中国外汇储备资产的币种结构、收益和风险分析

发布时间：2018-01-29 04:25

本文关键词： 外汇储备币种结构 CUSUM检验 CHOW检验 VaR　出处：《统计与决策》2012年01期 　论文类型：期刊论文

【摘要】：文章选取2001～2010年月度数据,首先利用计量模型估计了我国外汇储备币种结构及收益率,在此基础上采用VaR方法分析了外汇储备的风险变化,结果表明:在我国外汇储备币种构成上,欧元资产比重上升,美元、日元资产的比重下降,英镑资产的比重基本维持不变,美元资产仍处于主导地位;外汇储备资产的平均收益率在下降,面临的风险在加大。文章建议:适当降低美元资产在外汇储备中的比重,适当增加欧元资产比重;成立专门的外汇储备资产管理公司,对外汇储备进行投资和管理;加强外汇储备资产的风险管理。
[Abstract]:Based on the monthly data from 2001 to 2010, the paper estimates the structure of foreign exchange reserve currency and the rate of return by using the econometric model, and then analyzes the risk change of foreign exchange reserve by using VaR method. The results show that in the currency composition of our foreign exchange reserve, the proportion of euro assets increases, the proportion of US dollar and yen assets decreases, the proportion of sterling assets remains basically unchanged, and the proportion of US dollar assets is still in the dominant position. The average rate of return of foreign exchange reserve assets is decreasing and the risk is increasing. This paper suggests that the proportion of US dollar assets in foreign exchange reserves should be reduced and the proportion of euro assets should be appropriately increased; To establish a special foreign exchange reserve asset management company to invest and manage foreign exchange reserves; Strengthen risk management of foreign exchange reserve assets.
【作者单位】：中南财经政法大学金融学院;
【基金】：新世纪优秀人才支持计划资助(NCET-10-0778)
【分类号】：F832.6
【正文快照】： 0引言央行数据显示,2010年末,中国外汇储备余额接近2.85万亿美元,同比增长18.7%,全年新增外汇储备将近4482亿美元。中国外汇储备的规模超过了全球主要经济大国美国、日本、英国、德国、法国、加拿大和意大利外汇储备的总和。这显示我国经济和金融实力日益增强,也说明我国在应

【共引文献】