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中国主权财富投资的理论、问题与对策

ISBN:978-7-5161-6172-2

出版日期:2015-07

页数:261

字数:279.0千字

点击量:6749次

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加入WTO以来,中国逐步成长为“世界工厂”,其经常项目和资本项目经历了持续大规模的资本流入。同时,中国摇身一变,从长期传统的资本输入国和外汇资产稀缺国的队伍中光荣毕业,跻身通常由欧美发达国家占据的资本输出国行列,并迅速成长为境外资产大国。截至2014 年3月末,中国对外资产规模达6.13万亿美元,是2004年年底0.93万亿美元的6.6倍,年均增长率高达23.4%。不过,2009年全球金融危机以来,中国的境外资产规模的年均增长率放缓至15.0%。中国境外资产规模的快速膨胀,显然对中国管理和投资境外资产的能力构成了严峻挑战。

从持有主体的性质角度看,一国境外资产的持有者可划分为官方持有者(Official Holder)和民间私人持有者。根据美国财政部的定义,境外资产的官方持有机构包括外汇储备的持有机构、政府发起的投资基金(Government-sponsored Investment Funds)以及除IMF之外的政府机构(Bertaut,Griever and Tryon,2006)。按照这一定义,中国持有境外资产的官方机构包括外汇储备的持有者——中国人民银行(国家外汇管理局)和主权财富基金(如中国投资公司),而持有大量外汇资产的国有商业银行、国有企业不属于官方持有者的范畴。因而,境外资产的民间私人持有者通常包括该国的居民、私人企业和国有企业(政府发起的投资基金除外)。

关于目前中国的主权财富基金的数量,国内外存在着不同的看法。中国投资公司是唯一受中国官方正式承认的主权财富基金。但在主权财富基金研究所(SWF Institute)看来,中国的主权财富基金有四家:中国投资公司、华安投资公司(SAFE Investment Company)、全国社保基金、中非基金。107747主权财富基金研究所的这一看法也有一定的道理,理由主要有:首先,尽管华安投资公司隶属于国家外汇管理局,但其资产配置结构偏向于追求投资回报,明显区别于中央银行强调流动性的资产组合,与一般的主权财富基金的投资行为差异不大,将其划归主权财富基金似乎未尝不可。其次,全国社保基金与中国投资公司存在的一个明显区别是,其注册资本是以本币而不是外币的形式持有,不过,其资本的币种形式对其海外投资不构成障碍。在成立初期,全国社保基金的投资主要集中于国内市场,其境外投资比例的上限仅为7%,在2009年12月后,境外投资比例上限提高至20%。不过,社保基金的海外资产配置比例目前基本上维持在7%左右。这与中投公司的差距较大。根据我们的估计,中投公司在2013年年底的海外资产配置比例约为26.0%。107748从本质上看,全国社保基金是类似于中国投资公司的主权财富基金。最后,中非基金的所有资本均投向非洲,从其投资行为、资产结构和运作模式看,属于一家地道的主权财富基金。

与境外资产持有者的性质相联系,一国境外资产也可相应划分为民间境外资产和官方境外资产。目前,欧美一些主要发达国家因拥有储备货币发行国的优势,无须持有大量的外汇储备,因而,其绝大部分境外资产由民间私人部门持有,官方持有的外汇储备资产占其境外资产的比例通常很低。与发达国家不同,中国的海外资产结构存在着一个明显的不合理之处是,官方外汇资产比重偏高,民间外汇资产比例偏低。这就是广受社会各界诟病的“藏汇于国”而非“藏汇于民”现象。2014年3月末,中国外汇储备的规模高达39481亿美元,占中国境外总资产的比重为64.4%;若再加上三家主权财富基金持有的境外资产约为1690亿美元,107749中国官方机构持有的境外资产规模为41170亿美元,占中国境外总资产的比例为67.2%。

与“官方境外资产”基本重合的一个概念是“主权财富”(Sovereign Wealth)。根据维基百科的定义,主权财富是指一国政府通过特定税收与预算分配、不可再生自然资源收入和国际收支盈余等方式积累形成的,由政府控制与支配的,通常以外币形式持有的公共财富。从字面来理解,主权财富既可投资于国内市场,又可投资于境外市场。例如,新加坡的淡马锡和中国投资公司等一些主权财富基金的资产均可在国内外进行配置。不过,全球主权财富基金的绝大部分资产是配置于海外市场的。同时,中央银行持有的外汇储备资产通常完全投资于国外市场,这是因为,若其投资于国内市场会产生二次结汇问题,并引发通货膨胀。因此,相对于官方境外资产,主权财富的内涵略微宽泛一些。具体对中国而言,主权财富包括国家外汇管理局持有的外汇储备,以及中国投资公司等主权财富基金的资产。

与中国境外资产高度集中于官方机构特别是中央银行的状况相适应,中国境外资产的投资回报一直处于较低水平。2005—2013年,按美元计价的中国境外资产的年均投资收益率为3.01%,仅略高于美国同期CPI的年均水平2.28%。中国境外资产的低收益导致中国成为一个尴尬的国际债权人,尽管境外净资产长期为正,且规模逐年增加,但中国对外净投资收益一直为负(除极少数的年份外),且对外投资净亏损的规模呈扩大的趋势。2013年年末,中国境外净资产的规模达19716亿美元,是2004年的2764亿美元的7.1倍。中国境外净资产规模在2005—2008年期间的年均增长率曾高达54.0%,不过其在2009—2013年期间的年平均增长率明显放缓至5.9%。除2007年、2008年外,中国国际收支平衡表的投资收益差额账户自2000年以来一直为负数,其中,2000—2006年的平均差额为-126亿美元,而2009—2013年的平均差额大幅扩大至-468亿美元。也就是说,中国作为国际债权人,不仅未能从国际债务人处获得利息收入,反而需要向国际债务人支付利息,并且,随着中国债权规模的扩大,中国对外需要支付的利息规模还呈上升的态势。

