次贷危机后中国外汇储备结构的优化配置研究

发布时间：2018-02-24 16:03

本文关键词： 外汇储备外汇储备结构币种结构资产结构优化配置　出处：《内蒙古大学》2012年硕士论文　论文类型：学位论文

【摘要】：外汇储备是衡量一个国家综合国力的重要指标,它具有调节国际收支、保持汇率稳定、维持本币的国际信誉、应对国际资本流动的不确定性等重要功能。2007年美国次贷危机爆发,美元加速贬值。我国的外汇储备资产因规模不断扩大而面临着不断上升的机会成本,因币种结构过于集中于美元和美元资产投资结构的不平衡而遭受了巨大的储备资产价值“缩水”的损失。本文将从我国外汇储备币种结构和美元资产投资结构优化配置入手,研究我国外汇储备结构存在的问题,并结合基本研究结论和外国外汇储备管理经验,为我国外汇储备结构的管理提出有意义的政策建议。我国的外汇储备币种结构主要以美元为主,币种结构单一。单一的币种结构不仅增加了我国外汇储备的汇率风险,而且不利于外汇储备调节国际收支等职能的顺利实施。本文结合外汇储备币种结构管理的资产组合理论模型(M-V模型),海勒—奈特模型和杜利模型三个理论模型,综合考虑风险收益、对外贸易结构、外债结构、外商直接投资和各国经济实力五个因素,构建模型实证分析我国外汇储备币种结构的最优比例。实证结构显示,我国应适当降低美元资产在我国外汇储备中的比例,相应提高其他储备货币的比例,逐步实现我国外汇储备币种结构的多元化。美元资产在我国外汇储备中占据着绝对的主导地位,其资产结构的合理性影响着我国外汇储备整体的运行效率。文中在M-V模型理论框架下对2003年至2010年美国短期国债、中期国债、长期国债、抵押贷款债券、股票和AAA级公司债券进行研究,分析美元资产配置结构的合理性。实证研究结果认为我国的美元资产可以在保证基本的流动性和安全性前提下,适当提高AAA级公司债券的投资,以提高整个组合收益,分散资产风险。另外,股权投资也是我国美元储备资产的调整方向之一。最后从政策角度,本文提出了渐进式的调整我国外汇储备结构,因为迅速大规模的调整必将给国际经济带来不小的冲击。从实证分析结论中,我国应适当降低美元资产在我国外汇储备中的比重,并进行美元储备资产的投资结构优化：增加股权投资和信誉较好的公司债券在我国外汇储备中的比例,以提高我国外汇储备资产的整体收益率。借鉴英国、美国、新加坡和欧元区外汇储备管理的经验,我国在外汇储备管理体制方面也应该有所转变和完善,实施积极的外汇储备管理体制,加强外汇储备风险管理。
[Abstract]:The foreign exchange reserve is an important index to measure the comprehensive national strength of a country . It has the important functions of regulating the balance of payments , keeping the exchange rate stable , maintaining the international reputation of the functional currency and dealing with the uncertainty of international capital flows . The currency structure of our country ' s foreign exchange reserve is mainly in the US dollar , the currency structure is single . The single currency structure not only increases the exchange rate risk of our country ' s foreign exchange reserves , but also is not conducive to the smooth implementation of the functions of foreign exchange reserve to adjust the balance of balance of payments . The empirical structure shows that our country should reduce the proportion of the dollar assets in our foreign exchange reserve , and increase the proportion of other reserve currencies , and gradually realize the diversification of the currency structure of our country ' s foreign exchange reserve . The United States dollar assets occupy an absolute dominant position in our country ' s foreign exchange reserves . The rationality of its assets structure affects the overall operation efficiency of our country ' s foreign exchange reserves . In the framework of M - V model , this paper studies the U.S . short - term treasury bonds , medium - term treasury bonds , long - term treasury bonds , mortgage bonds , shares and AAA - level corporate bonds to analyze the rationality of the dollar asset allocation structure . At last , from the policy angle , this paper puts forward the gradual adjustment of our country ' s foreign exchange reserve structure , because the rapid and large - scale adjustment will bring little impact to the international economy . From the conclusion of the empirical analysis , our country should reduce the proportion of the US dollar assets in our country ' s foreign exchange reserve , and optimize the investment structure of the US dollar reserve assets . By drawing on the experience of the foreign exchange reserve management in the UK , the United States , Singapore and the eurozone , our country should also change and perfect the foreign exchange reserve management system , implement the active foreign exchange reserve management system and strengthen the risk management of foreign exchange reserve .

【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6

【参考文献】