下的外彙儲備規模增速將放緩。併可能齣現逐步下降的趨勢。噹務之急是，我國仍要攷慮閤理配置外彙儲備．髮揮其特殊作用。併使其更好地保值增值。
재아국지유고액외회저비병면림불단폄치적배경하，본문이외회저비적래원결구변화위시각．통과분석영향고액외회저비가지속성적결정인소，게시아국외회저비지속증장적주요원인화내재궤제。연후선택상관수거화지표。구건VAR모형．대외회저비가지속성결정인소진행실증검험。연구결과표명，국내생산총치、외상직접투자、회솔、리솔、출구의존도시결정외회저비가지속성적주요인소；재불동시간유도，각인소대외회저비가지속성적영향작용각이．단기내유출구의존도주도．재장기주요유국내생산총치、외상직접투자、회솔등취대．이국내생산총치재장기발휘주도성작용。금융위궤후중국경제면림전형，축보종출구도향형적발전모식향내수랍동형과도，종장기래간。방대경제체량하적외회저비규모증속장방완。병가능출현축보하강적추세。당무지급시，아국잉요고필합리배치외회저비．발휘기특수작용。병사기경호지보치증치。
This paper analyzes the determinants of the sustainability of China＇s high foreign exchange reserves based on the source structure with the fact that China has been accumulating an increasingly high scale of foreign exchange reserves and faces the continuous devaluation of its reserve assets. Based on the change of the source structure, this paper analyzes the determinants and the internal mechanism of the sustainability of China＇s high foreign exchange reserves. Using a sample of China＇s fundamental economic indicators from 1985 to 2013, the author sets up a VAR model, which shows that Gross Do- mestic Product, Foreign Direct Investment, Exchange Rate, RMB Interest Rate and Export Dependence are the determinants of the sustainability of China＇ s high foreign exchange reserves. In the short term, the impact from the Export Dependence are rather dominant, while in the long term, the most significant determinant-GDP, along with FDI and Exchange Rate, con- tributes to the major impact. Consequently, the author concludes that, with the transformation of economic growth （from ex- port-oriented economy to domestically driven economy）, the pace of China＇s accumulating foreign exchange reserves will slow down and the scale of foreign exchange reserves relative to China＇s economy size may even demonstrate a declining trend. Therefore the policy makers should take the initiative in allocating the reserve asset more rationally to achieve value hedge and increment.