中国之所以成为一个支付净利息的债权人,根本原因在于中国的投资能力显著弱于发达国家的投资者。中国的境外资产过度集中于中央银行,而中央银行持有外汇储备资产的目标是维持本币币值稳定,保障本国国际经济交往活动的稳定进行,防范本国的货币危机和国际收支危机的发生,从而,中央银行通常实行保守的投资策略,高度强调资产组合的流动性,回避投资于高风险高收益率的资产,这导致了中国的境外资产主要投资于信用等级高、收益率低的发达国家的政府债券及机构债券。而中国的对外负债主体部分是引进的外商直接投资(FDI),尽管FDI风险较大,但其高投资回报率是发达国家的政府债券所无法比拟的。未来一段时间,中国向外支付净利息的地位不会得到明显改观,其原因在于:一是国内外巨大利息差将会长期存在,中国同等类型的投资收益回报明显高于发达国家;二是中国境外直接投资(ODI)近来虽增长迅速,但囿于投资能力的限制,中国的ODI不可能过快增长,且中国ODI的投资风险较大,投资收益难以得到保证;三是中国的增长潜力优于发达国家和大多数的新兴经济体,在中国的投资回报通常高于其他国家。

中国境外资产低投资收益问题的症结在于,外汇储备的规模过大且其资产配置偏于保守。根据我们的粗略估计,中国过剩的外汇储备规模约高达2万亿美元。对于中国这样一个发展不平衡的大型新兴经济体而言,将如此巨额的金融资本保守地投资于发达国家收益率极低的政府债券,显然是一种巨大的资源浪费。目前,中国政府已经认识到积累过多的外汇储备所产生的负面效应和挑战,并采取一些举措来缓解外汇资产收益过低的问题,如放宽资本流出的限制、鼓励中国企业“走出去”开展对外投资、创建外汇储备委托贷款机制等。毋庸置疑,这些措施是有意义的,可从增量或存量的角度部分缓解外汇储备管理问题,但不足以从根本上扭转储备资产配置低效的问题。预计未来若干年,中国现行的出口导向增长模式将会持续,中国外汇储备规模很可能会继续增加,从而,中国存量外汇储备的管理和投资问题将会更为突出。中国应适时调整外汇储备管理和投资战略,加快外汇储备资产品种的多元化进程,提高对股票、私人债券、不动产和另类资产等风险性资产的投资比例。事实上,当前中国外汇储备管理机制模式改革迎来了一个良好的时间窗口。发达国家在遭受全球金融危机和欧洲主权债务危机的打击之后,企业资产估值水平相对较低,具有一定的投资价值。而且,欧美实体经济复苏步伐的加快,资本市场和房地产的稳定反弹,为风险性投资提供了难得的市场机遇。同时,美联储量化宽松政策的退出,显然对美国国债市场产生不利影响,但对美国资本市场健康发展会产生正向效应。

鉴于此,本书选择对中国主权财富投资的理论、问题与对策进行研究。本书非常强调中国问题研究的国际视野,逻辑发展思路是先进行国际比较分析,然后以国际经验为参照系,分析研究中国问题,提出政策建议。从逻辑框架结构看,本书可分为四个部分:理论综述篇、外汇储备篇、美国国债市场的投资行为篇和主权财富基金篇。第一部分是理论综述篇,由第一章组成,对外汇储备和主权财富基金方面的文献作系统的梳理与概括。第二部分是外汇储备篇,由第二、三、四、五和六章组成,重点分析中国外汇储备的资产结构、投资行为和投资收益,揭示其经济成本与风险状况,并基于对美国主权债务可持续性状况和退出量化宽松效应的综合判断,结合国际外汇储备管理的主流经验,提出外汇储备的投资战略建议。第三部分是美国国债市场的投资行为篇,由第七、八章组成,重点比较中国与其他主要投资者在投资美国国债上的行为差异,深入分析中国投资对美国国债市场的影响,进而提出具有操作性的政策建议。第四部分是主权财富基金篇,由第九、十章组成,阐述中国投资公司近年来投资策略的转变状况及其动因,并在借鉴国际主权财富基金成功运作经验的基础上,提出完善中投公司投资策略的政策建议。

现将本书各章的结构框架、主要内容和特色创新之处阐述如下:

第一章是文献综述部分,对外汇储备和主权财富基金方面的理论研究与经验文献作了系统综述,从而为本书的研究奠定了一个坚实的理论基础。进入21世纪以来,中国等新兴经济体的外汇储备和主权财富基金的规模的迅速增长,引发了学术界主权财富投资问题的研究兴趣。在外汇储备问题研究方面,国内外学者的研究主要包括外汇储备的适度规模、最优币种构成、管理原则和实际操作、投资收益测算、成本与风险、投资战略、经济影响等领域。其中,中国外汇储备的投资状况、投资收益、成本风险、投资战略等议题是学者们关注的焦点。对于主权财富基金问题,学者围绕形成和决定因素、投资行为、治理机制和投资待遇,以及中国投资公司的投资状况等议题展开了深入的研究。

第二章试图通过比较全球主要经济体的外汇储备管理模式来给中国外汇储备管理体制改革提出经验借鉴。全球主要外汇储备管理模式可分为“财政部主导+央行执行型”、“财政部与央行共同主导型”、“央行主导型”,其中发达国家通常偏好第一种模式,新兴市场国家通常偏好第三种模式,而资源出口国通常偏好第二种模式。该章针对中国外汇储备管理体制改革提出的政策建议包括:将外汇储备管理体制由央行主导改为财政部与央行共同主导;建立外汇平准基金,提高央行货币政策独立性;理顺主权财富基金管理体制,设立新的主权财富基金;优化外汇储备资产的配置结构;完善外汇储备管理的职责分工和风险防控机制。

