Globally, foreign exchange reserves held by central banks have exceeded $6.8 trillion. Especially in Asian countries and oil exporting countries, since the establishment of 1976 Jamaica system, in order to cope with the large fluctuation of exchange rate and the imbalance of international payments, it is necessary to maintain moderate foreign exchange reserves to cope with trading risks and prevent risks. As a result, the foreign exchange reserves of these countries have exploded.

Then, a natural question is, how much foreign exchange reserves does a country hold is a reasonable scale? Considering that one of the important functions of foreign exchange reserves is to pay for imports. Consider comparing it with monthly imports. According to the data at the end of 2007, China's foreign exchange reserves can meet the import demand of 19.5 months, that is, nearly two years. This ratio is still relatively high compared with other countries. Taiwan Province, Japanese, Russian and other countries are equally high. In recent years, these countries have also actively explored the diversified use of foreign exchange reserves.

In addition, with the frequent financial crises in the past three decades, a new function of foreign exchange reserves is to prevent speculative attacks and stabilize the foreign exchange market. Therefore, the recognized "moderate foreign exchange reserve scale" is a reserve scale that meets the three functions of paying for imports, preventing speculative attacks and stabilizing the foreign exchange market. At present, the methodology of how to calculate the "appropriate foreign exchange scale" is becoming more and more mature: the level of foreign exchange payment for import is determined by the rule of thumb (for example, 3 months, 6 months, 12 months, etc.). ), the level of repayment of foreign debt principal and interest is determined by the actual scale of foreign debt, and the level of preventing speculative supply is determined by the buffer inventory model. We have summarized a large number of empirical studies on the adequacy and moderate scale of China's foreign exchange reserves so far, and found that China's "moderate foreign exchange reserve scale" should not exceed 1 trillion US dollars. The existing foreign exchange reserves are about 2 trillion US dollars, which is twice as high.

Another piece of evidence is a study by Summers, White House economic adviser and Obama administration economist. He believes that China and some countries in the Middle East and Asia have excessive foreign exchange reserves. According to his calculation at the beginning of 2007, China's excess foreign exchange reserves were about $820 billion. According to his method, the excess foreign exchange reserves at the end of 2008 were also around $65,438+0 trillion.

Costs and losses of excess foreign exchange reserves

Excess foreign exchange reserves are not "free lunches". Countries in Asia and the Middle East have paid a great price and cost. For our country, it is mainly reflected in three aspects:

The first is the opportunity cost. The People's Bank of China purchases foreign exchange reserves from the open market by issuing central bank bills. The interest rate of central bank bills is around 2-3%. However, according to the historical income of national debt in developed markets, the income from reserves is only 3-5%, plus operating costs, the actual income is very low. On the other hand, we buy US Treasury bonds and provide funds for the US government. Subsequently, the US government entered China in the form of foreign direct investment (FDI) through various channels, and gained a high income of more than 20%. Of course, there are brand factors, technology factors and talent factors, but it is undeniable that the cost of capital is seriously underestimated.

The second is the risk of shrinking value. A large amount of investment in US dollar assets, mainly US treasury bonds and institutional bonds, will face the danger of a sharp decline in the international purchasing power of foreign exchange reserves when the US dollar depreciates sharply or the market value of US treasury bonds and institutional bonds shrinks. Since 2008, the financial crisis has aggravated the risk of shrinking foreign exchange reserves.

The third is excess liquidity. In order to maintain the stability of the exchange rate, the central bank must accumulate foreign exchange reserves through open market operations, that is, inject base money into the financial system, resulting in excess liquidity in the domestic money market. A lot of money has nowhere to go, and it has been invested in the capital market and the real estate market, resulting in an irrational rise in asset prices. Once the asset bubble bursts, the blow to the real economy and financial system will be enormous.

"Financial Terror Balance Model" of Sino-US Foreign Exchange Reserves

In 2004, Summers, then president of Harvard University, first used the concept of "financial terror balance" to describe the interdependence between the United States and China and other countries with high foreign exchange reserves. That is, the United States relies on the capital of high reserve countries such as China, while high reserve countries such as China rely on the demand of the American market. Therefore, although the huge foreign exchange reserves of countries with high reserves such as China are used to provide low-cost financing for the huge trade deficit of the United States, neither China nor the United States can get out of this balance.

In other words, China, as the world's largest holder of US Treasury bonds, is actually in a dilemma. If China starts to reduce its holdings of US Treasury bonds, it may trigger a herd behavior of selling US Treasury bonds. Therefore, China's policies and measures to reduce potential risks will aggravate the decline in the value of existing US Treasury bonds in China. China's huge foreign exchange reserves have become China's "hostage" in American hands. Considering its own interests, China cannot easily reduce its holdings of US Treasury bonds. However, once the United States quickly reduces imports and increases exports in an effort to reduce the trade deficit, China and other countries with high reserves will inevitably face the risk of a sharp decline in exports and economic downturn.

Therefore, as long as the premise of the "financial terror balance model" has not changed, that is, the status of the US dollar as an international reserve currency has not been replaced, and China's economic structure has not been adjusted in place, then the pressure on China to invest in US Treasury bonds will always exist, and the shackles of the "financial terror balance" will be difficult to break in a short time.

