论结构优化与中国外汇储备管理战略

发布时间：2018-05-11 17:55

本文选题：外汇储备 + 结构优化　；参考：《东北师范大学》2013年博士论文

【摘要】：外汇储备管理本质上应处理好储备资产的规模和结构问题。面对汇率波动、利率变化、潜在投资损失和货币政策失效风险，中国的巨额外汇储备深陷规模调整和结构优化困境，储备资产安全状况甚为堪忧，迫切需要建立一套具有中国特色的外汇储备战略管理体系。目前，对外汇储备适度规模和币种结构调整的专门分析较多，但对储备资产结构调整及对外资产负债协同管理的研究仍显不足。论结构优化与中国外汇储备管理战略，正是在这样的背景下对上述储备管理的四个关键问题展开的全面讨论；旨在探索一套具有理论基础、现实、可操作性强的中国外汇储备管理战略。第一章文献回顾，从外汇储备适度规模、币种结构调整及储备管理三方面分别梳理了相关文献的发展脉络。第二章中国外汇储备规模优化，从四个方面探讨了外汇储备规模管理问题：首先，在小国开放模型基础上，借助纯粹符号约束的脉冲响应方法，实证分析了外汇储备累积对宏观经济的影响；其次，从功能论出发，借助经验分析、保险合同模型、小国开放模型和历史分析方法，对用于满足交易性、预防性、保证性和管理性需求的中国外汇储备适度规模展开讨论；继而，分析了外汇储备与主权财富基金的关系；最后，探讨了中国外汇储备规模优化调整的途径。研究发现：外汇储备累积有助于中国举借更多外债，在一定程度上引起短期外债对长期外债的替代；有助于提高国内产出，确实形成了一定短期通胀压力，但对降低失业率起到了积极作用；应以“8.1个月进口+短期外债的1.91倍+实际利用外资的15%”作为标准对中国外汇储备规模的适度性进行动态评价；“发行特别国债购买外汇储备向中投公司注资”可以成为中国外汇储备规模管理的“常态化”操作模式。第三章中国外汇储备币种结构优化，从“实然”和“应然”结构及调整路径三方面探讨了币种构成管理问题：首先，综合美国财政部TIC报告和国际货币基金组织COFER数据探索了中国外汇储备的可能币种构成；其次，在均值——方差分析框架下，借助DCC-GARCH模型模拟收益率的时变相关关系，计算了具有最小方差风险的中国外汇储备最优币种构成；最后，使用动态优化方法构建了外汇储备币种结构调整的最优路径。研究发现：中国外汇储备可能由60%~65%的美元、25%~30%的欧元、5%~7%的英镑及3%~5%的日元资产构成；疲弱的美元以及过高的美元资产比重已成为中国外汇储备风险的重要来源；按动态最优路径将部分美元资产转换为日元可以有效降低风险，切不可盲目减持欧元。第四章中国外汇储备资产结构优化，透过资产分布和期限结构两个视角探讨了外汇储备投资管理问题：首先，综合国际货币基金组织GDDS模板、中国国际投资头寸表和美国财政部TIC报告，参考Brazil外汇储备资产构成，剖析了中国外汇储备的可能资产分布和投资期限结构；其次，借助Aizenman-Glick模型和Stackelberg模型的基本思想以及CIR平方根模型分别探讨了外汇储备在低风险和高风险资产间以及在长短期债券间的配置问题；最后，探讨了中国外汇储备资产结构优化调整的方向。研究发现：中国外汇储备可能由95%的证券、2%的货币和存款以及3%的其他金融工具构成；证券资产由90%的长期债券、1%的短期债券以及9%的股权组成；中国外汇储备的股权投资仍显不足；外汇储备对美国国债的投资不存在市场择时问题；为提高投资效益，应当对外汇储备进行“分档”管理。第五章中国外汇储备与外债协同优化，首先讨论了外汇储备和外债协同管理的必要性；其次，透彻分析了中国外债结构；最后，以固定收益投资组合理论为基础，，初步探索了免疫策略和现金流匹配策略在中国外汇储备投资管理中的应用。研究发现：外汇储备和外债协同优化对中国经济稳定发展至关重要；从期限结构和币种构成来看，2012年6月末，中长期外债占25.08%，短期外债占74.92%；美元债务占77.77%，欧元债务占7.51%，日元债务占6.99%，其他债务合计占7.73%；外汇管理局应根据目标外债的久期调整储备资产久期，应权衡储备资产现金流和外债现金流。第六章中国外汇储备管理战略，从短期、中期和长期三个层面以及战略和战术两个维度，提出了中国外汇储备优化管理的战略构想。在短期对策方面，应建立战略外汇储备风险管理框架、制定适度规模的动态评价标准、按照动态最优路径调整币种结构、完善委托经营体制、构建结构优化指数、完善以风险管理为核心的外汇储备管理体系；在中期战略方面，要坚定不移地推进以超额外汇储备支持战略物资储备制度建设、积极参与东亚外汇储备库建设、尽快研究以过剩外汇储备充实养老金的途径和方法、拓展外汇储备投资类别，实现国家资源的全球战略配置、有限参与欧洲救助计划；在长期战略方面，应稳步推进人民币国际化、加紧变“存汇于国”为“藏汇于民”、努力实现内外经济均衡发展以及中国与世界经济再平衡。
[Abstract]:The management of foreign exchange reserves should deal with the scale and structure of reserve assets in essence. Facing the fluctuation of exchange rate, the change of interest rate, the potential investment loss and the risk of monetary policy failure, China's huge foreign exchange reserves are in a dilemma of scale adjustment and structural optimization, and the security situation of reserve assets is very worrying, and it is urgent to establish a set of Chinese special. At present, there are many special analyses on the moderate scale of foreign exchange reserve and the adjustment of currency structure, but the research on the adjustment of reserve assets structure and the coordination management of foreign assets and liabilities is still inadequate. The four key issues are discussed comprehensively, aiming at exploring a set of theoretical, realistic and operational strategies for China's foreign exchange reserve management.
The first chapter reviews the development of the relevant documents from three aspects, namely, moderate scale of foreign exchange reserves, currency structure adjustment and reserve management.
