Abstract: Based on macro panel data from 2000 to 2020 across 109 countries, this paper, employing nonlinear regression and panel threshold regression methods, investigates the determinants of real effective exchange rates. Additionally, it explores the buffering effect of foreign exchange reserves and identifies their threshold values. The results indicate that real effective exchange rates are influenced by global economic shocks at both the trade and financial levels, with foreign exchange reserves providing a buffering effect against both types of global economic shocks. The heterogeneity analysis indicates that for countries with high levels of financial development, the impact of financial shocks is not significant, and more attention should be paid to trade shocks. For countries with lower levels of financial development, both types of shocks have significant impacts, and they should hold sufficient foreign exchange reserves to guard against these shocks. For countries with large industrial capacity and strong technological competitiveness, global economic shocks have no significant impact. However, for countries with large industrial capacity but weak technological competitiveness, there is an impact. The most significant impact of global economic shocks is on countries with small industrial capacity and weak technology. The threshold effect shows that when a country’s foreign exchange reserves as a proportion of GDP exceed a certain threshold, it can effectively resist global economic shocks. This paper provides policy implications for preventing global economic shocks, optimizing the scale of foreign exchange reserves, and maintaining the basic stability of our country’s exchange rate.

Key words: real effective exchange rate, foreign exchange reserves, global financial cycle, terms of trade[]

摘要： 基于2000~2020年间109个国家的宏观面板数据，本研究运用非线性回归与面板门槛回归方法，考察了实际有效汇率的影响因素,并分析了外汇储备的缓冲效应及其作用阈值。研究结果表明，实际有效汇率受到贸易与金融两个维度的全球经济冲击的影响，而充足的外汇储备有助于缓解这两类冲击带来的不利影响。异质性分析显示：对于金融发展水平较高的国家，金融冲击的影响并不显著，更应关注贸易冲击；对于金融发展水平较低的国家，两类冲击均具有显著影响，因此需持有更充足的外汇储备以防范冲击；对于工业体量大且技术竞争力强的国家，全球经济冲击未产生显著影响；对于工业体量大但技术竞争力弱的国家，全球经济冲击存在一定影响；而工业体量小、技术竞争力弱的国家，受全球经济冲击的影响最为显著。门槛效应分析进一步指出，只有当一国外汇储备占GDP的比例超过特定门槛值时，才能有效抵御全球经济冲击。本研究对于防范全球经济冲击、优化外汇储备持有规模、维护我国汇率基本稳定具有一定的政策启示意义。

关键词: 实际有效汇率, 外汇储备, 全球金融周期, 贸易条件