第三章对中国外汇储备的资产结构和投资收益状况作了深入分析与全面测算。该章首先梳理了中国外汇储备的现行统计口径;第二,阐析了中国外汇储备的规模变化及其来源;第三,从美元、日元、欧元等货币资产的角度,深入分析中国外汇储备的币种和证券品种结构及其演变过程,重点阐述了全球金融危机对中国外汇储备投资行为的影响,并阐述中国外汇储备投资在委托贷款、商业银行转贷款和另类投资等领域出现的新动向;第四,充分利用所有可资利用的信息,全面估算了中国外汇储备的投资收益;第五,利用拇指法则,测算中国外汇储备的最优规模和过剩规模;第六,从改革储备管理体制、优化储备资产结构、创新外汇储备运用途径、购置黄金和战略物资储备、设立主权财富基金等角度,提出了推进中国外汇储备多元化的政策建议。

第四章对中国外汇储备的经济成本作了全面阐述与系统分析。该章首先提出一个简明的外汇储备成本分析框架;第二,从国际融资利息成本和放弃国内固定资产投资回报的角度,测算中国持有外汇储备的机会成本;第三,估算央行票据和法定准备金存款等中国两大冲销工具的加权平均利率,并测算2003年以来中国货币当局冲销操作的利息成本;第四,剖析中国积累外汇储备所面临的经济扭曲成本、资产损失风险和金融稳定风险;第五,总结全章并提出遏制中国外汇储备增长和加速外汇储备多元化的政策建议。研究发现,2001—2011年,中国外汇储备的年均机会成本为1140亿美元,占GDP的2.60%,而2011年的机会成本达3150亿美元,占GDP的4.33%;中国货币当局的冲销成本(央行票据和法定准备金存款的加权平均利率)先由2002年的0.97%稳步升至2008年的2.57%,后降至2009—2011年的1.57%; 2003—2011年,中国货币当局为发行央行票据、回购国债和增加的银行法定准备金存款而支付的总利息成本约为1.4万—1.5万亿元,占2011年GDP的3.0%—3.2%。

第五章全面阐述和系统评估了美国的问题资产纾困计划、“两房”接管计划与量化宽松货币政策等三大金融稳定计划的实施状况和财政效应,并就中国外汇储备配置于美元资产的比重及其结构提出了对策建议。该章认为,美国金融稳定计划主要由问题资产纾困计划、“两房”接管计划和量化宽松货币政策组成。美国金融稳定计划不仅促进了美国的金融稳定和经济复苏,而且实现了现金流意义上的财政收支基本平衡,甚至是略有盈余,避免了主权债务危机在美国的重演。近年来,美国金融稳定计划已向美国政府提供了可观的利息和股息收入,并显著减轻其债务利息负担,但也带来巨额的或有负债,如“两房”债务担保责任、美联储持有的债券价值将可能因退出量宽而显著下跌。不过,随着美国房地产市场的持续复苏、量化宽松的逐步退出和“两房”资产负债规模的不断压缩,美国金融稳定计划产生的或有负债规模预计会稳步下降。考虑到美国经济基本面优于其他发达国家,美国财政状况已逐步得到改善,未来一段时间,中国外汇储备投资的美元资产比重宜维持相对稳定,不应大幅减持。

第六章深入分析了美联储量化宽松政策(QE)进入与退出的步骤和次序,系统概括了量化宽松影响美国债券收益率的机制,全面评估了量化宽松退出影响美元资产和中国外汇储备资产的渠道,提出了中国外汇储备资产多元化的政策建议。美联储量化宽松政策的进入或实施可大体划分为五个阶段:QE前、QE1、QE2、扭曲操作和QE3。量化宽松主要通过下述九个渠道对美国债券收益率产生影响:资本约束渠道、资产稀缺渠道、久期风险渠道、流动性渠道、安全溢价渠道、信号显示渠道、提前偿还风险溢价渠道、违约风险渠道和通货膨胀渠道。美联储退出量化宽松可能遵循如下六个步骤:缩小乃至停止资产购买计划、停止到期债券本金再投资计划、反向扭曲操作和资产置换、回收流动性和出售国债、提高超额准备金利率和联邦基金利率、出售MBS。美联储退出量化宽松对美元资产的影响体现在:一是美国债券资产的收益率将上升;二是美国债券的价格将下跌,特别是期限较长的债券价格下跌幅度更为明显;三是美国股票和房地产市场将会出现暂时性下跌或涨势趋缓,但会实现稳定反弹;四是在资产收益率上升、经济基本面向好和美元套利交易平仓等因素的综合作用下,美元汇率将呈现稳定的升值态势。量化宽松退出对中国外汇储备资产安全产生正反双重效应,负向冲击体现为中国持有的长期美国债券价格因收益率上升而下跌,正面效应表现为美元升值与美国股票和不动产的潜在上涨动力增强。未来一段时间,中国外汇储备资产多元化的重点,不是削减美元资产比例,而是调整美元资产结构,减持剩余存续期较长的美国国债,适当增持美国的较短期国债、股票、企业债券和不动产。

第七章对美国长期国债市场上主要外国投资者的投资行为作了深入的比较分析。基于2002年至2012年的年度数据,该章比较了美国长期国债市场上主要外国投资者的不同行为特征,并在此基础上讨论了不同行为特征的可能影响因素,得出了如下主要结论:由历史原因形成的市场势力和主动的资产配置策略,以及金融市场的风险与收益变化,是导致外国投资者不同行为特征的主要原因。这具体表现在:对于拥有较大美国长期国债存量的中国和日本而言,类似于做市商角色的市场势力使得其边际投资行为较为谨慎,以避免相应的国债价格变动造成其存量资产的价值波动;欧洲国家的投资行为则显示出风险偏好较高的特点(例如注重收益的逆势投资),这可能是由于它们持有的长期国债占比稳定在低位,从而能够将美国长期国债仅仅当作一类分散风险的金融投资品。此外,在金融市场动荡期间,由于避险需求和长短期国债收益利差缩小的双重影响,部分外国投资者的资产配置行为也会发生较大变化。