The second chapter is to optimize the scale of China's foreign exchange reserve, and discuss the problem of the scale management of foreign exchange reserve from four aspects. First, on the basis of the small country open model, the effect of the accumulation of foreign exchange reserve on the macro-economy is empirically analyzed with the impulse response method of pure symbol constraint. Secondly, from the function theory, with the aid of experience analysis, the insurance contract is made. The model, the small country open model and the historical analysis method, discuss the appropriate scale of China's foreign exchange reserve to meet the trading, preventive, guarantee and management needs. Then, the relationship between foreign exchange reserve and sovereign wealth funds is analyzed. Finally, the ways of optimizing the scale of China's foreign exchange reserve are discussed. The accumulation of remittance reserves helps China to borrow more foreign debt, to some extent, to a certain extent, it causes short-term external debt to replace the long-term external debt; it helps to improve domestic output, and has indeed formed a certain short-term inflationary pressure, but has played a positive role in reducing the unemployment rate; it should be "1.91 times the 8.1 month import + short-term foreign debt" + 15% of the actual use of foreign capital. As a standard, a dynamic evaluation of the moderation of China's foreign exchange reserves is made. "Issuing special treasury bonds to buy foreign exchange reserves to invest in CIC" can become a "normalization" operation mode for the scale management of China's foreign exchange reserves.
The third chapter is to optimize the currency structure of China's foreign exchange reserve. From the three aspects of "real" and "deserved" structure and the adjustment path, it discusses the problem of currency composition management. First, the TIC report of the United States Treasury Department and the COFER data of the International Monetary Fund have explored the possible currency composition of China's foreign exchange reserves; secondly, in the mean variance component. Under the framework of the framework, the DCC-GARCH model is used to simulate the time-varying correlation of the rate of return, and the optimal currency composition of China's foreign exchange reserve with minimum variance risk is calculated. Finally, the optimal path for the adjustment of the currency structure of foreign exchange reserves is constructed by using dynamic optimization method. The study finds that China's foreign exchange reserves may be from the dollar of 60%~65%, 25%~30% The euro, the 5%~7% pound and the 3%~5% yen assets, the weak dollar and the high dollar assets have become an important source of the risk of China's foreign exchange reserves, and the conversion of some dollar assets into yen on a dynamic optimal path can reduce the risk effectively and can not be blind to reduce the euro.
The fourth chapter is to optimize the structure of China's foreign exchange reserve assets, and to explore the problems of foreign exchange reserve investment management through the two perspectives of asset distribution and term structure. First, the GDDS template of the International Monetary Fund, China's international investment position list and the TIC report of the US Treasury Department, with reference to the Brazil foreign exchange reserve assets, have analyzed the Chinese foreign exchange reserves. The possible asset distribution and the term structure of the investment are prepared. Secondly, with the basic ideas of the Aizenman-Glick model and the Stackelberg model and the CIR square root model, the problem of the allocation of foreign