中国外汇储备规模的协整分析

【作者】 高向艳；

【导师】 胡燕京；

【作者基本信息】 青岛大学 ， 金融学， 2006， 硕士

【摘要】 外汇储备是一个综合性的因变量,它与一国的国际收支、汇率制度、国际贸易、国际地位、经济实力有着密切联系。外汇储备规模过多或过少都将对一国经济造成重大影响。在当前中国外汇储备绝对数量较大的形势下,对其规模及相关策略的研究具有重大的现实意义。 本文针对我国的实际情况,结合传统理论对我国外汇储备进行分析,在协整分析的基础上建立了我国外汇储备的增长模型,得出了我国外汇储备与进出口、国内生产总值、货币供给的短期与长期均衡模型,分析了我国外汇储备与汇率的关系。论文在选题过程中查阅了大量的有关文献,对该类文章的学术观点和研究方法有了一个深入的把握,欲在突破以下难题的基础上有所创新: 1、将动态分析方法引进外汇储备管理。原有的外汇储备研究大多局限于孤立、静态地分析研究。本论文指出外汇储备的合理规模应适应一国宏观经济的动态发展需要进行调整,政府部门应建立一套动态管理办法对外汇储备进行管理。 2、将计量经济学的协整理论引进外汇储备的管理。该理论克服了传统计量经济学的当变量出现非平稳时不能解决的问题。而大部分的金融变量通常都是不平稳的时间序列,外汇储备也属于该类时间序列,这样,传统的计量分析便失去作用。协整理论便是克服了传统计量分析的缺陷来对不平稳的经济变量进行分析的一支工具。本论文正是通过协整理论这一现代化的计量分析工具,建立了我国外汇储备的短期与长期均衡模型。 3、本文在引入宏观分析基础上,充分考察了包括国际收支各因素对外汇储备的影响,进出口、利率、通货膨胀、货币供应、汇率与外汇储备的关系,各项宏观经济总量指标特别是经济增长指标与外汇储备的关系等,对1994年汇率改革至今我国的外汇储备规模进行了全面合理的分析界定。 4、关于一国的外汇储备规模如何影响经济发展这个问题,国内外理论界一直存在争论,本文突破的最大难题和创新之处在于用新理念、新视野分析我国外汇储备规模影响因素的同时,将计量经济学、数理经济学等新的研究方法应用于我国外汇储备规模的研究,综合运用现代技术处理手段对我国外汇储备规模与经济增长的关系做出定量描述。更多还原

【Abstract】 Foreign exchange reserve is a comprehensive variable. The scale of foreign exchange reserve is very important to a country’s economy. It often keeps close relationship with the balance of payments, exchange rate regimes, international trade, international status and economic power of a country. So it’s of great practical significance for us to foreign exchange reserves.In face of China’s huge foreign exchange reserves, this paper establishes a foreign exchange reserve growth model in base of traditional theories. The paper analyzes the relationship between foreign exchange reserves and exports and imports, GDP, the money supply, and the exchange rate. In the process of the selection of subjects, I read of many relevant documents, such as articles on the academic perspective, and finally I got a thorough grasp of research methods and made the following breakthroughs.1. Introducing dynamic analysis methods into the management of foreign exchange reserves. Foreign exchange reserves research were originally confined to isolated, static analysis. While this paper notes that government departments should establish a dynamic management approach to make the size of foreign exchange reserves fit a country’s macroeconomic development needs.2. Introducing the co-integration analysis into the management of foreign exchange reserves. The co-integration analysis overcomes the traditional econometric problem when the variables become non-smooth. Most of the variables usually did not fit for stable-financial-time-series, such as foreign exchange reserves. And the co-integration analysis is just a tool to overcome the shortcoming. Through using the modern quantitative analysis tools- "co-integration analysis" , this paper establishes short-term and long-term foreign exchange reserves balance models.3. On basis of macro- analysis, the paper fully inspects various factors, including the balance of payments, exports and imports, interest rates, inflation, money supply, economic growth ,foreign debt, capital flows and exchange rates. The paper also makes a reasonable definition of the scale of China’s foreign exchange reserves since 1994.4. The most breakthroughs of this paper not only lies in the use of new ideas, new perspectives to analyze the factors affecting foreign exchange reserves, but also lies in using new econometrics, and economics research methods and modem technology to study foreign exchange reserves. Finally I make a quantitative description of the relationship between foreign exchange reserves and its affecting factors.更多还原