第八章在梳理美国国债市场若干特征事实的基础上,从纵向与横向比较的角度来描述中国投资者在美国国债市场的投资行为。经验分析的结果表明,从长期来看,美元汇率是中国投资者购买美国国债行为的影响因素(美元升值导致中国投资者增持美国国债),而美国国债收益率并非中国投资者购买美债行为的长期决定因素;尽管中国投资者从投资行为来看似乎在美国国债市场与外汇市场同时扮演价格稳定者的角色(当美国国债收益率上升或美元升值时,中国投资者会增加对美国国债的购买),但中国投资者增持美国国债的行为一方面难以扭转美国国债收益率的上升,另一方面则会导致美元贬值。这意味着中国投资者的确是外汇市场上美元价格的稳定者,但并非是美国国债市场上的价格稳定者。包含金融资产收益率、金融市场风险与汇率在内的向量误差修正模型(VECM),对美国国债收益率与美元汇率变动的解释力显著高于对中国投资者购买美国国债行为的解释力,这意味着后者可能还取决于一些其他因素。

第九章以新加坡政府投资公司和新加坡淡马锡、挪威政府(全球)养老基金、阿联酋阿布扎比投资局为例,比较分析了国际著名的主权财富基金的投资经验,并就改善中国主权财富基金的运作效率与投资业绩提出了启示性政策建议。这些主权财富投资机构均经历了一段较为漫长的发展演变过程,投资的理念和能力臻于成熟,有丰富的国际市场运作经验,在公司目标定位、投资战略的制定与演变、资产配置结构、内部治理机制、风险管控系统、社会形象公关、克服投资壁垒等方面均有独到的经验做法,值得中国的主权财富基金特别是中国投资公司认真学习借鉴。

第十章分析了中国投资公司海外投资策略的转变及其背后的动因,并提出一系列完善中国投资公司管理体制和海外投资战略的建议。近年来,中投公司的海外投资战略体现出一些新特征,在资产组合、区域分布、行业配置、投资期限与投资方式等方面呈现出明显的多元化趋势,如投资行业由传统的金融部门明显转向房地产业、能源资源业、基础设施、公用事业与物流业、农林业等实体部门,投资方式由高度依赖外部委托投资转向委托投资与自营投资并举方向发展,资产组合的风险偏好度和投资回报率显著提升。导致中投公司近年来海外投资战略转变的动因主要有:中投外汇储备资金来源渠道的不确定性、财政部与央行在管理中投上职责权限矛盾得到有效的化解、中投国内外投资策略之间的冲突、中投与其他国有投资机构之间的赢利竞争、激烈竞争的外部投资环境等。为提高海外投资业绩,中国应明确中投公司的法律地位,制定资金注入中投和从中投提款的规则,改善公司的治理结构,确保公司投资业务的独立性;中投公司应提高自身的透明度,淡化“国有”身份的色彩,遵守东道国的投资规则。

本书是姚枝仲研究员主持的中国社会科学院创新工程课题“中国对外投资战略”的阶段性成果之一,是世界经济与政治研究所国际投资研究室部分研究人员近期研究成果的结晶。本书具体写作分工如下:第一章:王永中、潘圆圆;第二章:张明、王永中、潘圆圆;第三、四、五和六章:王永中;第七章:王宇哲、张明;第八章:张明;第九章:潘圆圆、王永中、张明;第十章:潘圆圆、张明、王永中。同时,感谢姚枝仲、张金杰、李国学、韩冰、王碧珺、高蓓、刘洁、陈博等的宝贵意见。当然,文责自负。

