中国外汇储备适度规模与风险预警研究

发布时间：2018-05-09 08:19

本文选题：外汇储备 + 适度规模　；参考：《首都经济贸易大学》2012年硕士论文

【摘要】：外汇储备是一个国家财富与实力的象征，它是平衡一国国际收支的重要手段，同时也担任着干预货币市场，维持汇率稳定的职责，在目前人民币尚未成为世界流通货币的前提下，我们必须持有一定的外汇储备以备不时只需，辩证唯物主义认为，任何事物都有两面性，外汇储备不足会使我们无法满足正常的用汇需要，而过多的持有会造成资源的浪费以及增加我们的持有成本。在我国的外汇储备迅猛增长的大背景下，如何测算中国外汇储备的适度规模以及对外汇储备的风险预警是本研究要解决的问题，本文立足于经典的计量回归模型和信号灯模型，运用协整理论、蒙特卡罗模拟以及新发展的非参数核密度估计等方法等对我国的外汇储备适度规模测算及风险预警进行研究，为此所做的改进与创新有：1.采用动态调整模型对我国外汇储备规模进行实证分析，运用协整理论建立我国外汇储备的需求模型和误差修正模型，并在此基础上建立一阶滞后的外汇储备动态调整模型来对我国外汇储备的规模进行实证分析，这样使我们的计算结果更有参考价值；2.提出运用非参数核密度估计方法来测算我国外汇储备超过警戒线的概率，在事件不符合任何经典分布时，采用新发展的非参数核密度估计方法来刻画数据的概率密度分布，建立模拟样本的分布密度函数，在非参数分布估计基础上设计二分递归算法，借助数值计算机技术实现风险事件发生概率测算，本文主要采用此方法对我国的外汇储备风险指标超过警戒线的概率进行测算。3.建立我国外汇储备风险指标超过警戒线概率的信号灯预警模型，本文采用蒙特卡罗方法模拟我国外汇储备风险指标动态轨迹，进而建立指标模拟值分布，，然后运用二分递归算法计算出我国外汇储备风险指标超过警戒线的概率，最终根据外汇储备风险超过警戒线的概率划分风险等级、设置信号灯颜色来揭示我国外汇储备的各项指标风险以及总体风险。本文主要运用计量模型、计算机编程，统计概率计算和非参数估计方法等对我国外汇储备的适度规模的测算与风险预警进行研究，突出了外汇储备研究的多学科、可量化和可实现的特色，为我国政府制定外汇储备政策等提供了方法性依据和可行性参考。
[Abstract]:The foreign exchange reserve is a symbol of a country's wealth and strength. It is an important means of balancing a country's balance of payments. At the same time, it also serves as a duty to intervene in the currency market and maintain the stability of the exchange rate. Now that the RMB has not yet become the world's circulating currency, we must hold a certain amount of foreign exchange reserves in case from time to time, dialectical materialism holds that everything has two sides. Insufficient foreign exchange reserves will make us unable to meet the normal use of foreign exchange, and excessive holdings will lead to a waste of resources and increase the cost of our holdings. Under the background of the rapid growth of China's foreign exchange reserves, how to measure the appropriate scale of China's foreign exchange reserves and how to predict the risks of foreign exchange reserves are the problems to be solved in this study. This paper is based on the classical econometric regression model and signal lamp model. Based on the co-integration theory, Monte Carlo simulation and the newly developed non-parametric kernel density estimation, this paper studies the moderate scale of foreign exchange reserves and the risk early warning in China. The improvement and innovation of this method are as follows: 1. The dynamic adjustment model is used to analyze the scale of China's foreign exchange reserve, and the demand model and error correction model of China's foreign exchange reserve are established by co-finishing theory. On this basis, a first-order dynamic adjustment model of foreign exchange reserve is established to analyze the scale of China's foreign exchange reserve, which makes our calculation results more valuable. A nonparametric kernel density estimation method is proposed to estimate the probability of China's foreign exchange reserves exceeding the warning line. When the event does not conform to any classical distribution, the new developed nonparametric kernel density estimation method is used to describe the probability density distribution of the data. The distribution density function of simulated samples is established, and a binary recursive algorithm is designed on the basis of nonparametric distribution estimation, and the probability of occurrence of risk events is calculated by means of numerical computer technology. This paper mainly uses this method to measure the probability that the risk index of foreign exchange reserve exceeds the warning line. In this paper, the signal lamp warning model of the risk index of China's foreign exchange reserve exceeding the warning line is established. The Monte Carlo method is used to simulate the dynamic trajectory of the risk index of China's foreign exchange reserve, and then the distribution of the simulated value of the index is established. Then using binary recursive algorithm to calculate the risk index of China's foreign exchange reserves beyond the warning line probability, finally according to the risk of foreign exchange reserves beyond the warning line risk classification. To reveal the index risk and overall risk of China's foreign exchange reserve. In this paper, we mainly use econometric model, computer programming, statistical probability calculation and non-parametric estimation methods to study the appropriate scale of foreign exchange reserves and risk early warning in China, and highlight the multi-discipline of foreign exchange reserve research. The quantifiable and realizable features provide the method basis and feasible reference for our government to formulate the foreign exchange reserve policy.
【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】：2012
【分类号】：F832.6

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