中国外汇储备风险预警指标体系的构建及实证研究

发布时间：2018-06-25 00:20

本文选题：外汇储备预警 + 风险值估算　；参考：《南京师范大学》2014年硕士论文

【摘要】：自2002年以来,在国际收支双顺差和强制结售汇制度的背景下,中国的外汇储备数量一直保持着超常规的增长。然而在外汇储备不断积累的过程中,却伴随着各种各样的问题。外汇储备规模过大、投资渠道单一、币种结构不合理等已经成了不争的事实。美国债务上限日益提高,已从多方面对持有美国国债最多的中国的外汇储备安全造成极大影响。因此,考虑美国债务上限提高背景下中国外汇储备的风险受到哪些因素的影响是至关重要的,同时从风险管理的角度建立外汇储备的危机预警系统具有重要的现实意义,一国的货币管理当局采取合适的措施来对外汇储备的风险进行管控也对国内的宏观经济发展有着积极的意义。本文首先对现有的外汇储备管理理论进行了梳理,在美国债务不断增多的背景下对外汇储备可能面临的风险和风险管理的研究成果进行了较为深入的探究,并简要总结了国内外目前的研究成果,在此基础上指出全文的研究方法和思路。其次,介绍了本文的理论框架,从中国宏观经济、美国债务评估、中国外汇储备结构的合理性三个角度选取预警指标,并初步构建了外汇储备风险指标体系,作为下文实证分析的基础。接下来,就是对外汇储备风险预警系统的构建和实证分析,首先采用主成分分析方法检验了各个指标的可行性并确定了各个指标的权重以得出主要影响因素,随后采用功效系数法将各指标进行指数化并估算出各时期的外汇储备风险值。再根据所得风险值运用ARIMA模型得出外汇储备风险的预警公式,利用该公式对风险值进行计算,并将计算值与估算值相比较以验证该模型的准确性。最后在静态预测的方法下逐期滞后,得到未来几年的风险预测值。总结得出如下结论：自2002年以来,外汇储备风险一直在不断增在,尤其在2007年之后的大部分时间里,风险值一直处于高危的状态。同时,尽管外汇储备风险的增大一部分原因是受到美国债务负担不断增大的影响,但究其根本,仍是自身结构和管理方式的不合理造成的。根据上述结论,在考虑中国目前的实际情况和未来发展方向的前提下,本文针对化解我国外汇储备风险及完善外汇储备管理方法给出以下几点政策建议：第一,采取积极主动的方式管理外汇储备,在保证流动性的前提下,积极寻求高收益率的投资方式；第二,调整政策使经常项目和资本项目保持适当顺差以减少外汇储备量；第三,将管理权与经营权分离,由财政部作为外汇储备的管理机构,中央银行作为外汇储备的经营机构,形成相互制约的管理体系,以分散和管理风险；第四,在保持现有美元资产规模的基础上,对美元资产的内部结构进行调整,将部分美国政府债券转换为美国企业债券或抵押债券；第五,抓住机会,逢低吸纳黄金,实现黄金储备的增长；第六,从多个方面拓展外汇储备新功能,将外汇储备用于主权财富基金、国际援助、人才引进、储备物资等多元化投资。
[Abstract]:Since 2002, in the context of the double balance of payments surplus and the compulsory settlement and sale system, the number of China's foreign exchange reserves has maintained a supernormal growth. However, in the process of the accumulation of foreign exchange reserves, there are all kinds of problems. The large scale of foreign exchange reserves, the single investment channel and the unreasonable currency structure have become the result. Indisputable fact. The increasing debt ceiling in the United States has greatly affected the security of China's foreign exchange reserves with the largest holdings of US Treasury bonds in many ways. Therefore, it is crucial to consider what factors in the risk of China's foreign exchange reserves under the background of the increase in the debt ceiling of the United States, and the establishment of foreign exchange from the perspective of risk management. The crisis early-warning system of reserve has important practical significance. It is of positive significance for a country's monetary authorities to take appropriate measures to control the risk of foreign exchange reserves.
This paper first combed the existing theory of foreign exchange reserve management, explored the possible risks and risk management of foreign exchange reserves in the context of the increasing debt of the United States, and briefly summarized the research results at home and abroad. On this basis, it pointed out the research methods and thoughts of the full text. Secondly, it introduces the theoretical framework of this paper, and selects early warning indicators from three angles of China's macro economy, American debt assessment and the rationality of China's foreign exchange reserve structure, and initially constructs the risk index system of foreign exchange reserve, which is the basis for the following empirical analysis. First of all, the principal component analysis method is used to test the feasibility of each index and determine the weight of each index to get the main influencing factors. Then the index is indexed and the foreign exchange reserve risk values are estimated by the efficiency coefficient method. Then the ARIMA model is used to obtain the foreign exchange reserve wind according to the value of the risk. Risk early-warning formula is used to calculate the risk value and compare the calculated value with the estimated value to verify the accuracy of the model. Finally, the risk prediction value of the next few years is obtained by the static prediction method, and the following conclusions are concluded: the risk of foreign exchange reserve has been increasing since 2002, especially since 2002. At the same time, the risk value has been at high risk for most of the year after 2007. While the increase in the risk of foreign exchange reserves is partly due to the increasing impact of the debt burden on the United States, it is still at the root of its own structure and the irrational way of management.
According to the above conclusion, on the premise of considering the current situation and future development direction of China, this paper gives the following policy suggestions to resolve the risk of foreign exchange reserve and improve the management method of foreign exchange reserve: first, take active and active way to manage foreign exchange reserve and actively seek high income under the premise of ensuring liquidity. Second, the adjustment policy makes the current account and capital account keep the appropriate surplus to reduce the foreign exchange reserve; third, separate the management right from the management right, the Ministry of finance as the management institution of foreign exchange reserve, the central bank as the operating institution of foreign exchange reserve, to form a mutually restricted management system, in order to disperse and manage. Fourth, on the basis of maintaining the existing dollar assets, adjust the internal structure of the dollar assets, convert some of the US government bonds into American corporate bonds or mortgage bonds, and fifth, seize the opportunity to absorb gold on the dips, achieve the growth of gold reserves, and sixth, expand the new function of foreign exchange reserves from many aspects. Foreign exchange reserves will be used for diversified investments such as sovereign wealth funds, international assistance, talent introduction and reserve materials.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

【参考文献】