作者

2015年3月

Since joining the WTO, China has gradually grown into the "world's factory", and its current account and capital account have experienced sustained large-scale capital inflows. At the same time, China has graduated honorably from the ranks of long-standing traditional capital-importing countries and countries with scarce foreign exchange assets, and has become one of the capital-exporting countries usually occupied by developed countries in Europe and the United States, and has rapidly grown into a large foreign asset country. By the end of March 2014, China's foreign assets reached US$6.13 trillion, 6.6 times the US$0.93 trillion at the end of 2004, with an average annual growth rate of 23.4%. However, since the 2009 global financial crisis, the average annual growth rate of China's offshore assets has slowed to 15.0%. The rapid expansion of China's offshore assets clearly poses a serious challenge to China's ability to manage and invest in offshore assets. From the perspective of the nature of the holding entity, the holders of assets outside the territory of a country can be divided into official holders and private private holders. According to the U.S. Department of the Treasury, official holders of foreign assets include holders of foreign exchange reserves, government-sponsored investment funds, and government agencies other than the IMF (Bertaut, Griever and Tryon, 2006). According to this definition, China's official institutions holding foreign assets include holders of foreign exchange reserves - People's Bank of China (State Administration of Foreign Exchange) and sovereign wealth funds (such as China Investment Corporation), while state-owned commercial banks and state-owned enterprises with large foreign exchange assets are not official holders. As a result, private holders of offshore assets typically include residents of the country, private enterprises and state-owned enterprises (except government-sponsored investment funds). There are different views at home and abroad about the current number of sovereign wealth funds in China. China Investment Corporation is the only sovereign wealth fund officially recognized by China. But according to the SWF Institute, there are four sovereign wealth funds in China: China Investment Corporation, SAFE Investment Company, National Social Security Fund, and China-Africa Fund. 107747 this view of the Sovereign Wealth Fund Research Institute also has some truth, mainly for the following reasons: First, although Huaan Investment Company is affiliated with the State Administration of Foreign Exchange, its asset allocation structure is biased towards the pursuit of investment returns, which is obviously different from the central bank's asset portfolio that emphasizes liquidity, and is not much different from the investment behavior of general sovereign wealth funds. Second, a clear difference between the National Social Security Fund and the Chinese Investment Corporation is that its registered capital is held in the form of local currency rather than foreign currency, although the currency of its capital does not constitute an obstacle to its overseas investment. In the early days of its establishment, the investment of the National Social Security Fund was mainly concentrated in the domestic market, and its overseas investment ratio was only capped at 7%, but after December 2009, the upper limit of overseas investment was raised to 20%. However, the proportion of overseas asset allocation of the social security fund is basically maintained at about 7%. This is a big gap with CIC. According to our estimates, CIC's overseas asset allocation ratio at the end of 2013 was about 26.0%. 107748 essentially, the National Social Security Fund is a sovereign wealth fund similar to that of a Chinese investment company. Finally, all the capital of the China-Africa Fund is invested in Africa, and it belongs to an authentic sovereign wealth fund in terms of its investment behavior, asset structure and operation mode. In connection with the nature of the holders of offshore assets, a country's offshore assets can also be correspondingly divided into private offshore assets and official overseas assets. At present, some major developed countries in Europe and the United States do not need to hold a large amount of foreign exchange reserves because they have the advantage of being a reserve currency issuer, so most of their overseas assets are held by the private sector, and the proportion of officially held foreign exchange reserve assets to their overseas assets is usually very low. Unlike developed countries, an obvious irrationality in China's overseas asset structure is that the proportion of official foreign exchange assets is high and the proportion of private foreign exchange assets is low. This is the widely criticized phenomenon of "Tibet in the country" rather than "Tibet in the people". At the end of March 2014, the size of China's foreign exchange reserves reached US$3,948.1 billion, accounting for 64.4% of China's total assets outside China. If the three sovereign wealth funds hold about US$169 billion in offshore assets, the size of offshore assets held by 107749 Chinese official institutions is US$4,117 billion, accounting for 67.2% of China's total overseas assets. One concept that basically coincides with "official offshore assets" is "sovereign wealth." According to Wikipedia's definition, sovereign wealth refers to the public wealth accumulated by a country's government through specific tax and budget allocations, non-renewable natural resource revenues, and balance of payments surpluses, which is controlled and disposed of by the government, usually in foreign currency. Taken literally, sovereign wealth can be invested in both domestic and offshore markets. For example, some sovereign wealth funds, such as Temasek in Singapore and China Investment Corporation, have assets that can be allocated both domestically and internationally. However, the vast majority of the assets of global sovereign wealth funds are allocated to overseas markets. At the same time, the foreign exchange reserve assets held by the central bank are usually invested entirely in foreign markets, because if they invest in the domestic market, it will cause secondary foreign exchange settlement problems and cause inflation. Therefore, the connotation of sovereign wealth is slightly broader than that of official foreign assets. For China specifically, sovereign wealth includes foreign exchange reserves held by the State Administration of Foreign Exchange and assets of sovereign wealth funds such as China Investment Corporations. In keeping with the high concentration of China's offshore assets in official institutions, especially the central bank, the return on investment on China's offshore assets has been at a low level. From 2005 to 2013, the average annual return on investment of Chinese assets outside China denominated in US dollars was 3.01%, only slightly higher than the average annual level of 2.28% in the US CPI during the same period. The low yield on China's offshore assets has made China an embarrassing international creditor, and although its offshore net assets have been positive for a long time and the scale has increased year by year, China's net outbound investment income has been negative (except for a few years), and the scale of its net loss on outbound investment has tended to expand. At the end of 2013, China's net assets outside China reached US$1,971.6 billion, 7.1 times that of US$276.4 billion in 2004. China's net assets outside China grew at an average annual rate of 54.0% between 2005 and 2008, but slowed significantly to 5.9% between 2009 and 2013. Except for 2007 and 2008, the balance of investment income account in China's balance of payments has been negative since 2000, with an average difference of -$12.6 billion from 2000 to 2006 and a significant widening of -$46.8 billion from 2009 to 2013. In other words, as an international creditor, China not only fails to receive interest income from