外汇储备币种结构优化和投资策略研究—汇率风险视角

发布时间：2018-06-26 02:14

本文选题：外汇储备 + 经济失衡　；参考：《浙江大学》2014年硕士论文

【摘要】：面对汇率大幅波动、外汇储备贬值和对外投资损失等不利因素,我国外汇储备的管理者面临有效管理高额外汇储备的巨大挑战,迫切需要建立一套科学完善的外汇储备管理体系。本文在全球经济失衡的背景下,结合理论分析和实证检验,基于汇率风险视角分别对我国外汇储备的币种结构优化和投资策略选择进行了研究。首先尝试分析全球经济失衡下汇率的结构性风险。在定性刻画全球经济失衡所导致的资本和货币非对称流动现状后,采用AR-GARCH模型研究中美双边汇率风险。然后,利用主要发达国家和经济体的货币指数和汇率研究其彼此之间的汇率风险及其相互影响。以此对国际上多边汇率结构性失衡进行分析,为我国币种结构优化做好理论铺垫。在研究外汇储备结构优化方面,本文参考COFER数据库提供的中国外汇储备币种结构,采用Markowitz经典的均值--方差模型,利用Matlab软件实证研究外汇储备结构优化。结果表明,外汇管理者应该适当地降低美元比例,增加欧元和英镑的比重,保持日元比例的稳定。此外,合理增加黄金储备可以改善我国国际储备的最优配置,以防系统性风险。外汇投资管理方面,本文引入Copula函数,利用Matlab和SPSS软件建立基于Monte Carlo模拟方法的Copula-CVaR模型,利用数值模拟计算了不同资本市场的投资风险和收益。实证结果表明,美国资本市场的投资风险较大,应该适当减持美元债券。面对其他发达国家资本市场,管理者应将债券作为主要投资工具,利用债券的低风险和股市的高收益来充分分散组合风险,使外汇投资达到最优效果。
[Abstract]:In the face of large fluctuations of exchange rate, depreciation of foreign exchange reserves and loss of foreign investment, the managers of China's foreign exchange reserves are faced with a great challenge of effective management of high foreign exchange reserves. It is urgent to establish a set of scientific and perfect foreign exchange reserve management system. Under the background of global economic imbalance, combined with theoretical analysis and empirical test, this paper studies the currency structure optimization and investment strategy selection of China's foreign exchange reserves based on the perspective of exchange rate risk. First, try to analyze the structural risk of the exchange rate under the global economic imbalance. After characterizing the asymmetric flows of capital and currency caused by the global economic imbalance, the AR-GARCH model is used to study the bilateral exchange rate risk between China and the United States. Then, the currency index and exchange rate of major developed countries and economies are used to study the exchange rate risk and their mutual influence. This paper analyzes the structural imbalance of international multilateral exchange rate and lays the groundwork for the optimization of China's currency structure. In the aspect of optimizing the structure of foreign exchange reserve, this paper refers to the currency structure of China's foreign exchange reserve provided by COFER database, adopts Markowitz's classical mean-variance model, and studies the optimization of foreign exchange reserve structure with Matlab software. The results show that foreign exchange managers should appropriately reduce the dollar ratio, increase the proportion of the euro and sterling, and keep the yen ratio stable. In addition, a reasonable increase in gold reserves can improve the optimal allocation of China's international reserves to prevent systemic risks. In the aspect of foreign exchange investment management, the Copula function is introduced in this paper. The Copula-CVaR model based on Monte Carlo simulation method is established by using Matlab and SPSS software. The investment risks and returns in different capital markets are calculated by numerical simulation. The empirical results show that the US capital market has a higher investment risk and should reduce its holdings of US dollar bonds. Faced with the capital markets of other developed countries, managers should take bonds as the main investment tool, and make full use of the low risk of bonds and the high yield of stock market to disperse the portfolio risk sufficiently, so as to make the foreign exchange investment achieve the optimal effect.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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