基于熵模型的中国外汇储备结构性风险分析

发布时间：2018-02-26 22:12

本文关键词： 外汇储备结构性风险熵模型量化风险　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：进入二十一世纪以来,由于中国的出口贸易依赖,盯住美元的汇率制度,以及外国投资者大量的热钱涌入等原因,官方储备资产有着飞速的上升,并且自从2007年以后跃居全球第一,在最近的2013年底上涨到了3.82万亿的惊人数字。这相当于一些中等国家全年的生产总值。中国政府以持有外币和以外币计价的资产等方式积累了庞大的储备资产,它曾经作为国家财富的一部分行使着维护货币政策独立性、结算国际交易支付等职责。但随着规模的增大它作为资产的有益性正在逐渐下降,更多的发展成为国家的累赘甚至是定时炸弹,积累了一定的风险。本文引入了对外汇储备过多而怎样衡量这一风险的思考。首先运用了国际比较,样本处理检验的方法寻找了大量的数据来研究中国外汇储备的币种结构,投资标的等内容。虽然国家外汇管理局并没有明确公布对于外汇资产具体的持有情况,但是很多外国机构和政府组织都统计了很多关于外汇储备资产持有情况的数据,本文从侧面推测出了中国外汇储备资产持有的结构。分析了外汇储备持有的结构以后我们就可以比较有针对性的分析这种结构带来的风险。本文从外部和内部两个方面归纳了外汇储备的风险。外部风险也叫规模风险,表示了由于外汇储备总额超出合理用汇的水平而形成超额储备,对国民经济的不利影响。包括由于外汇占款的形成造成不得不超货币,引起通货膨胀的风险；以及导致的本国资源过多流出国门。内部风险也叫结构性风险,表示由于资产币种结构的不均衡以及投资不当所造成储备资产发生损失的可能性。包括汇率波动和利率波动造成资产价值下降的风险,以及发生违约的可能性。总之,持有过多外汇储备资产的风险来源于它的外部性和内部自身发生的损失。最后本文定量的分析了庞大的储备资产带来的结构性风险,文章将国家储备资产看作一种资产组合,这个组合几种外国货币资产组成,结合风险也就是资产组合的风险。在梳理总结了几种比较典型的量化分析资产风险的方法,并且对它们的优缺点逐一做了比较的基础上,文章选取了一种方法来衡量风险。做了实证检验,得到了一定的结果,并且对如何优化外汇储备风险管理提出了一定的意见。文章同时兼备了一定的理论意义与现实意义,在对外汇储备资产的持有结构分析和风险管理研究上有了一定的创新和突破。
[Abstract]:Since 21th century, due to China's dependence on export trade, its currency peg to the US dollar and the influx of hot money from foreign investors, official reserve assets have soared. And since 2007, it has become the number one in the world. Last end of 2013, it rose to an astonishing 3.82 tillion. This is equivalent to the annual gross domestic product of some middle-class countries. The Chinese government has accumulated huge reserves by holding foreign currency and foreign currency denominated assets. It used to function as a part of the nation's wealth to maintain monetary policy independence and settle international transaction payments. But its usefulness as an asset has declined as the scale has increased. More and more development has become a burden to the country and even a ticking bomb, which has accumulated certain risks. This paper introduces some thoughts on how to measure this risk by excessive foreign exchange reserves. First of all, we use international comparison. The method of sample processing and testing looks for a large amount of data to study the currency structure and investment target of China's foreign exchange reserves. Although the State Administration of Foreign Exchange has not explicitly announced the specific holdings of foreign exchange assets, But many foreign agencies and government organizations have counted a lot of data on the holdings of foreign exchange reserve assets. This paper speculated the structure of China's foreign exchange reserve asset holding from the side. After analyzing the structure of foreign exchange reserve holding, we can analyze the risk brought by this structure more pertinently. The risks of foreign exchange reserves are summed up in several aspects. External risks are also called scale risks. It indicates that the excess reserves formed because the total amount of foreign exchange reserves exceeds the level of rational use of foreign exchange, which has adverse effects on the national economy, including the risk of inflation due to the formation of foreign exchange funds; And the resulting overflowing of domestic resources. Internal risks are also known as structural risks. Indicating the possibility of loss of reserve assets due to an unbalanced currency structure of assets and improper investment, including the risk of a decline in the value of assets caused by fluctuations in exchange rates and interest rates, and the possibility of default. The risk of holding excessive foreign exchange reserve assets comes from its externality and internal losses. Finally, this paper quantitatively analyzes the structural risks brought by the huge reserve assets, which is regarded as a portfolio of assets. The combination of several foreign monetary assets, combined with risk, is the risk of the portfolio. On the basis of combing and summarizing several typical methods of quantitative analysis of asset risk, and comparing their merits and demerits one by one, This paper selects a method to measure the risk, makes an empirical test, obtains certain results, and puts forward some suggestions on how to optimize the risk management of foreign exchange reserve. At the same time, the article also has some theoretical and practical significance. Some innovations and breakthroughs have been made in the analysis of the holding structure of foreign exchange reserve assets and the study of risk management.
【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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