international debtors, but needs to pay interest to international debtors, and with the expansion of the scale of China's claims, the scale of interest that China needs to pay abroad is still on the rise. The fundamental reason why China is a creditor paying net interest is that its investment capacity is significantly weaker than that of investors in developed countries. China's overseas assets are excessively concentrated in the central bank, and the central bank's goal of holding foreign exchange reserve assets is to maintain the stability of the local currency, ensure the stability of the country's international economic exchanges, and prevent the occurrence of domestic currency crises and balance of payments crises. Government bonds and agency bonds of developed countries with low yields. The main part of China's external liabilities is imported foreign direct investment (FDI), and although FDI is risky, its high return on investment is unmatched by government bonds of developed countries. In the future, China's position of paying net interest abroad will not be significantly improved, because first, the huge interest differential between domestic and foreign countries will exist for a long time, and China's return on the same type of investment income is significantly higher than that of developed countries; Second, although China's overseas direct investment (ODI) has grown rapidly recently, due to the limitations of investment capacity, China's ODI cannot grow too fast, and China's ODI investment risk is relatively large, and it is difficult to guarantee investment returns; Third, China's growth potential is better than that of developed countries and most emerging economies, and the return on investment in China is generally higher than that of other countries. The crux of China's low investment returns on offshore assets is the excessive size of foreign exchange reserves and conservative asset allocation. According to our rough estimates, China's excess foreign exchange reserves are about $2 trillion. For a large emerging economy as undeveloped as China, it is obviously a huge waste of resources to invest such a huge amount of financial capital conservatively in government bonds with extremely low yields in developed countries. At present, the Chinese government has recognized the negative effects and challenges of accumulating excessive foreign exchange reserves, and has taken some measures to alleviate the problem of low returns on foreign exchange assets, such as relaxing restrictions on capital outflow, encouraging Chinese enterprises to "go out" to carry out outbound investment, and creating a foreign exchange reserve entrusted loan mechanism. Needless to say, these measures are meaningful and can partially alleviate the problem of managing foreign exchange reserves from an incremental or stock perspective, but they are not enough to fundamentally reverse the problem of inefficient allocation of reserve assets. It is expected that China's current export-led growth model will continue in the coming years, and the scale of China's foreign exchange reserves is likely to continue to increase, so that the management and investment problems of China's stock foreign exchange reserves will become more prominent. China should adjust its foreign exchange reserve management and investment strategy in a timely manner, accelerate the diversification of foreign exchange reserve assets, and increase the proportion of investment in risky assets such as stocks, private bonds, real estate and alternative assets. In fact, the current reform of China's foreign exchange reserve management mechanism has ushered in a good time window. After the global financial crisis and the European sovereign debt crisis in developed countries, the valuation level of corporate assets is relatively low and has certain investment value. Moreover, the accelerated pace of recovery of the real economy in Europe and the United States, and the steady rebound of capital markets and real estate, provide rare market opportunities for venture investment. At the same time, the withdrawal of the Fed's quantitative easing policy obviously has an adverse impact on the US Treasury market, but it will have a positive effect on the healthy development of the US capital market. In view of this, this book chooses to study the theories, problems and countermeasures of China's sovereign wealth investment. This book places great emphasis on the international perspective of China studies, and the logical development idea is to first conduct international comparative analysis, and then use international experience as a frame of reference to analyze and study China issues and put forward policy recommendations. From the perspective of logical framework structure, this book can be divided into four parts: theoretical overview, foreign exchange reserves, investment behavior in the US Treasury market, and sovereign wealth funds. The first part is a theoretical overview, consisting of the first chapter, which systematically sorts out and summarizes the literature on foreign exchange reserves and sovereign wealth funds. The second part is the foreign exchange reserve chapter, which consists of chapters 2, 3, 4, 5 and 6, focusing on analyzing the asset structure, investment behavior and investment income of China's foreign exchange reserves, revealing their economic costs and risks, and putting forward investment strategy suggestions for foreign exchange reserves based on the comprehensive judgment of the sustainability of US sovereign debt and the effect of withdrawal from quantitative easing, combined with the mainstream experience of international foreign exchange reserve management. The third part is the investment behavior of the US Treasury market, which consists of chapters 7 and 8, focusing on comparing the differences between China's behavior in investing in US Treasury bonds and other major investors, deeply analyzing the impact of Chinese investment on the US Treasury market, and then putting forward operational policy recommendations. The fourth part is the sovereign wealth fund chapter, which consists of chapters 9 and 10, which expounds the changes in the investment strategy of Chinese investment companies in recent years and their motivations, and puts forward policy suggestions to improve the investment strategy of CIC on the basis of learning from the successful operation experience of international sovereign wealth funds. The structural framework, main contents and characteristic innovations of each chapter of this book are described as follows: The first chapter is a literature review part, which systematically reviews the theoretical research and empirical literature on foreign exchange reserves and sovereign wealth funds, thus laying a solid theoretical foundation for the research of this book. Since the beginning of the 21st century, the rapid growth of foreign exchange reserves and sovereign wealth funds in emerging economies such as China has aroused the research interest of academic circles on sovereign wealth investment. In terms of research on foreign exchange reserves, the research of domestic and foreign scholars mainly includes the appropriate size of foreign exchange reserves, optimal currency composition, management principles and practical operations, investment income measurement, cost and risk, investment strategy, economic impact and other fields. Among them, the investment status, investment income, cost risk, investment strategy and other topics of China's foreign exchange reserves are the focus of scholars' attention. On the issue of sovereign wealth funds, scholars have conducted in-depth research on topics such as formation and determinants, investment behavior, governance mechanisms and investment treatment, as well as the investment status of Chinese investment companies. Chapter 2 attempts to draw lessons for the reform of China's foreign exchange reserve management system by comparing the foreign exchange reserve management models of major economies in the world. The