人民币汇率波动影响我国外汇储备变动的理论模型和实证研究

本文在综合考虑国际收支和外汇储备需求的基础上构建了人民币汇率波动影响外汇储备的理论模型, 并利用相关数据实证检验了人民币汇率波动对外汇储备的影响. 模型结果表明: 规模变量、进口倾向、国外收入及汇率因素对外汇储备需求的影响取决于这些变量各自对外汇储备瞬时变化的确定性部分μ的影响. 实证结果表明: 长期上, 规模变量、进口倾向、名义有效汇率、实际有效汇率对外汇储备变动都具有显著正效应; 而储备增长自身波动、实际有效汇率波动及汇率制度对外汇储备变动均呈明显负影响; 国外收入、中美实际利差、名义有效汇率波动对外汇储备变动的影响不明显. 短期内, 名义有效汇率及实际有效汇率变动对外汇储备变动都呈明显负效应, 国外收入具有显著正影响, 而其它变量的变化对外汇储备影响不明显.

The effects of RMB exchange rate volatility on foreign exchange reserves

By taking into account balance of payments and demand for foreign exchange reserves,this article constructs a theoretical model to analyze the effects of RMB exchange rate volatility on the fluctuation of foreign exchange reserves.And then this article also investigates the effects of the nominal effective exchange rate volatility and real effective exchange rate volatility on the foreign exchange reserve.The results of theoretical model show that the effects of scale variable,propensity to import,foreign income and exchange rate on foreign exchange reserves depend on the their effects onμ,the certain part of instant changes of foreign exchange reserves respectively.The empirical results show that,in the long run, scale variable,propensity to import,nominal effective exchange rate and real effective exchange rate have significantly positive effects on foreign exchange reserves while the effects of reserve volatility,real effective exchange rate volatility and exchange rate regime are significantly negative.The effects of foreign income, real interest rate difference between China and the US and nominal effective exchange rate volatility are not significant.In the short run,nominal effective exchange rate volatility and real effective exchange rate have significantly negative effects on the change of foreign exchange reserves,and the effect of foreign income is significantly positive while the effects of other variables are not significant.