exchange reserves between low risk and high risk assets and in the long and short term bonds is discussed respectively. Finally, the optimization of the structure of China's foreign exchange reserve assets is discussed. The study found that China's foreign exchange reserves may consist of 95% securities, 2% currencies and deposits and 3% other financial instruments; securities assets are composed of 90% long-term bonds, 1% short-term bonds and 9% shares; the stock investment of China's foreign exchange reserves is still inadequate; the investment in foreign exchange reserves does not exist for US Treasury bonds. In order to improve the investment efficiency, the foreign exchange reserve should be managed according to the market.
The fifth chapter is the coordination optimization of foreign exchange reserve and foreign debt in China. First, the necessity of foreign exchange reserve and foreign debt coordination management is discussed. Secondly, the Chinese foreign debt structure is thoroughly analyzed. Finally, based on the fixed income investment portfolio theory, the immunization strategy and cash flow matching strategy should be preliminarily explored in the management of China's foreign exchange reserve investment. The study found that the cooperation optimization of foreign exchange reserves and foreign debt is crucial to the stable development of China's economy. From the term structure and currency composition, at the end of 6 month of 2012, the medium and long term foreign debt accounts for 25.08%, the short-term external debt accounts for 74.92%, the dollar debt accounts for 77.77%, the euro debt is 7.51%, the yen debt is 6.99%, the other debts are 7.73%; foreign exchange management The bureau should adjust the reserve assets duration according to the duration of the target foreign debt, and should balance the cash flow of the reserve assets and the foreign debt cash flow.
The sixth chapter of China's foreign exchange reserve management strategy, from the short-term, medium-term and long-term three levels, as well as the strategy and tactics of the two dimensions, put forward the strategic concept of China's foreign exchange reserve optimization management. In the short term countermeasures, the strategic foreign exchange reserve risk management framework should be set up, the dynamic evaluation criteria of the scale of suitability are set up, and the dynamic optimal path should be made in accordance with the dynamic optimal path. We should adjust the structure of the currency, perfect the system of entrusted operation, construct the index of structural optimization, perfect the management system of foreign exchange reserve with risk management as the core. In the medium term strategy, we should unswervingly promote the construction of the strategic material reserve system with excess foreign exchange reserve, actively participate in the construction of the East Asian foreign exchange reserve bank, and study the surplus outside as soon as possible. In the long-term strategy, we should steadily promote the internationalization of the RMB, intensify the change of the exchange of foreign exchange to the country, and strive to achieve the balanced development of the internal and external economy and the balanced development of the internal and external economy. The economic rebalance between the country and the world.

【学位授予单位】：东北师范大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.6

【引证文献】