中国外汇储备名义收益率与真实收益率变动的影响因素分析_英文_张斌

1 The data is quoted from the website of the State Administration of Foreign Exchange. 2 For more information on the concepts, structure and other issues relating to the real rate of return of China’s foreign exchange reserve assets, see Zhang Bin, Wang Xun and Hua Xiuping, “Nominal and Real Returns on China’s Foreign Exchange Reserves.” For more detailed discussion of the issue of choosing the denomination unit of foreign exchange reserve assets, see Xu Yonglin and Zhang Zhichao, “The Management of Foreign Exchange Reserves’ Currency Composition: A Summary of International Studies.”
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Social Sciences in China
growth since 2002 and at the end of 2010 stood at more than 2.8 trillion US dollars,1 making them a key component of China’s national wealth. Whether they will suffer from the quantitative easing monetary policy and expansionary fiscal policy of the US Federal Reserve is a focus of attention in many quarters. A series of questions urgently need answers, including: How big an impact will US monetary policy have on the value of CFXR? Besides the US monetary policy, are there any other important factors that will significantly affect CFXR value? What investment policy adjustments can Chinese government make to preserve and increase the value of CFXR? The existing literature includes hardly any systematic analyses on the determinants of changes in the CFXR rate of return, and only a few empirical analyses on the impact of external shocks on the rate of return of foreign exchange reserves (hereafter referred to as FXR). So far empirical researches, based on the mean-variance model, have mainly covered the currency composition of FXR assets and focused on the maximization of the nominal rate of return (hereafter referred to as NRR) of CFXR denominated in US dollars, but they have ignored the maximization of the real rate of return (hereafter referred to as RRR) of FXR denominated by the basket of China’s imported goods and services.2 Such research is not in line with the priority given by the Chinese government to preserving and increasing CFXR value, so has little reference value for CFXR investment. This paper focuses on the specific reasons behind the changes in CFXR rate of return between 2002 and 2009 and discusses exactly which factors are responsible for NRR changes and which are responsible for RRR changes. It uses regression analysis to observe the impact on CFXR’s NRR and RRR of external shocks such as the monetary policies of the US and the Eurozone, financial market risks in the US and Europe, international bulk commodity prices, and so on. We distinguish the reasons for NRR changes from those for RRR changes. Seen from the angle of asset value preservation and increase, the NRR is not a very good index. A classic example is the fact that US dollar depreciation will lead to an increase in the NRR denominated in US dollars, but may lower the RRR denominated in real assets. So far both FXR management institutions and Chinese academics have not paid enough attention to FXR’s RRR. Zhang Bin and his colleagues have set up indexes for CFXR NRR and RRR and made public the results of their measurement and calculations. This paper takes existing research further, with a view to revealing the main reasons for the changes in CFXR NRR and RRR. The decomposition of CFXR rate of return shows that changes in the reserve assets’ rate
I. The Prelude China’s foreign exchange reserves (hereafter referred to as CFXR) have maintained rapid
* The paper is part of the key program of the 2011 “Strategic Studies on the Diversification of China’s Foreign Exchange Reserves” of the Chinese Academy of Social Sciences. The authors express their thanks to Central Foreign Exchange Business Center for its support. © Social Sciences in China Press
We use decomposition and regression to examine the reasons for the changes in nominal and real rates of return of China’s foreign exchange reserves between 2002 and 2009. The results show that the US financial market risk premium is the most important determinant of changes in the nominal rate of return, while the US dollar exchange rate and the bulk commodity price are the two key determinants of changes in the real rate of return. From empirically based research, one may conclude that the loose monetary policy of the US Federal Reserve increases China’s foreign exchange reserves’ nominal rate of return but decreases the real rate of return and that the European debt crisis has an uncertain impact on China’s foreign exchange reserves’ nominal rate of return but may well raise the real rate of return. Keywords: foreign exchange reserves’ nominal rate of return, foreign exchange reserves’ real rate of return