基于资产组合理论的计价货币多元化理论与应用

发布时间：2018-02-10 14:11

本文关键词： 计价货币资产组合出口贸易汇率　出处：《中国科学技术大学》2017年硕士论文　论文类型：学位论文

【摘要】：对外贸易是推动中国GDP快速增长的动力之一,但是,受人民币汇率大幅波动、发达经济体复苏缓慢、国际大宗商品价格下降等众多因素的影响,中国的出口贸易增长乏力,出现了下滑的迹象。面对严峻的贸易形势,中国在国际上大力推进"一带一路"战略,发展与新兴经济体的贸易往来,在国内致力于供给侧结构性改革,提升出口产品附加值,优化出口产品结构,希望以此提振外贸经济。但是,随着汇率波动的日常化、出口对象的多元化、出口产品的多样化,传统的以单一货币计价的计价方式使得出口企业面临的汇率风险大大增加。面对出口贸易的新形势、新特点,本文提出以多种货币同时计价的计价方式,以期降低出口企业面临的汇率风险。出口厂商在选择计价货币时,会考虑宏观、行业和微观等诸多因素,他们面对的是典型的不确定条件下的收益问题。而资产组合理论主要解决的就是风险-收益问题,并且已经在很多领域被广泛应用。本文在梳理计价货币的影响因素和相关文献研究后,对资产组合理论的主要内容及应用进行了介绍。在此基础上,本文应用资产组合理论,介绍了如何实现以多种货币同时计价的方法。在完成理论方法的介绍之后,本文将这一方法应用于假设的贸易情景,分析了计价货币数目对计价货币选择的影响。在此基础上进一步拓展分析,结合人民币贬值的背景,比较了不同出口时期的计价货币选择;结合中国与"一带一路"国家贸易日益频繁的背景,比较了不同出口对象的计价货币选择;结合中国在国内进行供给侧结构性改革、优化升级出口产品结构的背景,比较了不同出口商品的计价货币选择。分析计价货币数目对计价货币选择的影响发现,采用三种以上货币同时计价优于采用三种货币同时计价或采用单一货币计价,可见采用多种货币同时计价是一种行之有效的策略;比较不同出口时期的计价货币选择发现,人民币出现明显贬值,汇率稳定性减弱,使得出口厂商的期望收益明显降低,并且风险有所增大,同时人民币不再纳入计价货币组合;比较不同出口对象的计价货币选择发现,不同的出口对象主要影响预期收益水平及风险水平,对计价货币的币种结构影响较小;比较不同出口商品的情形时发现,出口不同商品导致计价货币的差别较大,这种不同主要体现在三个方面:一是影响多元化货币计价方式的有效性,在一些情况下可能导致多元化货币计价方式失效;二是影响收益率水平及风险水平;三是影响计价货币的币种构成。因此,本文建议,出口企业可以尝试采用多种货币同时计价的计价方式,在贸易协定中增加一揽子货币计价条款,丰富货币计价形式。不过,考虑到众多因素会产生影响,出口厂商在选择计价货币时,应该具体问题具体分析。既要考虑外部因素,也要考虑出口企业自身风险承受能力,不能"一刀切"。政府也应该做好信息服务工作,帮助出口厂商科学决策。此外,本文的研究对人民币的国际化也有一些有益启示。为了提升人民币在国际上的地位,既要治标,又要在根本上下功夫:一方面,应避免人民币大幅波动或贬值,采取维稳的汇率政策,尽量减少出口企业面临的汇率风险;另一方面,要优化产品结构,扩大行业规模,提升中国的综合竞争能力,从根本上支持和推动人民币的国际化进程。
[Abstract]:Foreign trade is one of the driving power, Chinese GDP rapid growth but the RMB exchange rate volatility, slow recovery in developed economies, many factors affecting the international commodity prices decline, sluggish growth in China export trade, showing signs of decline. The face of the severe trade situation, and vigorously promote the "Chinese Belt and Road Initiative" in the international development strategy, and emerging economies trade, is committed to the supply side structural reform in China, promote the export of value-added products, optimize the structure of export products, hoping to boost foreign trade economy. However, with the exchange rate fluctuations in the daily, diversified exports, export diversification, traditional to the single currency valuation means the export enterprises are facing the risk of exchange rate is greatly increased. Facing the new situation, the new characteristics of export trade, proposed denominated currencies at the same time The face of valuation methods, in order to reduce the export enterprise's exchange rate risk. Export currency denominated in the selection, will consider the macro and micro, industry and other factors, they are faced with uncertain returns under typical. And mainly solves the problem of portfolio theory is the risk and return, and have been in many fields are widely used. In this paper, influence factors and currency in combing the relevant literature, the main content and the application of portfolio theory are introduced. On this basis, the application of portfolio theory, this article introduces how to realize the method of valuation in several currencies at the same time. After the completion of the theoretical method is introduced, in this paper this method is applied to the hypothesis of trade scenarios, analyzes the currency impact on the number of currency options. On the basis of further analysis, combined with the RMB devaluation The value of the background, compares the different export period of currency options; combined with the background of China and The Belt and Road national trade has become increasingly frequent, compares the different export object currency selection; combined with the China supply side structural reform in China, the optimization and upgrading of export product structure background, comparison of different export commodities the currency of choice. It is found that the number of analysis of currency denominated in the currency of choice, with more than three kinds of currency valuation is better than that of using three kinds of currency denominated or single currency, using a variety of monetary valuation also visible is a kind of effective strategy; comparison of different period of export currency choice, the RMB was devalued the stability of exchange rate weakened, making exporters expected revenue decreased significantly, and the risk increases, while the renminbi is no longer included in the valuation Currency composition; comparison of different export object currency choice, different export object mainly affects the level of expected return and risk level, less impact on the valuation of currency structure; that comparison of different export commodities export situation, different commodities lead to currency valuation differences, such differences are mainly embodied in three aspects: one is the effect of diversified monetary valuation methods, and in some cases may lead to failure of currency diversification; two is the yield level and risk level; three is a currency denominated currency impact. Therefore, this paper suggests that the export enterprises can try to use a variety of currency valuation and valuation, increase a basket of currencies pricing terms in trade agreements, rich in currency form. However, considering many factors will influence the export, manufacturers in the choice of pricing Money, we should analyze specific issues. It is necessary to consider the external factors, export enterprises should also consider their own risk tolerance, not "across the board". The government should also do a good job in information services, to help exporters of scientific decision-making. In addition, this paper studies the internationalization of the RMB also has some beneficial enlightenment. In order to improve the RMB in the international on the status, it is necessary to treat the symptoms, but also the effort in fundamental: on the one hand, should avoid sharp fluctuations in RMB or depreciation, take the maintenance of stability in the exchange rate policy, to reduce the export enterprises face the exchange rate risk; on the other hand, to optimize the product structure, expand the scale of industry, improve the competitive ability of China, support and to promote the internationalization of the RMB fundamentally.

【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6;F752.62

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