【作者】 罗霄；

【导师】 潘敏；

【作者基本信息】 武汉大学 ， 金融学， 2012， 博士

【摘要】 在全球性金融危机爆发的背景下，为有效应对金融危机的冲击，美国一方面实行极度宽松的货币政策，将基准利率压低至极低水平，另一方面积极使用财政工具，不断扩大政府赤字规模。在货币政策方面，美联储主要采取大规模购买美国国债的方式，以便向实体经济注入流动性。在财政政策方面，由于整体经济状况的不断恶化，美国的财政税收也受到了极大的影响。因此美国主要通过大量发行国债来获取资金，以弥补巨大的赤字缺口。显然，美国国债的发行是影响美国经济复苏关键因素之一，必定会影响美国国内的货币供应量、利率水平等主要经济金融变量，进而影响美元指数的长期走势。与此同时，随着中美经济联系日趋紧密，中国持有美国国债规模也呈现出快速增长的趋势。目前，中国已经成为美国国债第一大持有国。中国持有美国国债规模的变化也必定会通过影响外汇储备资产组合等方式对中国人民币汇率产生重要冲击。因此，在当前世界经济复苏前景充满不确定性，尤其是主权债务危机持续蔓延的背景下，研究和探讨美国国债对人民币汇率的影响，不仅有利于防范美国国债发行对人民币汇率变动造成的金融冲击，为人民币汇率形成机制改革提供理论和现实依据，也为在人民币国际化战略发展背景下，中国进一步完善外汇储备投资组合提供有益参考。按照传导渠道分析，美国国债对人民币汇率的影响可以包括美国发行规模和中国持有美国国债规模两个方面。从美国国债发行规模来看，可以分为货币购买力和市场利率两个渠道。而从中国持有美国国债规模来看，主要是通过金融资产供求的渠道产生影响。一是国债规模的扩张会增加货币供应量，进而会降低本币在国际外汇市场上的相对价值水平，造成本币贬值。二是当政府扩大国债规模时，本国的利率水平可能相应提高，短期内投资者买入本国货币，本币升值；但长期来看，在套利期结束后，投资者需要卖出本国货币以实现收益，本币贬值。三是国债作为一种无风险的金融资产，是一国金融资产投资组合中的基准性投资品，国债价格的变动会造成对本币需求的变动，进而影响本币汇率。本文分三种情形检验并分析了美国国债对人民币兑美元双边汇率和人民币实际有效汇率变动的影响。首先是美国国债发行对人民币汇率的影响。基于VAR模型和VECM模型的实证检验表明，在两种人民币汇率变动的过程中，美国国债均发挥着重要直接影响作用。美国国债发行规模扩大会引起人民币双边汇率上升，但人民币实际有效汇率则出现双向波动特征。进一步研究表明，美国国债还可以通过影响货币供应量、市场利率等其他相关经济变量影响到人民币汇率的变化。自2005年中国汇率制度改革以来，各项经济变量的调整对人民币兑美元双边汇率的大幅变动起到了显著的强化作用，但对人民币实际有效汇率的影响较弱。如，美国货币供给量对预测人民币实际有效汇率的作用明显，但在预测双边汇率时作用不显著；短期利率对人民币双边汇率预测功能较好，而长期利率对人民币实际有效汇率的预测功能较好。其次是中国持有美国国债对人民币汇率的影响。基于SVAR模型的实证结果表明，中国持有美国国债对人民币实际有效汇率的冲击贡献度高于其对人民币兑美元双边汇率冲击的贡献度。从2005年人民币汇率制度改革到本次全球金融危机爆发之前，相对于中国持有美国国债规模而言，人民币汇率变动更多是受到美国国债收益率因素的影响。从危机爆发到2010年6月人民币汇率改革重启期间，由于我国实行盯住美元的汇率制度，人民币汇率变动平缓，美国国债持有规模和收益率因素对人民币汇率变动的冲击作用较小。人民币汇率改革重启后，伴随全球经济在充满各种风险和不确定性中弱复苏，美国国债因素对人民币汇率变动的冲击作用增强，美国国债持有量变化对人民币汇率动态调整的影响尤其显著。最后是美国国债发行和中国持有美国国债对人民币汇率的共同影响。基于向量自回归模型和情景分析的实证检验表明：第一，美国国债规模扩大会引起人民币兑美元双边汇率上升，人民币实际有效汇率则出现“先升后降”的特征。中国增加持有美国国债会对人民币兑美元双边汇率升值和人民币实际有效汇率贬值产生持续影响。第二，美国国债发行对人民币实际有效汇率的冲击贡献度高于其对人民币双边汇率冲击的贡献度。而中国持有美国国债对人民币兑美元双边汇率的冲击贡献度高于其对人民币实际有效汇率冲击的贡献度。第三，在美国国债持续发行和中国继续增持美国国债的情形下，盯住一篮子货币的人民币实际有效汇率可以有效吸收美国国债发行规模变化对人民币汇率的冲击，有利于人民币币值稳定。因此，在当前美国国债发行规模不断扩大和中国持有美国国债规模持续上升的情况下，应当把美国国债变化作为预测人民币汇率波动的一个重要指标，坚定人民币汇率形成机制改革方向，适度控制持有美国国债规模，不断优化外汇储备结构，从而减少美国国债等外部因素对人民币汇率的冲击。更多还原