Gradual strategy of foreign exchange diversification

So far, the academic and practical circles agree that the scale of foreign exchange reserves far exceeds the moderate scale, the excess cost of foreign exchange reserves is high, and the reserve structure is difficult to adjust in the short term. So, how should we build diversified strategy of foreign exchange reserves? My personal suggestion is to establish a multi-level, multi-objective and multi-agent management system.

First of all, China's foreign exchange reserves should be divided into different levels according to different needs. For moderate foreign exchange reserves, high liquidity should be maintained, which is mainly used to make up the balance of payments deficit, prevent speculative shocks and stabilize the exchange rate. This part of the reserves should continue to be managed by the international foreign exchange management department.

The traditional thinking of China's foreign exchange reserve management is to ensure liquidity and safety, because US Treasury bonds are still the most liquid and safest assets in the global financial market. Therefore, dollar assets should still be the main component of foreign exchange reserves.

In the past 10 years, a new trend of the central bank's foreign exchange reserve management is to gradually start investing in risky assets, such as stocks and sovereign bonds in emerging market countries. According to the statistics of more than 70 central banks by Swiss Bank, as of June 2008, 18 national central banks have started to invest in stocks, and 16 national central banks have invested in emerging market bonds.

Secondly, for foreign exchange reserves exceeding a moderate scale, the relationship between them and currency issuance should be cut off. Specialized agencies can purchase RMB funds from the central bank after issuing RMB bonds, and can purchase foreign exchange directly in the foreign exchange market in the future. The use of excess foreign exchange reserves can be divided into two major objectives-strategic objectives and profit objectives.

(1) The reserve management of strategic objectives can be organized and implemented by institutions such as China Development Bank and Export-Import Bank. Strategic reserves can be divided into two categories according to profit objectives: one is profitable strategic reserves. The China Development Bank and the Export-Import Bank can issue bonds to raise special funds, purchase foreign exchange reserves from the central bank in RMB at the market exchange rate, and set up a government-led profit reserve fund. Its funds are mainly used to support the "going out" project financing of state-owned or private enterprises, focusing on overseas mergers and acquisitions, overseas market expansion, technology upgrading, resource and energy acquisition and other projects. Since the financial crisis, the prices of commodities such as resources and energy have fallen sharply. China should seize this favorable opportunity, make full use of the surplus foreign exchange reserves, and obtain the commodities necessary for China's economic development and the seriously insufficient domestic reserves. Such as iron ore, copper, potassium and other resources. The other is a non-profit strategic reserve. The Ministry of Finance can issue bonds to raise special funds and purchase foreign exchange reserves from the central bank. Its funds can be used in education (supporting public schools to study abroad), science and technology (supporting the introduction of high technology), medical care (supporting research and development, importing medical equipment) and other fields. ) and diplomacy (international assistance and cultural promotion).

(2) Reserve management of profit targets should be implemented by relying on sovereign wealth funds. The concept of sovereign wealth fund began in 2005 and was put forward by Andrew Rozanov, an economist at State Street Bank. But the most authoritative definition comes from the IMF. IMF proposed in the Santiago Principles of Sovereign Wealth Funds that sovereign wealth funds are general government-owned investment funds or institutions with special purposes. Generally, the government establishes, holds or manages assets to achieve financial goals and adopts a series of investment strategies, including investing in foreign financial assets. Sovereign wealth funds have diversified legal, organizational and management structures. They have different forms, including financial stability funds, savings funds, reserve investment companies, development funds and pension insurance reserve funds without specific pension insurance debts. So far, the scale of sovereign wealth funds is about 3 trillion US dollars, and there are more than 40 sovereign wealth funds. Among institutional investors, the market size is only higher than that of hedge funds and private equity funds. From the perspective of return on investment, according to the statistics of 60 institutional investors by Cambridge Associates, a well-known consulting firm in the United States, the medium and long-term actual return (5-654.38+00 years) of most institutional investors with assets exceeding $654.38+0 billion is about 5-6%.

From the perspective of asset allocation, the characteristics of long-term funds and low liabilities of sovereign wealth funds determine the long-term investment time and risk preference. Sovereign wealth funds usually tend to invest in risky assets, including stocks, private equity funds and hedge funds. In terms of currency allocation, it gradually expanded from US dollar assets to non-US dollar assets. In the choice of strategy, it gradually changes from portfolio investment to strategic investment. Especially in recent 10 years, sovereign wealth funds have participated in M&A more and more frequently.

From the perspective of investment objectives, the establishment of sovereign wealth funds by the state is consistent with the economic rational behavior of enterprises and residents with infinite life cycle. The state can be regarded as an "economic man" who pursues the maximization of national utility. Therefore, sovereign wealth funds are the main body of commercial investment, and their investment behavior is not essentially different from that of commercial institutions. Pursuing commercial returns is the only goal of sovereign wealth funds, which should not and cannot undertake the political goals of the country. The establishment of sovereign wealth funds from the perspective of long-term investment has played down the short-term political goals of the government and got rid of the short-term behavior of the government budget. In addition, through the constraints of effective corporate governance, transparency requirements, supervision and management and return targets, sovereign wealth funds are urged to adopt commercial and professional operations. At the same time, it is also conducive to avoiding the interference of government transition on national wealth management, making the government win the trust of the people, establishing credibility, and realizing the effective intergenerational transfer of national wealth. China's sovereign wealth fund, China Investment Company, established the mode of commercial operation and independent operation at the beginning of its establishment, which also reflected the understanding of the essence of sovereign wealth funds.