外汇储备资产最优化配置研究

发布时间：2018-05-13 19:25

本文选题：外汇储备 + 币种结构　；参考：《复旦大学》2013年硕士论文

【摘要】：本文以国际贸易中进口情况、外商直接投资来源地、外债结构、稳定汇率、特别提款权构成及国家经济实力等因素估算我国外汇储备最优化币种结构,通过大量数据的整理与计算,得出我国最优外汇储备币种结构为美元占比60.96%,欧元占比19.82%,日元占比14.97%,英镑占比4.25%。并在以挪威、新加坡等国积极管理外汇储备的基础上,把我国外汇资产配置分为货币市场类,固定收益类与权益类三种类型。把外汇储备资产配置分成不同的层次,即币种最优化层次和资产结构最优化层次,再通过引进马科维茨均值方差模型(MV模型)求解出资产结构最优化权重。外汇储备最优资产结构分类中货币市场类资产占比4.42%,固定收益类资产占比78.80%,权益类资产占比16.79%。最后,利用中国外汇储备12年来的真实储备数据,以本文估计的最优币种结构与资产结构权重,测算出了各年的最优外汇储备币种资产与结构资产具体规模,对我国外汇储备管理具有较好的启示作用。
[Abstract]:Based on the import of international trade, the source of foreign direct investment, the structure of foreign debt, the stable exchange rate, the constitution of special drawing rights and the economic strength of the country, this paper estimates the optimal currency structure of our foreign exchange reserve. Through the arrangement and calculation of a large amount of data, it is concluded that the optimal currency structure of China's foreign exchange reserve is 60.96% of the dollar and the euro. Compared to 19.82%, the Japanese yen accounts for 14.97%, and the pound takes up 4.25%., and on the basis of actively managing foreign exchange reserves in Norway, Singapore and other countries, we divide our foreign exchange assets into money market, fixed income and equity, and divide the allocation of foreign exchange reserve assets into different levels, that is, the optimal level of currency and the optimal asset structure. By introducing the Markowitz mean variance model (MV model), the optimal weight of asset structure is solved. In the classification of the best assets structure of foreign exchange reserve, the ratio of money market assets is 4.42%, the assets of fixed income are 78.80%, the equity assets are compared with 16.79%., and the real reserve data of China's foreign exchange reserve for 12 years is used. In this paper, the optimal currency structure and the weight of the asset structure are estimated, and the specific size of the best foreign exchange reserve assets and structural assets in each year is calculated, which has a good inspiration for China's foreign exchange reserve management.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6

【参考文献】