摘要
采用微分分解和回归方法,考察2002—2009年间中国外汇储备资产名义收益率与真实收益率变动的原因,可以发现:美国金融市场风险溢价是决定中国外汇储备名义收益率变动的最重要因素。美元汇率和大宗商品价格变化是决定中国外汇储备真实收益率变动的最重要因素。基于实证分析还可以推断:美联储宽松货币政策会提高中国外汇储备名义收益率,但降低真实收益率;欧洲债务危机对中国外汇储备名义收益率影响不确定,但很可能提高了真实收益率。
This paper uses decomposition and regression techniques to examine the causes of the fluctuation of nominal and real returns on China's foreign exchange reserves. It finds that the risk premium in the US financial market is the most important determinant of the fluctuation of nominal returns to China's foreign exchange reserves , while the US dollar exchange rate and the price of bulk commodities make the greatest contribution to the fluctuation of real returns.It can be inferred from empirical analysis that the Federal Reserve's policy of monetary easing will raise nominal returns but reduce real returns ; how the European debt crisis will affect nominal returns is uncertain , but it may well raise real returns.
出处
《中国社会科学》
CSSCI
北大核心
2012年第1期62-75,207,共14页
Social Sciences in China
基金
中国社会科学院2011年度重点课题"中国外汇储备多元化战略研究"的组成部分
