基于DCC—GARCH模型的外汇储备结构动态调整研究

发布时间：2018-03-30 12:31

本文选题：DCC—GARCH　切入点：外汇储备　出处：《中南财经政法大学学报》2010年03期

【摘要】：本文构建的基于DCC—GARCH的外汇储备结构动态调整模型,包括三项改进:采用动态条件自相关多元GARCH模型度量风险、引入利率平价反映可比货币收益率及将黄金视为外汇储备替代资产纳入到统一分析框架中。实证表明,最优外汇资产组合时变特征并不明显,中国完全可以在不引起国际金融市场大幅震荡的情况下有条不紊地调整资产结构。研究还发现,过去可能存在着高估欧元地位的现象;次贷危机发生后美元权重没有明显下降,这一反常结果说明国际储备体系需要根本性改革。此外,寻找低点适当增持黄金,对改善中国储备资产结构是十分有必要"补修"的一课。
[Abstract]:The dynamic adjustment model of foreign exchange reserve structure based on DCC-GARCH is constructed in this paper, which includes three improvements: using dynamic condition autocorrelation multivariate GARCH model to measure risk, The introduction of interest rate parity to reflect the rate of return of comparable currencies and the inclusion of gold as a substitute asset for foreign exchange reserves are included in the unified analytical framework. The empirical results show that the time-varying characteristics of the optimal foreign exchange portfolio are not obvious. It is perfectly possible for China to methodically adjust its asset structure without causing a sharp shock in the international financial markets. The study also found that in the past there may have been an overestimation of the status of the euro; the weight of the US dollar has not decreased significantly since the subprime mortgage crisis. This anomalous result suggests that the international reserve system needs fundamental reform. In addition, finding a low point to increase gold holdings appropriately is a necessary lesson for improving China's reserve asset structure.
【作者单位】：北京航空航天大学经管学院;密西根大学罗斯商学院;
【基金】：国家自然科学基金资助项目“中国国家外汇资产的三层定量分级与结构动态调整:理论及实证研究”(70803003) 教育部人文社会科学基金项目“人民币升值进程中资本项目渐进有序开放研究”(07JC790053)
【分类号】：F832.6

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