DCC-GARCH-CVaR模型与中国外汇储备结构动态优化

发布时间：2018-01-26 13:48

本文关键词： 外汇储备 DCC-GARCH模型 CVaR模型结构优化　出处：《世界经济》2012年07期 　论文类型：期刊论文

【摘要】：在欧美债务危机不断发酵与国际金融环境持续动荡中,如何通过资产结构连续调整来缓解中国3.3万亿外汇储备价值缩水,是我国急需解决的现实技术问题。本文构建了新的"DCC-GARCH-CVaR"优化模型,从三方面作了改进:利用DCC-GARCH模型度量方差协方差矩阵;采用可刻画超额损失的CVaR模型来度量风险;将不可比货币收益转换为可比收益。以2002年1月～2011年3月期间利率与汇率数据为样本,分别对"不考虑贸易外债结构等约束的无约束情况"和"在贸易外债等结构约束条件下"的最优外储结构调整问题展开研究。研究表明,与以往许多研究不同,无论是否施加结构约束,中国最优外汇储备结构均具有明显时变特征。本文还得到了一些相当有趣的发现,如欧元等资产与美元之间确实有"跷跷板"效应,预期最低组合收益变化对外储最优结构影响力十分有限,英镑与日元仍应在中国外汇储备中占有一席之地等。
[Abstract]:In the continuous fermentation of the debt crisis in Europe and the United States and the continuous turbulence of the international financial environment, how to alleviate the value of China's 3.3 tillion foreign exchange reserves through the continuous adjustment of asset structure. This paper constructs a new "DCC-GARCH-CVaR" optimization model. The improvement is made in three aspects: the DCC-GARCH model is used to measure the covariance matrix of variance; The CVaR model which can depict the excess loss is used to measure the risk. Take the data of interest rate and exchange rate from January 2002 to March 2011 as a sample. In this paper, the optimal reserve structure adjustment problem is studied in the case of "the unconstrained situation without considering the trade external debt structure" and "under the condition of the trade external debt structure constraint". The research shows that it is different from many previous studies. With or without structural constraints, the optimal structure of China's foreign exchange reserves has obvious time-varying characteristics. Some interesting findings are also made, such as the seesaw effect between assets such as the euro and the US dollar. The expected change in minimum portfolio returns has limited influence on the optimal structure of reserves, and the pound and yen should still have a place in China's foreign exchange reserves.
【作者单位】：北京航空航天大学经济管理学院;
【基金】：国家自然科学基金“中国国家外汇资产的三层定量分级与结构动态调整:理论及实证研究”(70803003)阶段性成果教育部人文社科基金(07JC790053) NSFC(71133001)的支持
【分类号】：F224;F832.6
【正文快照】： 一引言近十年来中国外汇储备呈快速增长势态，截至2012年3月底已达33050亿美元，DCC一GARCH一CVaR模型与中国外汇储备结构动态优化是第二大外汇储备国日本的2倍多。据估计，中国外汇储备中约有70%左右是美元资产(施建淮，2007)。考虑到近些年美元的不断贬值与美国的量化宽松

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