外汇储备持有成本的研究

发布时间：2019-06-28 08:34

【摘要】：外汇储备对一国经济的发展和稳定性发挥着重要作用,亚洲金融危机后,大部分国家和地区,特别是亚洲国家,纷纷快速增加其所持有的外汇储备数量。2010年末,我国外汇储备已达到28473.38亿美元,2011年末更是达到了31811.48亿美元,10年增长了近19倍,外汇储备规模的大幅增长,提高了我国在国际经济中的竞争力,增强了我国调节对外支付水平及稳定经济波动的能力,但巨额的储备和较快的增长给我国货币当局提出了新的风险管控的挑战,中国经济正发生着日新月异的变化,存在很多学者未曾研究的领域和未曾涉及的影响因素的探讨,对于我国汇率制度的改革以及如此大规模的资本流动等对外汇储备规模的影响都应重新分析,因此如何构建合理的外汇储备结构、测算外汇储备的持有成本是目前我国外汇管控的难点。本文基于对我国外汇储备结构的历史、现状进行了深入的研究分析,概括了我国外汇储备管理的结构和现状,通过剖析当前外汇储备管理存在的问题,分析造成这些问题的原因和特点,得出结论,正是由于这些问题的存在,从而使得我国的外汇储备管理处于效率低下的状态。在此基础上,引用外汇储备风险管理理论,加之西方经济学中关于外汇储备适度规模的理论,分析长期影响我国日益增长的外汇储备供给和需求的因素,对我国外汇持有成本进行测度,并建立了持有成本的测算模型,根据实证结果对我国外汇储备的规模效应、合理结构以及风险管理和控制模式的架构提出了具体的实施意见。
[Abstract]:Foreign exchange reserves play an important role in the economic development and stability of a country. After the Asian financial crisis, most countries and regions, especially Asian countries, have rapidly increased the amount of foreign exchange reserves they hold. At the end of 2010, China's foreign exchange reserves reached 2.847338 trillion US dollars, reached 3.181148 trillion US dollars at the end of 2011, increased nearly 19 times in 10 years, and the scale of foreign exchange reserves increased significantly. It has improved China's competitiveness in the international economy, strengthened China's ability to adjust the level of external payments and stabilize economic fluctuations, but the huge reserves and rapid growth have put forward new challenges to the monetary authorities of our country. China's economy is changing with each passing day, and there are many fields that have not been studied and the influencing factors that have not been involved. The reform of China's exchange rate system and the influence of such large-scale capital flows on the scale of foreign exchange reserves should be reanalyzed. Therefore, how to construct a reasonable foreign exchange reserve structure and calculate the holding cost of foreign exchange reserves is the difficulty of foreign exchange control in China at present. Based on the history and present situation of China's foreign exchange reserve structure, this paper summarizes the structure and present situation of China's foreign exchange reserve management, analyzes the existing problems of foreign exchange reserve management, analyzes the causes and characteristics of these problems, and draws a conclusion that it is precisely because of the existence of these problems that the foreign exchange reserve management of our country is in a state of inefficiency. On this basis, using the theory of foreign exchange reserve risk management and the theory of moderate scale of foreign exchange reserve in western economics, this paper analyzes the factors that affect the increasing supply and demand of foreign exchange reserve in China for a long time, measures the cost of foreign exchange holding in China, and establishes the calculation model of holding cost. According to the empirical results, the scale effect of foreign exchange reserve in China is established. The reasonable structure and the structure of risk management and control mode are put forward.
【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

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