摘要
通常认为外汇储备具有抵御外部冲击、平滑居民消费、增进社会福利的作用。循此逻辑,文章构建了三部门模型模拟了货币当局面临资本流动"突然停止"时,出于平滑消费目的的最优储备持有行为。研究发现:中国静态最优外汇储备量约占GDP的19.26%;中国实际储备与最优储备的差额自2010年起稳定在1.8万亿美元;最优外汇储备量与"突然停止"发生概率及其导致的产出损失、短期外债规模、居民存款规模及危机时的资产置换比率、风险规避程度正相关,与银行备付金比率、国际风险溢价程度负相关;从危机应急的角度看,提高银行备付金比率、控制居民存款置换外币比例能有效节约外汇储备,但从长远来看控制国内短期外债规模、确保银行稳健运营才是应对国际资本"突然停止"风险的关键。
Foreign exchange reserves are important for smoothing consumption and promoting social welfare. Along with this logic, this paper constructs a three-sector model based on J-R model to explore the foreign reserve holding behavior of the monetary authorities and estimate the optimal foreign exchange reserves of the monetary authorities to smooth consumption fluctuations in case of sudden stops. Empirical results show that China＇s static optimal reserve is about 19. 26% of its GDP; China＇s actual reserve has exceeded the optimal reserve since 2002 with the gap between actual and optimal reserve is expanding. China＇s optimal reserve has a positive correlation with the probability of sudden stops, output loss, private and public short-term debt, private saving and replacement ratio in sudden stops, and degree of risk aversion. It has a negative relationship with bank＇s cash reserve ratio and risk premium. Monetary authorities can save foreign exchange reserves by increasing cash reserve ratio and control resident＇s replacement ratio. While in the long run, Control the scale of domestic short-term external debt and ensure the robustness of commercial banks is the key to dealing with risks.
出处
《经济理论与经济管理》
CSSCI
北大核心
2016年第9期54-69,共16页
Economic Theory and Business Management
基金
国家社会科学基金青年项目(15CJY081)
北京市社会科学基金规划项目(14JGB073)
北京市教委社科计划一般项目(SM201610038004)的资助
关键词
国际资本流动
突然停止
消费平滑
最优外汇储备
international capital flow
sudden stops
consumption smoothing
optimal foreign exchange reserves
