资本账户开放下央行汇率风险管理研究

发布时间：2018-08-03 16:45

【摘要】：改革开放以来,中国渐进稳妥地推进资本账户的开放,党的十八届三中全会通过的《中共中央关于全面深化改革若干重大问题的决定》指出,要“加快实现人民币资本项目可兑换”。随着资本账户开放程度的提高,资本流动规模不断扩大,对外汇市场也将产生更加深远的影响。在这一背景下,央行面临的汇率风险必将呈现新的特征,这对货币当局维持金融经济稳定的能力提出了更高的要求。因此,本文以我国央行的视角对汇率风险管理进行了有关研究,并按照全面风险管理的研究框架,从汇率风险的识别、测量与管理三个方面进行了分析和讨论。本文首先介绍了资本账户开放及汇率风险管理的相关理论,对我国的资本账户开放现状进行了分析。通过测算我国1998年以来的资本账户开放指数证明了我国的资本账户开放指数呈现出明显的上升趋势,说明了我国正在逐渐放松对资本账户的管制。在此背景下,本文进行了央行汇率风险相关研究。在风险的识别上,以2005年7月至2013年6月的月度数据作为样本,通过对外汇市场压力指数的测算识别了外汇市场上人民币供求失衡的风险,发现人民币在大部分时期都面临着升值压力,并且我国央行通过汇率变动以及储备增长的办法来缓解升值压力。在风险的测量上,文章改变了传统指标只注重某些资产比例的片面做法,通过将央行的资产负债表的各项目分别证券化,形成一个证券化组合,以此来综合考虑央行的各项业务,全面考虑了央行的经济价值。然后利用蒙特卡洛方法计算得出我国央行的汇率风险价值,在此基础上又根据计算出的脆弱性指数测量了我国央行所面临的汇率风险。在对结果的分析中发现样本期内我国央行的脆弱性指数较低、汇率风险较小,这主要得益于我国对于资本流动仍存在较为严格的管制。在风险的管理上,通过日本、印度和智利这三个国家的案例分析,研究了这些国家的中央银行在资本账户开放进程中遇到的问题以及采取的政策和获得的效果,结合前文结论总结了我国央行汇率风险管理过程中应该吸取的经验和教训。最后,针对本文的理论分析与实证结论,联系我国当前实际,为提高我国央行汇率风险管理水平提出完善人民币汇率制度、引导人民币双向波动预期、优化外汇储备规模与结构、推进人民币国际化进程等政策建议。
[Abstract]:Since the reform and opening up, China has gradually and steadily promoted the opening of its capital account, according to the "decision of the CPC Central Committee on several important issues of comprehensively deepening Reform" adopted by the third Plenary session of the 18th CPC Central Committee. To "accelerate the realization of RMB capital account convertibility." With the opening of the capital account, the scale of capital flow is expanding, which will have a more far-reaching impact on the foreign exchange market. In this context, the exchange rate risk faced by the central bank is bound to take on new characteristics, which puts forward higher requirements for the ability of monetary authorities to maintain financial and economic stability. Therefore, this paper studies the exchange rate risk management from the perspective of China's central bank, and analyzes and discusses it from three aspects: the identification, measurement and management of exchange rate risk according to the research framework of comprehensive risk management. This paper first introduces the theory of capital account opening and exchange rate risk management, and analyzes the current situation of capital account opening in China. By calculating the capital account opening index since 1998, it is proved that the capital account opening index of our country shows an obvious upward trend, indicating that our country is gradually loosening the control of capital account. Under this background, this article carries on the central bank exchange rate risk correlation research. Based on the monthly data from July 2005 to June 2013, the risk of RMB supply and demand imbalance in the foreign exchange market is identified by measuring the foreign exchange market pressure index. It is found that the RMB is facing the pressure of appreciation for most of the time, and that the central bank can ease the pressure of appreciation by means of exchange rate changes and reserve growth. In the aspect of risk measurement, the paper changes the one-sided way that the traditional index only pays attention to the proportion of certain assets, and forms a securitization portfolio by securitization of each item of the central bank's balance sheet. In order to consider the central bank's business, comprehensive consideration of the central bank's economic value. Then the exchange rate risk value of China's central bank is calculated by Monte Carlo method, and the exchange rate risk is measured according to the calculated vulnerability index. In the analysis of the results, it is found that the vulnerability index of central bank is lower and the exchange rate risk is lower in the sample period, which is mainly due to the existence of strict controls on capital flows in China. In terms of risk management, through the case studies of three countries, Japan, India and Chile, the problems encountered, policies adopted and effects achieved by the central banks of these countries in the process of opening their capital accounts have been studied. Combined with the above conclusions, the paper summarizes the experiences and lessons that should be learned in the process of exchange rate risk management of the central bank of China. Finally, in view of the theoretical analysis and empirical conclusions of this paper, in order to improve the level of exchange rate risk management of the central bank of China, we propose to improve the RMB exchange rate system and guide the expectation of two-way fluctuation of RMB. Optimize the size and structure of foreign exchange reserves, promote the internationalization of RMB and other policy recommendations.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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