人民币升值背景下我国外汇储备汇率风险控制研究

发布时间：2019-06-16 14:57

【摘要】：中国外汇储备近年来保持了高速的增长势头，截至2012年12月底，中国的外汇储备量达到了33,100亿美元，成为世界第一大外汇储备国。鉴于中国现在的发展阶段，继续扩大出口贸易，引进优良外资仍是我国近一阶段的发展方向。另一方面，充足的外汇储备对中国金融稳定和国际地位有重要作用。储备价值面临着严重的汇率风险而且存在较高机会成本，整体收益偏低。持有巨额的外汇储备面临诸多风险，主要包括汇率风险、投资收益损失风险、流动性风险和债务违约风险。近年来，随着人民币升值不断升值，美元不断贬值，以美元资产为主的我国外汇储备所面临的汇率风险尤为突出。在这一方面，我国目前理论界的研究还是主要集中在外汇储备规模适度性的管理上，对于如何控制包括汇率风险在内的外汇储备风险管理也仅停留在定性研究上，对于储备货币的币种研究缺乏必要的定量分析工具，需要我们进一度加深对此问题的研究。文章通过运用计量模型分析汇率对我国外汇储备的影响。在分析影响我国外汇储备币种结构诸多因素后，着手于我国外汇储备结构下的币种结构研究，结合我国外汇储备过多和双顺差的现实国情，从投资组合的角度分析最优的中国币种结构，从而最大限度的分散风险、降低风险。在借鉴日本先进外汇储备管理经验的基础上最后提出我国外汇储备管理的具体策略。
[Abstract]:China's foreign exchange reserves have maintained a rapid growth momentum in recent years. By the end of December 2012, China's foreign exchange reserves had reached US $3.31 trillion, making it the world's largest foreign exchange reserve country. In view of China's current stage of development, it is still the development direction of our country to continue to expand export trade and introduce excellent foreign capital. On the other hand, adequate foreign exchange reserves play an important role in China's financial stability and international status. The reserve value faces the serious exchange rate risk and has the high opportunity cost, the overall income is on the low side. Holding huge foreign exchange reserves faces many risks, including exchange rate risk, investment return loss risk, liquidity risk and debt default risk. In recent years, with the appreciation of RMB and the depreciation of the dollar, the exchange rate risk of China's foreign exchange reserves, which is dominated by US dollar assets, is particularly prominent. In this regard, the current theoretical research in China is still mainly focused on the management of the scale of foreign exchange reserves, for how to control the risk management of foreign exchange reserves, including exchange rate risk, also only stays in the qualitative research, for the lack of necessary quantitative analysis tools for the study of reserve currency, we need to deepen the study of this problem. This paper analyzes the influence of exchange rate on China's foreign exchange reserves by using econometric model. After analyzing many factors that affect the currency structure of foreign exchange reserve in China, this paper studies the currency structure under the structure of foreign exchange reserve in China, and analyzes the optimal currency structure in China from the point of view of investment portfolio in combination with the realistic situation of excessive foreign exchange reserve and double surplus, so as to maximize the risk dispersion and reduce the risk. On the basis of drawing lessons from the experience of advanced foreign exchange reserve management in Japan, this paper finally puts forward the concrete strategies of foreign exchange reserve management in China.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6

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