world's major foreign exchange reserve management models can be divided into "finance ministry led + central bank execution type", "finance ministry and central bank co-led type", "central bank led type", of which developed countries usually prefer the first model, emerging market countries usually prefer the third model, and resource exporting countries usually prefer the second model. The policy recommendations made in this chapter on the reform of China's foreign exchange reserve management system include: changing the foreign exchange reserve management system from being led by the central bank to being jointly led by the Ministry of Finance and the central bank; Establish a foreign exchange equalization fund to enhance the independence of the central bank's monetary policy; Rationalize the management system of sovereign wealth funds and establish new sovereign wealth funds; Optimize the allocation structure of foreign exchange reserve assets; Improve the division of responsibilities and risk prevention and control mechanisms for the management of foreign exchange reserves. Chapter 3 provides an in-depth analysis and comprehensive measurement of the asset structure and investment income of China's foreign exchange reserves. This chapter first sorts out the current statistical caliber of China's foreign exchange reserves; Second, it explains the changes in the scale of China's foreign exchange reserves and their sources. Third, from the perspective of US dollar, yen, euro and other monetary assets, this paper deeply analyzes the currency and securities structure of China's foreign exchange reserves and their evolution, focuses on the impact of the global financial crisis on China's foreign exchange reserve investment behavior, and expounds the new trends of China's foreign exchange reserve investment in entrusted loans, commercial bank loans, and alternative investments. Fourth, make full use of all available information to comprehensively estimate the investment income of China's foreign exchange reserves; Fifth, use the thumb rule to measure the optimal size and excess size of China's foreign exchange reserves; Sixth, from the perspectives of reforming the reserve management system, optimizing the structure of reserve assets, innovating the use of foreign exchange reserves, purchasing gold and strategic material reserves, and establishing sovereign wealth funds, it put forward policy suggestions to promote the diversification of China's foreign exchange reserves. Chapter 4 provides a comprehensive elaboration and systematic analysis of the economic costs of China's foreign exchange reserves. The chapter begins with a concise framework for analyzing the cost of foreign exchange reserves; Second, from the perspective of interest costs on international financing and the return on investment on abandoned domestic fixed assets, the opportunity cost of holding China's foreign exchange reserves is measured. Third, to estimate the weighted average interest rates of China's two major off-setting instruments, such as central bank bills and statutory reserve deposits, and to measure the interest costs of China's monetary authorities' write-off operations since 2003; Fourth, analyze the economic distortion costs, asset loss risks, and financial stability risks faced by China's accumulation of foreign exchange reserves; Fifth, summarize the entire chapter and put forward policy recommendations to curb the growth of China's foreign exchange reserves and accelerate the diversification of foreign exchange reserves. The study finds that from 2001 to 2011, the average annual opportunity cost of China's foreign exchange reserves was US$114 billion, accounting for 2.60% of GDP, while the opportunity cost in 2011 reached US$315 billion, accounting for 4.33% of GDP. The write-off cost (weighted average interest rate on central bank bills and statutory reserve deposits) rose steadily from 0.97% in 2002 to 2.57% in 2008 and then to 1.57% in 2009-2011; From 2003 to 2011, the total interest costs paid by China's monetary authorities for the issuance of central bank bills, the repurchase of government bonds, and the increase in bank statutory reserve deposits were about 1.4,000-1.5 trillion yuan, accounting for 3.0%-3.2% of GDP in 2011. Chapter 5 comprehensively expounds and systematically evaluates the implementation status and fiscal effects of the three major financial stability programs in the United States, namely the troubled asset relief plan, the "two-house" takeover plan and quantitative easing monetary policy, and puts forward countermeasures and suggestions on the proportion of China's foreign exchange reserves allocated to US dollar assets and their structure. The chapter argues that the U.S. financial stability program consists mainly of a troubled asset relief program, a "two-house" takeover program, and quantitative easing monetary policy. The US Financial Stability Program not only promoted the financial stability and economic recovery of the United States, but also achieved a basic balance of fiscal balance and even a slight surplus in the sense of cash flow, avoiding the recurrence of the sovereign debt crisis in the United States. In recent years, the U.S. Financial Stability Program has provided the U.S. government with substantial interest and dividend income and significantly reduced its debt interest burden, but it has also brought huge contingent liabilities, such as "two-room" debt guarantee obligations, and the value of bonds held by the Federal Reserve will likely fall significantly due to the easing of exits. However, with the continued recovery of the US housing market, the gradual withdrawal of quantitative easing and the continuous compression of the "two-house" balance sheet, the scale of contingent liabilities generated by the US Financial Stability Program is expected to decline steadily. Considering that the fundamentals of the US economy are better than those of other developed countries, the US fiscal situation has gradually improved, and the proportion of US dollar assets invested in China's foreign exchange reserves should remain relatively stable in the coming period, and should not be significantly reduced. Chapter 6 provides an in-depth analysis of the steps and sequence of the Fed's quantitative easing (QE) entry and exit, systematically summarizes the mechanism of quantitative easing affecting US bond yields, comprehensively evaluates the channels through which quantitative easing exits US dollar assets and China's foreign exchange reserve assets, and puts forward policy suggestions for diversifying China's foreign exchange reserve assets. The entry or implementation of the Fed's quantitative easing policy can be roughly divided into five phases: pre-QE, QE1, QE2, Operation Distortion, and QE3. QE has an impact on US bond yields through nine channels: capital constraint channel, asset scarcity channel, duration risk channel, liquidity channel, safety premium channel, signal display channel, early repayment risk premium channel, default risk channel and inflation channel. The Fed's exit from QE may follow the following six steps: shrinking or even stopping the asset purchase program, stopping the reinvestment program of maturing bond principal, reverse distortion operations and asset swaps, recovering liquidity and selling Treasury bonds, raising the interest rate on excess reserves and the federal funds rate, and selling MBS. The impact of the Fed's withdrawal from quantitative easing on US dollar assets is reflected in: first, the yield of US bond assets will rise; Second, the price of U.S. bonds will fall, especially for bonds with longer maturities; Third, the US stock and real estate markets will temporarily decline or slow down, but will achieve a stable rebound; Fourth, under the combined effect of factors such as rising asset yields, good economic fundamentals and the liquidation of US dollar carry trades, the US dollar exchange rate will show a stable appreciation trend. The withdrawal of quantitative easing has a positive