中国外汇储备适度规模与结构优化研究

发布时间：2018-05-18 02:06

本文选题：外汇储备 + 适度规模　；参考：《云南大学》2013年博士论文

【摘要】：21世纪以来,由于国际收支的贸易顺差、直接投资净流入和热钱流入等因素影响,我国外汇储备余额激增,截至2012年底,国家外汇储备余额达3.31万亿美元,连续七年位居世界第一。文章在梳理外汇储备相关理论的基础上,深入分析我国外汇储备的增长现状、特点以及储备来源结构的变化情况,探讨了我国外汇储备快速增长的深层次原因,并从实证的角度对我国外汇储备的适度规模进行测算与研判,得出结论认为：无论采用何种方法进行测算,我国外汇储备规模大大超过合理水平已是一个不争的事实。作为本文研究的核心内容,文章重点分析了我国外汇储备的币种结构和资产结构,并探讨其存在的风险与问题,得出结论认为我国外汇储备币种结构单一,资产结构过于集中于美元债券,有待于进一步调整与优化。通过风险价值对外汇储备所面临的汇率风险进行测度,发现持有英镑、日元和欧元的风险分别是美元的2.64倍、2.24倍、1.61倍,因此从实证的角度表明了我国持有规模过大的美元资产也有其一定的合理性。在外汇储备币种结构优化配置方面,本文结合Heller-Knight模型和Dooley模型,通过实证分析得出了我国外汇储备的最优币种权重。而在外汇储备资产结构优化配置方面,以美元资产为例开展实证研究,认为我国应在保证储备资产的安全性和流动性的基本前提下,适当提高对美国AAA级公司债券的投资额,从而提高整体资产组合的收益率。此外,由于股权投资有助于实现中国经济增长模式的调整与转变,因此适当提高股权投资比例也是美元储备资产的调整方向之一。本文认为只有在源头上保持我国外汇储备的合理增长,并把富余的非储备性质外汇储备进行多样化的实物资产组合,这样才能减小难以控制的风险。因此,文章的最后根据全文研究成果提出了中国外汇储备的优化路径及对策选择,具体包括：保持外汇储备的合理规模、优化外汇储备币种结构和资产结构、增加黄金实物储备、完善外汇储备管理制度等。
[Abstract]:Since the 21st century, due to the trade surplus of the balance of payments, the net inflow of direct investment and the inflow of hot money, the balance of China's foreign exchange reserves has increased sharply. By the end of 2012, the balance of the state's foreign exchange reserves had reached 3.31 trillion US dollars. It ranks first in the world for seven consecutive years. On the basis of combing the relevant theories of foreign exchange reserve, this paper deeply analyzes the current situation of foreign exchange reserve growth in China, its characteristics and the change of reserve source structure, and probes into the deep-seated reasons for the rapid growth of foreign exchange reserve in China. From the perspective of empirical analysis, it is concluded that it is an indisputable fact that the scale of China's foreign exchange reserves exceeds the reasonable level, no matter what method is adopted to measure and judge the appropriate scale of foreign exchange reserves in China. As the core of this paper, the paper analyzes the currency structure and asset structure of China's foreign exchange reserve, discusses the risks and problems, and concludes that the currency structure of China's foreign exchange reserve is unitary. The asset structure is too concentrated in dollar bonds, waiting to be further adjusted and optimized. By measuring the exchange rate risk faced by foreign exchange reserves through the value of risk, it is found that the risk of holding sterling, yen and euro is 2.64 times 2.24 times that of the US dollar and 1.61 times respectively. Therefore, from the empirical point of view, our country holds too large US dollar assets also has its certain rationality. In the aspect of optimal allocation of foreign exchange reserve currency structure, this paper combines Heller-Knight model and Dooley model, and obtains the optimal currency weight of China's foreign exchange reserve through empirical analysis. In the aspect of optimizing the allocation of foreign exchange reserve assets, taking US dollar assets as an example, the author holds that our country should increase the investment in the AAA grade corporate bonds of the United States on the premise of ensuring the safety and liquidity of the reserve assets. Thus raising the return on the overall portfolio. In addition, since equity investment is conducive to the adjustment and transformation of China's economic growth model, a proper increase in the proportion of equity investment is also one of the adjustment directions for US dollar reserve assets. This paper holds that only by maintaining the reasonable growth of China's foreign exchange reserves at the source and diversifying the surplus non-reserve foreign exchange reserves into physical assets can the risks that are difficult to control be reduced. Therefore, according to the research results of this paper, the paper puts forward the optimal path and countermeasures of China's foreign exchange reserves, including: maintaining the reasonable scale of foreign exchange reserves, optimizing the currency structure and asset structure of foreign exchange reserves. We will increase gold reserves and improve the foreign exchange reserve management system.
【学位授予单位】：云南大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.6

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