中国外汇储备调整速率的ADL与ECM模型分析

在非均衡框架下研究了中国外汇储备变化的特征,对其自身调整速率进行了动态分析.根据1992-2013年中国外汇储备及影响因素的季度数据,依据局部调整理论,建立了外汇储备规模的自回归分布滞后模型(ADL)与误差修正模型(ECM);通过可行的广义最小二乘法(FGLS)进行回归调整,获得了关于外汇储备长期及短期动态调整速率的基本方程.根据回归结果推算出外汇储备长期的调整速率为16.87％,短期波动偏离长期均衡时,将需8年左右时间以反向调整力度由非均衡状态回到均衡状态.实证结果表明中国外汇储备调整速率偏低,中国外汇储备居高的局面难以短时间解决.

Empirical analysis of foreign exchange reserve adjustment bythe ADL and ECM model based on the partial adjustment theory

This paper studied the change characteristics of Chinese foreign exchange reserves in non equilibrium framework, calculating the adjusting rate for dynamic analysis. In the partial adjustment theory hypothesis, this paper used the quarterly data from 1992-2013 of Chinese foreign exchange reserve and its influencing factors, established Autoregressive Distributed Lag Model (ADL) and Error Correction Model (ECM), then used the Feasible Generalized Least Squares Regression Method (FGLS) for adjustment. Finally this paper obtained the basic equations of the foreign exchange reserves about the dynamic adjustment rate in the long term and short term. According to the regressions, the results show that the adjustment speed of foreign exchange reserves is 16.87% in the long term, while when fluctuations from equilibrium in the short term, it would need about 8 years for adjustment from non equilibrium state back to equilibrium. The results show that Chinese foreign exchange reserves adjustment rate is very low, and it is hard to improve this situation quickly in the short term.