基于跨期均衡模型的国际储备需求分析和数值模拟

本文研究的目的在于构造一个基于代表行为人的跨期均衡模型,将持有国际储备的交易性动机、预防和保险性动机以及"重商主义"动机集中到同一个框架中加以分析,探讨了国际储备需求量与各影响因素之间的关系,并利用数值模拟的方法估计我国国际储备需求的最优水平.研究结果表明:一国在当期的最优国际储备需求量与历史上若干期的产出、资本流动以及国内信用等因素有关,直接反映了持有国际储备的前两种动机,而国内居民对实际货币余额的偏好系数则决定了"重商主义"动机所带来的国际储备规模.基于国际储备需求理论解的数值模拟表明,截至2006年底,我国最优的国际储备额应为7732.27亿美元,而事实上,我国实际持有的国际储备额却达到了10704亿美元,过度储备占到总储备量的27.8%.

An Analysis and Calibration of the International Reserve Demand Based on the Inter-temporal Equilibrium Model

This paper aims to formulate an inter-temporal equilibrium representative agent model which discusses the key factors influencing the international reserve demand by analyzing the transaction motivation,precautionary motivation and mercantile motivation in a common framework.It estimates the optimal international reserve of China by calibration.The results show that the optimal international reserve size is related with the output,the capital flow and the domestic credit in every historical period that reflect the precautionary motivation of the transaction.And the preference on the real money holdings determines the level of mercantilism.According to the calibration results,China's optimal international reserve holdings at the end of 2006 should be 773.2 billions.But in fact,the figure is 1070.4 billions.China's surplus international reserve accounts for 27.8% of the total international reserve.