外汇储备币种结构优化配置实证研究——基于因素分析法

发布时间：2019-01-12 14:09

【摘要】：外汇储备币种结构配置不合理使我国外汇储备面临汇率风险、流动性风险以及资产贬值等一系列问题。在美元不断升值,欧元和日元持续疲软的背景下,如何优化我国外汇储备的币种结构成为亟待解决的问题。外汇储备可以分为交易型外汇储备和配置型外汇储备,交易型外汇储备主要受到风险和收益因素影响;配置型外汇储备主要受到对外贸易结构、外债结构、外商直接投资来源结构和汇率制度安排等因素影响。文章基于因素分析法首先从各影响因素出发,分别测算最优的交易型外汇储备和最优的配置型外汇储备的币种结构,然后从外汇储备需求的角度考虑这些因素在外汇储备中的权重,从而确定出我国外汇储备最优币种结构,以纠正我国目前外汇储备币种配置不合理的问题。
[Abstract]:The irrational allocation of foreign exchange reserve currency structure makes China's foreign exchange reserve face a series of problems such as exchange rate risk liquidity risk and asset depreciation and so on. How to optimize the currency structure of China's foreign exchange reserves has become an urgent problem under the background of the continuous appreciation of the dollar and the weakening of the euro and the yen. Foreign exchange reserves can be divided into transactional foreign exchange reserves and allocative foreign exchange reserves, which are mainly affected by risk and income factors. The allocation of foreign exchange reserves is mainly influenced by foreign trade structure, foreign debt structure, foreign direct investment source structure and exchange rate regime arrangement. Based on the factor analysis method, the paper first calculates the currency structure of the optimal transactional foreign exchange reserve and the optimal allocation foreign exchange reserve, Then the weight of these factors in foreign exchange reserve is considered from the point of view of foreign exchange reserve demand, so as to determine the optimal currency structure of foreign exchange reserve in China, so as to correct the unreasonable allocation of foreign exchange reserve currency in our country at present.
【作者单位】：东北财经大学;平安银行辽宁省分行;
【基金】：教育部2013年度人文社会科学研究青年基金项目“中国外汇储备资产管理效益提升策略研究:前提、途径与保障”(项目编号13YJC790061) 国家自然科学基金面上项目(项目编号71273042)的资助
【分类号】：F832.6

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