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为了考察储备管理者的投资组合如何对汇率变化做出反应,文章首先从各币种占外汇储备的份额中分离出单纯由数量变动引起的组合效应值,进而采用广义矩估计法(GMM)分析组合效应与汇率变动之间的关系。研究发现储备管理者的策略选择因时期而异:伴随着欧元诞生及发展中国家外汇储备的增加,央行从实行投资组合再平衡策略(国际货币贬值造成市场增持)逐渐过渡到积极多元化策略(国际货币贬值造成市场减持);2007年金融危机爆发后,发展中国家回到再平衡投资策略。各国在不同阶段的外汇储备管理策略对中国的外汇管理具有一定的借鉴意义。
In order to investigate how the reserve managers’ portfolios respond to changes in exchange rates, the article first separates the combined effect values caused by quantitative changes from the share of foreign currencies in foreign currencies, and then uses generalized moment estimation (GMM) analysis The relationship between portfolio effects and exchange rate changes. The study found that the strategy choices of reserve managers varied with time: With the birth of the euro and the increase of foreign exchange reserves in developing countries, the central bank gradually shifted from implementing a portfolio rebalancing strategy (market overweight caused by the international currency devaluation) to a positive diversification strategy (Devaluation caused by international currency devaluation of the market); after the outbreak of the financial crisis in 2007, developing countries back to rebalancing investment strategy. The foreign exchange reserve management strategies of different countries at different stages have some reference to China’s foreign exchange administration.