中国外汇储备汇率结构风险研究——基于VaR-GARCH模型的实证研究

发布时间：2018-01-21 23:17

本文关键词： 外汇储备汇率结构 GARCH模型　出处：《河北经贸大学学报》2012年01期 　论文类型：期刊论文

【摘要】：近年来,中国外汇储备的规模不断扩大,而由于汇率波动引起的外汇储备汇率风险也不断被放大。为了更加全面清晰地分析研究中国外汇储备的汇率风险,通过利用GARCH族模型估计中国外汇储备中主要的货币资产(美元、欧元、日元及英镑)和储备组合日对数收益率的动态波动率,再利用各种货币及储备组合的动态波动率测算外汇储备的VaR(Value at Risk),及各种货币的动态边际VaR、动态成分VaR和动态增量VaR,并对实证结果进行分析。研究表明:欧元资产风险较大,对外汇储备的风险影响最大,虽然美元资产比重很大,但是美元资产的风险还是较小,对外汇储备的影响较小,而目前外汇储备中日元、英镑资产的比重非常低,因而对外汇储备的风险影响也较小。因此,考虑到控制外汇储备的风险,应当减持欧元资产,适当增持日元资产,谨慎增持英镑资产,在特定情况下,也可以继续适当增持美元资产。
[Abstract]:In recent years, the scale of China's foreign exchange reserves has been expanding, and the exchange rate risk caused by exchange rate fluctuations has been constantly amplified. In order to analyze and study the exchange rate risk of China's foreign exchange reserves more comprehensively and clearly. By using the GARCH family model, we estimate the dynamic volatility of the main currency assets (US dollar, euro, yen and sterling) and the daily logarithmic rate of return of the reserve portfolio in China's foreign exchange reserves. Then we use the dynamic volatility of various currencies and reserve combinations to calculate the VaR(Value at Riskian of foreign exchange reserves and the dynamic marginal VaR of various currencies. Dynamic component VaR and dynamic increment VaR, and the empirical results are analyzed. The results show that: the risk of euro assets is greater, the risk of foreign exchange reserves is the greatest, although the proportion of US dollar assets is very large. However, the risk of US dollar assets is still relatively small, the impact on foreign exchange reserves is relatively small, and the proportion of Japanese yen and sterling assets in foreign exchange reserves is very low, so the risk impact on foreign exchange reserves is also relatively small. In view of the risk of controlling foreign exchange reserves, we should reduce our holdings of euro assets, increase our holdings in yen assets appropriately, increase our holdings in sterling carefully and, under certain circumstances, continue to hold appropriate holdings of US dollar assets.
【作者单位】：山西财经大学经济学院;
【分类号】：F832.6
【正文快照】： 一、引言改革开放以来,随着中国经济的高速增长,中国外汇储备的规模不断扩大。2010年年末,中国外汇储备的规模达到了2.843 7万亿美元,自2006年超过日本成为第一大外汇储备国后,已经连续五年位居世界第一;2011年9月中国的外汇储备规模更是达到3.197 5万亿美元大观,增长速度惊

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