中国外汇储备结构优化研究

发布时间：2018-07-05 16:54

本文选题：外汇储备 + 结构优化　；参考：《天津财经大学》2008年硕士论文

【摘要】： 外汇储备作为国际储备的主要形式,对一国经济的稳定发展具有重要作用,其变化与发展始终是国内外经济学家研究的热点问题。进入21世纪以来,随着改革开放的逐步深化和综合国力的全面提升,我国外汇储备总量一路飙升。2001年以后,外汇储备每年的增长率都保持在20%以上,截至2007年末,外汇储备余额已达15282.49亿美元,稳居世界第一。根据相关资料显示,我国半数以上的外汇储备主要投资于美国的长期债券,在美元持续贬值的背景下,储备价值不仅面临着严重的汇率风险而且存在着较高的机会成本,整体收益率偏低。因此,在世界经济格局多元化的今天,调整外汇储备结构、提高外汇储备的运营效率已成为外汇储备管理体制改革的重要课题。论文选择我国外汇储备的结构作为研究对象,在分析我国外汇储备现状和世界外汇储备管理趋势的基础上,将外汇储备结构理论和投资组合理论相结合,从投资学的角度探讨最优外汇储备的币种组合及优化外汇储备资产配置问题。在币种结构的讨论中,论文根据外汇储备币种选择的三个原则,结合我国经济发展的实际情况确定了我国外汇储备的币种种类,并采用马柯维茨投资组合选择理论中的均值—方差模型得出了不同收益率下的最优外汇储备币种结构;在资产结构的讨论中,论文根据外汇储备资产配置的原则,将储备资产划分为金融资产与非金融资产两部分,探讨了几种切实可行的资产调整路径,并在此基础上进一步探讨了外汇储备资产配置的绩效评估问题。这对于提高外汇储备资产收益,促进我国经济建设长远发展具有积极意义。
[Abstract]:As the main form of international reserve, foreign exchange reserves play an important role in the stable development of a country's economy. Its change and development have always been a hot issue for economists at home and abroad. Since twenty-first Century, with the gradual deepening of reform and opening up and comprehensive improvement of the comprehensive national strength, the total amount of foreign exchange reserves in China soared for.2001 years. After that, the annual growth rate of foreign exchange reserves is above 20%. By the end of 2007, the balance of foreign exchange reserves has reached 1 trillion and 528 billion 249 million US dollars and is the first in the world. According to relevant data, more than half of our foreign exchange reserves are mainly invested in long-term bonds in the United States. In the context of the continued devaluation of the US dollar, the reserve value is not only serious. The exchange rate risk and the high opportunity cost are high, and the overall return rate is low. Therefore, it has become an important subject of the reform of the foreign exchange reserve management system to adjust the foreign exchange reserve structure and improve the operation efficiency of the foreign exchange reserve.
This paper selects the structure of China's foreign exchange reserve as the research object. On the basis of analyzing the current situation of foreign exchange reserve and the trend of the management of foreign exchange reserves in China, this paper combines the theory of foreign exchange reserve structure with the theory of portfolio, and discusses the currency combination of the optimal foreign exchange reserve and the optimization of the allocation of foreign exchange reserve assets from the perspective of investment. In the discussion of currency structure, according to the three principles of the choice of foreign exchange reserve currency, the kind of currency reserve of China is determined according to the actual situation of China's economic development, and the optimal currency structure of foreign exchange reserves under different rate of interest is obtained by using the mean variance model of the portfolio selection theory of Markowitz. In the discussion of the production structure, the paper divides the reserve assets into two parts of financial assets and non-financial assets according to the principle of the allocation of foreign exchange reserve assets, and probes into several practical ways of asset adjustment. On this basis, the paper further discusses the performance evaluation of the allocation of foreign exchange reserve assets. This will improve the collection of foreign exchange reserve assets. It has positive significance to promote the long-term development of China's economic construction.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2008
【分类号】：F832.6

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