我国外汇储备流动性风险测度研究
发布时间：2019-06-13 16:25
【摘要】：截至2012年6月底中国外汇储备达到32400.05亿美元，然而近年来我国外汇储备规模的快速增长过程中却也蕴含了巨大的风险。外汇储备的流动性风险是指中央银行无法以迅速并且较低的成本将其持有的外汇储备资产转变为现金用来满足流动性需要的可能性。本文在综合流动性风险测度方法以及外汇储备方面研究成果的基础上，运用或有权益分析方法对我国外汇储备的流动性风险进行了实证分析，在一定程度上深化和补充了外汇储备风险管理理论。 本文首先回顾了我国外汇储备发展的历程，在分析我国外汇储备币种结构与资产结构的基础上进一步指出了我国外汇储备所面临的主要风险，诸如利率风险、汇率风险、流动性风险和机会风险等。随后文章在第三部分构建了基于或有权益分析方法的外汇储备流动性风险测度模型。最后，，本文利用CCA方法对我国外汇储备流动性风险进行了实证分析和度量，发现我国外汇储备资产的流动性风险呈现风险概率值小但波动性大的特点，特别是自2011年来外汇储备的流动性风险明显增加，在此基础上本文继而提出了加强风险防范的相关政策建议。
[Abstract]:By the end of June 2012, China's foreign exchange reserves reached $3.240005 trillion. However, the rapid growth of China's foreign exchange reserves in recent years also contains great risks. The liquidity risk of foreign exchange reserves refers to the possibility that central banks will not be able to convert their foreign exchange reserve assets into cash to meet liquidity needs at a rapid and low cost. Based on the comprehensive liquidity risk measurement method and the research results of foreign exchange reserves, this paper makes an empirical analysis of the liquidity risk of foreign exchange reserves in China by using the contingent interest analysis method, which deepens and complements the theory of foreign exchange reserve risk management to a certain extent. This paper first reviews the development of China's foreign exchange reserves, and on the basis of analyzing the currency structure and asset structure of China's foreign exchange reserves, further points out the main risks faced by China's foreign exchange reserves, such as interest rate risk, exchange rate risk, liquidity risk and opportunity risk. Then in the third part, the paper constructs a liquidity risk measurement model of foreign exchange reserves based on contingent equity analysis. Finally, this paper makes an empirical analysis and measurement of the liquidity risk of foreign exchange reserves in China by using CCA method, and finds that the liquidity risk of foreign exchange reserve assets in China is characterized by small risk probability but high volatility, especially the liquidity risk of foreign exchange reserves has increased obviously since 2011. On this basis, this paper puts forward some relevant policy suggestions to strengthen risk prevention.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6
本文编号：2498642
[Abstract]:By the end of June 2012, China's foreign exchange reserves reached $3.240005 trillion. However, the rapid growth of China's foreign exchange reserves in recent years also contains great risks. The liquidity risk of foreign exchange reserves refers to the possibility that central banks will not be able to convert their foreign exchange reserve assets into cash to meet liquidity needs at a rapid and low cost. Based on the comprehensive liquidity risk measurement method and the research results of foreign exchange reserves, this paper makes an empirical analysis of the liquidity risk of foreign exchange reserves in China by using the contingent interest analysis method, which deepens and complements the theory of foreign exchange reserve risk management to a certain extent. This paper first reviews the development of China's foreign exchange reserves, and on the basis of analyzing the currency structure and asset structure of China's foreign exchange reserves, further points out the main risks faced by China's foreign exchange reserves, such as interest rate risk, exchange rate risk, liquidity risk and opportunity risk. Then in the third part, the paper constructs a liquidity risk measurement model of foreign exchange reserves based on contingent equity analysis. Finally, this paper makes an empirical analysis and measurement of the liquidity risk of foreign exchange reserves in China by using CCA method, and finds that the liquidity risk of foreign exchange reserve assets in China is characterized by small risk probability but high volatility, especially the liquidity risk of foreign exchange reserves has increased obviously since 2011. On this basis, this paper puts forward some relevant policy suggestions to strengthen risk prevention.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6
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