【Abstract】 In the circumstance of global financial crisis, as to cope with the shockeffectively, the U.S. applied extremely loose monetary policy to push the benchmarkinterest rate down to extremely low level, and also used fiscal tool actively to expandthe scale of the public deficit. As for the monetary policy, the Federal Reservepurchased massive treasury securities, as to inject liquidity into the real economy. Asfor the fiscal policy, due to the worsening of economy, the tax revenue was alsonegatively influenced. So the U.S. issued massive treasury securities to acquirefunding, and to cover the huge deficit gap. Obviously, the issue of U.S. treasurysecurity is a key factor to U.S. economic recovery, and would affect some majoreconomic and financial variables, like money supply, interest rates and finallylong-term trend of the U.S. dollar index. Meanwhile, with the increasing economicties between China and the U.S., the scale of China holding U.S. treasury security alsopresents a fast growing tend. At present, China had become the largest U.S. treasurysecurity holding country, and the changes in the holding scale would affect the RMBinterest rate through the changes of China foreign exchange reserve assets. Therefore,with the uncertainty of world economy recovery, especially the continued spreadacross of sovereign debt crisis, research and study the U.S. treasury security’s effecston RMB exchange rate is not only beneficial for taking precautions for the financialshock of U.S. treasury security issue, offering theoretical and realistic basis for RMBexchange rate mechanism reform, but also providing useful reference for furtherperfecting the foreign exchange reserves investment in the strategic environment ofRMB internationalization.According to the analysis of transmission channels, the U.S. treasury security’seffect on RMB exchange rate includes two ways as U.S. issue scale and Chinaholding scale. In the U.S. issue scale side, it could be divided into money purchasingpower and market interest rate ways. In the China holding scale side, it is mainly fromthe supply and demand of the financial asset channel. Firstly, the expansion oftreasury security will enlarge the money supply, reduce the value of local currency inforeign exchange market, devaluate the local currency. Secondly, when U.S. expandsthe debt scale, domestic interest rate will increase. In short term, investors buy localcurrency and upvalue local currency. But in long term, after the arbitrage, investorssell local currency to take the profit, and devalue local currency. Thirdly, treasury security is a risk free financial asset, and also the benchmark in investment portfolio.Change in treasury security’s price will cause change in the demand of local currency,and influence exchange rate of local currency.This paper examined and analyzed U.S. treasury security’s effects on RMBbilateral exchange rate and real effective exchange rate.At the beginning, the author examed the effects of U.S. treasury security issue onRMB exchange rate. Empirical study based on VAR model and VECM model showsthat, the U.S. treasury security has important direct influence in the process of the twokinds of RMB exchange rate changes. The expansion of U.S. treasury security issuewill cause increase of RMB bilateral exchange rate, but the RMB real effectiveexchange rate appears two-way fluctuations. Further studies have shown that the U.S.treasury security can also affect RMB exchange rate, through the influence of moneysupply, market interest rates and other related economic variables. Since the RMBexchange rate mechanism reform in2005, adjustments of economic variables havesignificant strengthening in change of RMB bilateral exchange rate, but relativelyweak effect in change of RMB real effective exchange rate. Such as, the U.S. moneysupply has obvious function in predicting RMB real effective exchange rate, butinsignificant effect in predicting RMB bilateral exchange rate; short-term interest ratehas significant effect in predicting RMB bilateral exchange rate, and long-terminterest rate shows better in predicting RMB real effective exchange rate.In the middle, the author examed the effects of China holding U.S. treasurysecurity on RMB exchange rate. Empirical study based on SVAR model shows that,China holding U.S. treasury security has more shock contribution on RMB realeffective exchange rate than RMB bilateral exchange rate. From the RMB exchangerate mechanism reform in2005to the break out of the global financial crisis,comparing to the scale of China holding U.S. treasury security, change of RMBexchange rate is more effected by the yield of U.S. treasury security. Between thebreak out of financial crisis and the second RMB exchange rate mechanism reform inJune2010, RMB exchange rate changes slightly, because the exchange ratemechanism is pegged to U.S. dollar, the scale of China holding U.S. treasury securityand the U.S. treasury security yields do not take much influence on the change ofRMB exchange rate. After the restart of RMB exchange rate mechanism reform, withweak recovery of global economy in risk and uncertainty, factors of U.S. treasurysecurity have stronger shock on the change of RMB exchange rate, and the scale of China holding U.S. treasury security take particularly significant influence in dynamicadjustment of RMB exchange rate.At last, author examined the combined effect of U.S. treasury security issue andChina holding. Empirical study based on vector auto regression model and Scenarioanalysis shows that: Firstly, the expansion of U.S. treasury security scale will increaseRMB bilateral exchange rate, but the RMB real effective exchange rate decrease afterthe increase in beginning. China increase scale of holding U.S. treasury security hascontinues effect on increase of RMB bilateral exchange rate and decrease of RMBreal effective exchange rate. Secondly, U.S. treasury security issue has more shockcontribution on RMB real effective exchange rate than on RMB bilateral exchangerate. China holding U.S. treasury security has more shock contribution on RMBbilateral exchange rate than on RMB real effective exchange rate. Thirdly, in thesituation of continues U.S. treasury security issue and China increase holding scale,the RMB real effective exchange rate, as pegged a basket of currencies, caneffectively absorb shock of change in U.S. treasury security issue, and be beneficialfor the stabilization of RMB value.As to conclude, with continues expansion of U.S. treasury security issue andincrease of China holding U.S. treasury security, we need to consider change in U.S.treasury security as an impartment indicator in predicting RMB exchange rate, securethe direction of RMB exchange rate mechanism reform, moderately control the scaleof holding U.S. treasury security, constantly optimize the foreign exchange reservesstructure, so as to reduce the shock to RMB exchange rate from U.S. treasury securityand other external factors.更多还原