安全第一准则下的外汇储备动态优化管理

发布时间：2018-01-26 01:24

本文关键词： 外汇储备安全第一准则配置结构动态管理最优策略　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：外汇储备是一国国际储备最主要的部分,是反映一国经济和金融实力的重要宏观经济变量。因而外汇储备的管理问题一直是理论界关注的热点。1994年外汇体制改革以来,因为经常账户和资本账户双顺差等因素,中国外汇储备经历了高速增长。截至2013年12月,中国外汇储备总额已经达到3.82万亿美元,居各国之首。中国庞大的外汇储备规模一方面保证了防御金融危机动荡的能力,另一方面却因外汇储备持有成本,造成了巨大的资源浪费,总量上也造成了相关部门的管理压力。外汇储备管理的第一指导原则是安全性,而由于中国外汇储备规模远高于国际标准水平,其资产配置结构和收益性问题也越来越受到重视。随着中国经济结构的转型和国际资本流动的加快,外汇储备面临更大的下行风险,这对动态管理提出了更高的要求。因此,如何在保证安全的前提下追求更大收益应是外汇储备动态管理的基本目标,目标具体通过储备规模和结构管理实现,后者主要包括储备资产币种结构和投资工具结构管理。基于该目标,本文引入Roy的安全第一准则来重点描述一国对于外汇储备的安全性的重视,具体效用函数在保证安全性的前提下跟随收益同步最大化。模型推导出来的外汇储备最优配置随外汇储备规模、必要储备规模、外汇储备灾难水平、对灾难状况容忍度以及外生冲击大小不同而不同,有助于分析不同情境下的最优策略。根据模型,本文试图为外汇储备的管理与投资提供政策建议。
[Abstract]:The foreign exchange reserve is the most important part of a country's international reserve. It is an important macroeconomic variable reflecting the economic and financial strength of a country. Therefore, the management of foreign exchange reserves has always been a hot topic in theoretical circles. Since the reform of foreign exchange system in 1994. China's foreign exchange reserves have grown at a high rate because of both current account and capital account surpluses. By December 2013, China's foreign exchange reserves had reached $3.82 tillion. China's huge foreign exchange reserves, on the one hand, guarantee the ability to prevent financial crisis, on the other hand, because of the cost of holding foreign exchange reserves, resulting in a huge waste of resources. The first guiding principle of foreign exchange reserve management is safety, and because the scale of China's foreign exchange reserves is much higher than the international standard level. With the transformation of China's economic structure and the acceleration of international capital flows, foreign exchange reserves are facing greater downside risks. Therefore, how to pursue greater returns under the premise of security should be the basic goal of dynamic management of foreign exchange reserves, which is realized through the management of reserve scale and structure. The latter mainly includes currency structure of reserve assets and structure management of investment instruments. Based on this objective, this paper introduces the first principle of Roy security to describe a country's emphasis on the security of foreign exchange reserves. The optimal allocation of foreign exchange reserves derived from the model depends on the scale of foreign exchange reserves, the scale of necessary reserves, and the disaster level of foreign exchange reserves. Different degrees of tolerance to disaster conditions and exogenous shocks are helpful to analyze the optimal strategies in different situations. According to the model, this paper attempts to provide policy advice for the management and investment of foreign exchange reserves.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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