and negative effect on the safety of China's foreign exchange reserve assets, with the negative impact reflected in the decline in the price of long-term US bonds held by China due to rising yields, and the positive effect reflected in the appreciation of the US dollar and the potential upward momentum of US equities and real estate. In the coming period, the focus of China's foreign exchange reserve asset diversification is not to reduce the proportion of US dollar assets, but to adjust the US dollar asset structure, reduce the remaining US Treasury bonds with a longer duration, and appropriately increase the holdings of shorter-term US Treasury bonds, stocks, corporate bonds and real estate. Chapter 7 provides an in-depth comparative analysis of the investment behavior of major foreign investors in the long-term U.S. Treasury market. Based on annual data from 2002 to 2012, this chapter compares the different behavioral characteristics of major foreign investors in the US long-term Treasury market, discusses the possible influencing factors of different behavioral characteristics, and concludes that market forces and active asset allocation strategies formed by historical reasons, as well as changes in risk and return in financial markets, are the main reasons for the different behavioral characteristics of foreign investors. This is specifically reflected in: for China and Japan, which have large stocks of US long-term Treasury bonds, market forces similar to the role of market makers make their marginal investment behavior more cautious to avoid fluctuations in the value of their existing assets caused by corresponding Treasury bond price changes; The investment behavior of European countries shows a high risk appetite (such as income-oriented contrarian investment), which may be due to the fact that the proportion of long-term government bonds they hold is stable at a low level, allowing them to treat long-term US government bonds as a type of financial investment that diversifies risk. In addition, during the turbulence of the financial market, due to the dual impact of safe-haven demand and narrowing the yield spread of long-term and short-term government bonds, the asset allocation behavior of some foreign investors will also change greatly. Chapter 8 describes the investment behavior of Chinese investors in the US Treasury market from the perspective of vertical and horizontal comparison. The results of empirical analysis show that in the long run, the US dollar exchange rate is an influencing factor for Chinese investors' purchase of US Treasury bonds (the appreciation of the US dollar leads Chinese investors to increase their holdings of US Treasury bonds), and the US Treasury yield is not a long-term determinant of Chinese investors' purchase of US Treasuries. Although Chinese investors seem to play the role of price stabilizers in both the US Treasury market and the foreign exchange market from the perspective of investment behavior (when US Treasury yields rise or the US dollar appreciates, Chinese investors increase their purchases of US Treasuries), the increase in US Treasury holdings by Chinese investors is difficult to reverse the rise in US Treasury yields on the one hand, and on the other hand, it will lead to the depreciation of the US dollar. This means that Chinese investors are indeed stabilizers of the dollar price in the foreign exchange market, but not in the US Treasury market. The Vector Error Correction Model (VECM), which includes the return on financial assets, financial market risk and exchange rates, is significantly more explanatory than the purchase of US Treasury bonds by Chinese investors, which means that the latter may depend on a number of other factors. Chapter 9 compares and analyzes the investment experience of internationally renowned sovereign wealth funds with the Government of Singapore Investment Corporation (GIC), Temasek Singapore, Norwegian Government (Global) Pension Fund, and Abu Dhabi Investment Authority of the United Arab Emirates as examples, and puts forward enlightening policy suggestions for improving the operational efficiency and investment performance of China's sovereign wealth funds. These sovereign wealth investment institutions have experienced a relatively long process of development and evolution, mature investment concepts and capabilities, rich experience in international market operation, and unique experience in corporate target positioning, formulation and evolution of investment strategy, asset allocation structure, internal governance mechanism, risk management and control system, social image public relations, overcoming investment barriers, etc., which are worthy of serious study and reference by China's sovereign wealth funds, especially Chinese investment companies. Chapter 10 analyzes the changes in the overseas investment strategies of Chinese investment companies and the motivations behind them, and puts forward a series of suggestions for improving the management system and overseas investment strategies of Chinese investment companies. In recent years, CIC's overseas investment strategy has embodied some new characteristics, showing a clear trend of diversification in terms of asset portfolio, regional distribution, industry allocation, investment period and investment methods, such as the obvious shift of the investment industry from the traditional financial sector to the real estate industry, energy and resources industry, infrastructure, public utilities and logistics, agriculture and forestry and other real sectors, and the investment mode has shifted from highly dependent on external entrusted investment to both entrusted investment and proprietary investment. Risk appetite and return on investment in the portfolio have improved significantly. The main motives leading to the change of CIC's overseas investment strategy in recent years include: the uncertainty of the source of funds for CIC's foreign exchange reserves, the effective resolution of the contradiction between the responsibilities and powers of the Ministry of Finance and the central bank in the management of CIC, the conflict between CIC's domestic and foreign investment strategies, the profit competition between CIC and other state-owned investment institutions, and the fiercely competitive external investment environment. In order to improve the performance of overseas investment, China should clarify the legal status of CIC, formulate rules for injecting and withdrawing funds from CIC, improve the company's governance structure, and ensure the independence of the company's investment business; CIC should improve its own transparency, downplay the color of "state-owned" status, and abide by the investment rules of the host country. This book is one of the phased achievements of the innovation project "China's Outbound Investment Strategy" chaired by Professor Yao Zhizhong, and is the crystallization of the recent research results of some researchers of the International Investment Research Office of the Institute of World Economy and Politics. The specific division of labor in this book is as follows: Chapter 1: Wang Yongzhong, Pan Yuanyuan; Chapter 2: Zhang Ming, Wang Yongzhong, Pan Yuanyuan; Chapters 3, 4, 5 and 6: Wang Yongzhong; Chapter 7: Wang Yuzhe and Zhang Ming; Chapter 8: Zhang Ming; Chapter 9: Pan Yuanyuan, Wang Yongzhong, Zhang Ming; Chapter 10: Pan Yuanyuan, Zhang Ming, Wang Yongzhong. At the same time, I would like to thank Yao Zhizhong, Zhang Jinjie, Li Guoxue, Han Bing, Wang Bijun, Gao Bei, Liu Jie, Chen Bo and others for their valuable opinions. Of course, the text is at your own risk. Author, March 2015(AI翻译)

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GB/T 7714-2015 格式引文
张海亮,张明,潘圆圆.中国主权财富投资的理论、问题与对策[M].北京:中国社会科学出版社,2015
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张海亮,张明,潘圆圆.中国主权财富投资的理论、问题与对策.北京,中国社会科学出版社:2015E-book.
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张海亮,张明和潘圆圆(2015).中国主权财富投资的理论、问题与对策.北京:中国社会科学出版社
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