本文選題：外匯儲(chǔ)備　切入點(diǎn)：外匯儲(chǔ)備幣種結(jié)構(gòu)　出處：《沈陽(yáng)理工大學(xué)》2013年碩士論文

【摘要】：外匯儲(chǔ)備作為一國(guó)政府持有的可兌換為外國(guó)貨幣金融資產(chǎn)，是調(diào)節(jié)國(guó)際收支平衡，穩(wěn)定貨幣匯率、保證信譽(yù)以及增加國(guó)家財(cái)富的主要物質(zhì)基礎(chǔ)。隨著經(jīng)濟(jì)的發(fā)展，中國(guó)已經(jīng)成為世界外匯儲(chǔ)備量最多的國(guó)家，中國(guó)外匯儲(chǔ)備面臨的問(wèn)題不僅是外匯儲(chǔ)備存量規(guī)模大、增速快、結(jié)構(gòu)復(fù)雜，而且由于中國(guó)外匯儲(chǔ)備資產(chǎn)絕大多數(shù)用來(lái)購(gòu)買(mǎi)美國(guó)國(guó)債及長(zhǎng)期債券，使得中國(guó)的外匯儲(chǔ)備資產(chǎn)和美國(guó)的國(guó)債市場(chǎng)緊密相連。奧巴馬的經(jīng)濟(jì)振興計(jì)劃以及對(duì)人民幣升值施加的壓力等等一系列的事實(shí)都警示中國(guó)政府:中國(guó)外匯儲(chǔ)備面臨著極大的縮水問(wèn)題。外匯儲(chǔ)備的持續(xù)積累己經(jīng)遠(yuǎn)遠(yuǎn)超過(guò)了規(guī)避風(fēng)險(xiǎn)意義的需求，現(xiàn)行的外匯儲(chǔ)備政策只會(huì)使中國(guó)的居民遭受重大的福利損失。單一的外匯儲(chǔ)備資產(chǎn)組合會(huì)使我國(guó)的外匯儲(chǔ)備蒙受巨大的風(fēng)險(xiǎn)，提高儲(chǔ)備利用效率，實(shí)現(xiàn)儲(chǔ)備投資多元化是我國(guó)外匯儲(chǔ)備調(diào)整的當(dāng)務(wù)之急，也是在保證安全性的基礎(chǔ)上實(shí)現(xiàn)外匯儲(chǔ)備保值增值的重要手段。 本文建立多階段隨機(jī)規(guī)劃模型來(lái)分析中國(guó)外匯儲(chǔ)備資產(chǎn)的結(jié)構(gòu)情況。首先，分析中國(guó)外匯儲(chǔ)備的現(xiàn)狀，得出外匯儲(chǔ)備總量和結(jié)構(gòu)上存在的問(wèn)題，并通過(guò)收集和整理各國(guó)公布的數(shù)據(jù)，得出中國(guó)外匯儲(chǔ)備的幣種結(jié)構(gòu)和資產(chǎn)結(jié)構(gòu)配置情況；其次，以期末資產(chǎn)的財(cái)富最大化為目標(biāo)，以安全性、流動(dòng)性和收益性為原則，建立中國(guó)外匯儲(chǔ)備資產(chǎn)的隨機(jī)規(guī)劃模型；再次，通過(guò)外匯儲(chǔ)備資產(chǎn)的歷史收益率來(lái)模擬資產(chǎn)在未來(lái)的收益狀況，并將其帶入隨機(jī)規(guī)劃模型，生成保證安全性和流動(dòng)性的情況下，收益最優(yōu)的外匯儲(chǔ)備資產(chǎn)結(jié)構(gòu)配置情況；最后，，將模型得出的最優(yōu)化的資產(chǎn)配置情況與中國(guó)現(xiàn)行的外匯儲(chǔ)備資產(chǎn)結(jié)構(gòu)對(duì)比，指出存在的問(wèn)題并提出改進(jìn)的對(duì)策。
[Abstract]:As a foreign currency financial asset held by a government, foreign exchange reserve is the main material base to adjust the balance of payments, stabilize the currency exchange rate, guarantee the credibility and increase the wealth of the country.With the development of the economy, China has become the largest foreign exchange reserve country in the world. The problems faced by China's foreign exchange reserves are not only the large scale of foreign exchange reserves, the rapid growth rate, and the complexity of the structure.And because most of China's foreign exchange reserves are used to buy U.S. Treasuries and long-term bonds, China's foreign-exchange reserve assets are closely linked to the U.S. Treasury bond market.Obama's plan to revive the economy and pressure on the yuan's appreciation are among a series of facts that warn the Chinese government that China's foreign exchange reserves are facing a huge contraction.The continuous accumulation of foreign exchange reserves has far exceeded the need for avoiding risks. The current foreign exchange reserve policy will only cause the residents of China to suffer great welfare losses.A single portfolio of foreign exchange reserve assets will make our country's foreign exchange reserve suffer enormous risks. It is urgent for our country to adjust foreign exchange reserve by improving the efficiency of reserve utilization and realizing the diversification of reserve investment.It is also an important means to maintain and increase the value of foreign exchange reserves on the basis of security.In this paper, a multi-stage stochastic programming model is established to analyze the structure of China's foreign exchange reserve assets.First of all, by analyzing the current situation of China's foreign exchange reserves, the problems in the total amount and structure of foreign exchange reserves are obtained, and the currency structure and asset structure allocation of China's foreign exchange reserves are obtained by collecting and collating the data published by various countries.Taking the wealth maximization of assets at the end of the period as the goal and taking security, liquidity and profitability as the principles, the stochastic programming model of China's foreign exchange reserve assets is established.Through the historical rate of return of foreign exchange reserve assets to simulate the future income situation of assets, and bring it into the stochastic programming model to generate the optimal allocation of foreign exchange reserve assets structure under the condition of ensuring security and liquidity. Finally,In this paper, the optimal asset allocation obtained by the model is compared with the current foreign exchange reserve asset structure in China, and the existing problems are pointed out and the countermeasures for improvement are put forward.
【學(xué)位授予單位】：沈陽(yáng)理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.6;F224

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