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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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