CAJ | 학술논문

在非均衡框架下研究了中国外汇储备变化的特征,对其自身调整速率进行了动态分析.根据1992-2013年中国外汇储备及影响因素的季度数据,依据局部调整理论,建立了外汇储备规模的自回归分布滞后模型（ADL）与误差修正模型（ECM）;通过可行的广义最小二乘法（FGLS）进行回归调整,获得了关于外汇储备长期及短期动态调整速率的基本方程.根据回归结果推算出外汇储备长期的调整速率为16.87％,短期波动偏离长期均衡时,将需8年左右时间以反向调整力度由非均衡状态回到均衡状态.实证结果表明中国外汇储备调整速率偏低,中国外汇储备居高的局面难以短时间解决.
재비균형광가하연구료중국외회저비변화적특정,대기자신조정속솔진행료동태분석.근거1992-2013년중국외회저비급영향인소적계도수거,의거국부조정이론,건립료외회저비규모적자회귀분포체후모형（ADL）여오차수정모형（ECM）;통과가행적엄의최소이승법（FGLS）진행회귀조정,획득료관우외회저비장기급단기동태조정속솔적기본방정.근거회귀결과추산출외회저비장기적조정속솔위16.87％,단기파동편리장기균형시,장수8년좌우시간이반향조정력도유비균형상태회도균형상태.실증결과표명중국외회저비조정속솔편저,중국외회저비거고적국면난이단시간해결.
This paper studied the change characteristics of Chinese foreign exchange reserves in non equilibrium framework, calculating the adjusting rate for dynamic analysis. In the partial adjustment theory hypothesis, this paper used the quarterly data from 1992 -2013 of Chinese foreign exchange reserve and its influencing factors, established Autoregressive Distributed Lag Model （ADL） and Error Correction Model （ECM）, then used the Feasible Generalized Least Squares Regression Method （FGLS） for adjustment. Finally this paper obtained the basic equations of the foreign exchange reserves about the dynamic adjustment rate in the long term and short term. According to the regressions, the results show that the adjustment speed of foreign exchange reserves is 16.87% in the long term, while when fluctuations from equilibrium in the short term, it would need about 8 years for adjustment from non equilibrium state back to equilibrium. The results show that Chinese foreign exchange reserves adjustment rate is very low, and it is hard to improve this situation quickly in the short term.