中国外汇储备及其投资美国国债分析

发布时间：2018-07-10 11:06

本文选题：外汇储备 + 币种结构　；参考：《中国石油大学(华东)》2015年硕士论文

【摘要】：外汇储备是政府持有的以外币表示的债权,是衡量一个国家经济实力强弱的重要标志之一,对提高本币国际地位,促进国际金融合作有重要意义。近年来,我国外汇储备不断增长,截止2013年底,外汇储备额已达到3.82万亿美元,稳居世界第一,如此巨额的外汇储备不禁引发担忧。本文从我国外汇储备的币种结构和投资美国国债两方面探究高额外汇储备的情况。我国外汇储备的币种结构从最初的钉住单一的美元资产渐渐转向多元化的趋势。根据COFFER提供的数据分析,美元、欧元、日元和英镑是我国外汇储备最主要的四种资产。本文选取这四种货币资产兑换人民币的汇率中间价作为历史数据,计算出相应资产的收益率,并引入Copula函数分别估计货币资产之间的相关关系,确定资产组合的联合分布函数,以求出每一种货币资产组合对应的收益,最后运用VaR法,估算出外汇资产组合的风险价值。从风险管理的角度,结论显示,随着美元权重的增加,VaR的取值越来越小;欧元、日元和英镑三种货币之间权重变化,对风险价值的影响不显著,表明中国外汇储备受美国的影响仍较大,还未真正实现多样化。由于我国外汇储备中美元资产大都用于投资美国国债,因此最后一部分我们从横向和纵向分别探讨中国投资美国国债的情况。一方面,选取了中长短期国债共9只,对国债的利率数据处理,得到收益率,我们运用统计知识,分别建立中长短期国债收益率的GARCH模型,通过预测和误差计算,最终得到较为合理的描述收益率的GED-GARCH模型,通过模型分析,我们认为从收益-风险看,应适当的增持中长期美国国债。另一方面,借助ADF检验、Granger检验,采用多元回归方法,建立美国国债持有量与各个变量,如CPI、汇率、利率、外汇储备等,之间的具体模型。通过研究分析,我认为外汇储备总量应得到控制,其币种结构应逐渐的调整,使其向多元化方向发展;投资方向应有所调整,拓展海外市场,改善投资策略。
[Abstract]:Foreign exchange reserve is a creditor's right held by the government in foreign currency. It is one of the important symbols to measure the strength of a country's economic strength. It is of great significance to improve the international status of the national currency and promote international financial cooperation. China's foreign exchange reserves have grown in recent years, reaching $3.82 trillion by the end of 2013, ranking first in the world. This paper probes into the situation of high foreign exchange reserves from the currency structure of China's foreign exchange reserves and the investment in US Treasury bonds. The currency structure of China's foreign exchange reserves has gradually changed from a single dollar asset pegged to a diversified trend. The dollar, euro, yen and sterling are the four main assets in China's foreign exchange reserves, according to data from COFER. This paper selects the exchange rate of these four kinds of currency assets to exchange RMB as the historical data, calculates the return rate of the corresponding assets, and introduces Copula function to estimate the correlation between the monetary assets, and determines the joint distribution function of the portfolio. In order to find out the corresponding return of each kind of monetary asset portfolio, the VaR method is used to estimate the risk value of foreign exchange portfolio. From the point of view of risk management, the conclusion shows that the value of VaR becomes smaller and smaller with the increase of the weight of US dollar, and the influence of the weight between euro, yen and sterling on the value of risk is not significant. This indicates that China's foreign exchange reserves are still heavily influenced by the United States and have not truly diversified. Since most of the US dollar assets in China's foreign exchange reserves are used to invest in US Treasuries, the last part is to discuss the situation of China's investment in US Treasury bonds horizontally and vertically. On the one hand, we select 9 medium and short term treasury bonds to process the interest rate data and get the rate of return. We use statistical knowledge to establish the GARCH model of the medium, long and short term bond yield respectively, through forecasting and error calculation. Finally, we get a more reasonable GED-GARCH model to describe the yield. Through the analysis of the model, we think that we should appropriately increase our holdings of medium- and long-term Treasury bonds from the perspective of income and risk. On the other hand, with the aid of ADF test and Granger test, the concrete model between the holdings of US Treasuries and various variables, such as CPI, exchange rate, interest rate and foreign exchange reserve, is established by using the method of multiple regression. Through research and analysis, I think that the total amount of foreign exchange reserves should be controlled, its currency structure should be adjusted gradually to make it develop towards diversification, and the direction of investment should be adjusted, the overseas market should be expanded, and the investment strategy should be improved.
【学位授予单位】：中国石油大学(华东)
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.6

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