本文選題：外匯儲備 + 結(jié)構(gòu)優(yōu)化　； 參考：《東北師范大學》2013年博士論文

【摘要】：外匯儲備管理本質(zhì)上應處理好儲備資產(chǎn)的規(guī)模和結(jié)構(gòu)問題。面對匯率波動、利率變化、潛在投資損失和貨幣政策失效風險，中國的巨額外匯儲備深陷規(guī)模調(diào)整和結(jié)構(gòu)優(yōu)化困境，儲備資產(chǎn)安全狀況甚為堪憂，迫切需要建立一套具有中國特色的外匯儲備戰(zhàn)略管理體系。目前，對外匯儲備適度規(guī)模和幣種結(jié)構(gòu)調(diào)整的專門分析較多，但對儲備資產(chǎn)結(jié)構(gòu)調(diào)整及對外資產(chǎn)負債協(xié)同管理的研究仍顯不足。論結(jié)構(gòu)優(yōu)化與中國外匯儲備管理戰(zhàn)略，正是在這樣的背景下對上述儲備管理的四個關鍵問題展開的全面討論；旨在探索一套具有理論基礎、現(xiàn)實、可操作性強的中國外匯儲備管理戰(zhàn)略。 第一章文獻回顧，從外匯儲備適度規(guī)模、幣種結(jié)構(gòu)調(diào)整及儲備管理三方面分別梳理了相關文獻的發(fā)展脈絡。 第二章中國外匯儲備規(guī)模優(yōu)化，從四個方面探討了外匯儲備規(guī)模管理問題：首先，在小國開放模型基礎上，借助純粹符號約束的脈沖響應方法，實證分析了外匯儲備累積對宏觀經(jīng)濟的影響；其次，從功能論出發(fā)，借助經(jīng)驗分析、保險合同模型、小國開放模型和歷史分析方法，對用于滿足交易性、預防性、保證性和管理性需求的中國外匯儲備適度規(guī)模展開討論；繼而，分析了外匯儲備與主權(quán)財富基金的關系；最后，探討了中國外匯儲備規(guī)模優(yōu)化調(diào)整的途徑。研究發(fā)現(xiàn)：外匯儲備累積有助于中國舉借更多外債，在一定程度上引起短期外債對長期外債的替代；有助于提高國內(nèi)產(chǎn)出，確實形成了一定短期通脹壓力，但對降低失業(yè)率起到了積極作用；應以“8.1個月進口+短期外債的1.91倍+實際利用外資的15%”作為標準對中國外匯儲備規(guī)模的適度性進行動態(tài)評價；“發(fā)行特別國債購買外匯儲備向中投公司注資”可以成為中國外匯儲備規(guī)模管理的“常態(tài)化”操作模式。 第三章中國外匯儲備幣種結(jié)構(gòu)優(yōu)化，從“實然”和“應然”結(jié)構(gòu)及調(diào)整路徑三方面探討了幣種構(gòu)成管理問題：首先，綜合美國財政部TIC報告和國際貨幣基金組織COFER數(shù)據(jù)探索了中國外匯儲備的可能幣種構(gòu)成；其次，在均值——方差分析框架下，借助DCC-GARCH模型模擬收益率的時變相關關系，計算了具有最小方差風險的中國外匯儲備最優(yōu)幣種構(gòu)成；最后，使用動態(tài)優(yōu)化方法構(gòu)建了外匯儲備幣種結(jié)構(gòu)調(diào)整的最優(yōu)路徑。研究發(fā)現(xiàn)：中國外匯儲備可能由60%~65%的美元、25%~30%的歐元、5%~7%的英鎊及3%~5%的日元資產(chǎn)構(gòu)成；疲弱的美元以及過高的美元資產(chǎn)比重已成為中國外匯儲備風險的重要來源；按動態(tài)最優(yōu)路徑將部分美元資產(chǎn)轉(zhuǎn)換為日元可以有效降低風險，切不可盲目減持歐元。 第四章中國外匯儲備資產(chǎn)結(jié)構(gòu)優(yōu)化，透過資產(chǎn)分布和期限結(jié)構(gòu)兩個視角探討了外匯儲備投資管理問題：首先，綜合國際貨幣基金組織GDDS模板、中國國際投資頭寸表和美國財政部TIC報告，參考Brazil外匯儲備資產(chǎn)構(gòu)成，剖析了中國外匯儲備的可能資產(chǎn)分布和投資期限結(jié)構(gòu)；其次，借助Aizenman-Glick模型和Stackelberg模型的基本思想以及CIR平方根模型分別探討了外匯儲備在低風險和高風險資產(chǎn)間以及在長短期債券間的配置問題；最后，探討了中國外匯儲備資產(chǎn)結(jié)構(gòu)優(yōu)化調(diào)整的方向。研究發(fā)現(xiàn)：中國外匯儲備可能由95%的證券、2%的貨幣和存款以及3%的其他金融工具構(gòu)成；證券資產(chǎn)由90%的長期債券、1%的短期債券以及9%的股權(quán)組成；中國外匯儲備的股權(quán)投資仍顯不足；外匯儲備對美國國債的投資不存在市場擇時問題；為提高投資效益，應當對外匯儲備進行“分檔”管理。 第五章中國外匯儲備與外債協(xié)同優(yōu)化，首先討論了外匯儲備和外債協(xié)同管理的必要性；其次，透徹分析了中國外債結(jié)構(gòu)；最后，以固定收益投資組合理論為基礎，，初步探索了免疫策略和現(xiàn)金流匹配策略在中國外匯儲備投資管理中的應用。研究發(fā)現(xiàn)：外匯儲備和外債協(xié)同優(yōu)化對中國經(jīng)濟穩(wěn)定發(fā)展至關重要；從期限結(jié)構(gòu)和幣種構(gòu)成來看，2012年6月末，中長期外債占25.08%，短期外債占74.92%；美元債務占77.77%，歐元債務占7.51%，日元債務占6.99%，其他債務合計占7.73%；外匯管理局應根據(jù)目標外債的久期調(diào)整儲備資產(chǎn)久期，應權(quán)衡儲備資產(chǎn)現(xiàn)金流和外債現(xiàn)金流。 第六章中國外匯儲備管理戰(zhàn)略，從短期、中期和長期三個層面以及戰(zhàn)略和戰(zhàn)術兩個維度，提出了中國外匯儲備優(yōu)化管理的戰(zhàn)略構(gòu)想。在短期對策方面，應建立戰(zhàn)略外匯儲備風險管理框架、制定適度規(guī)模的動態(tài)評價標準、按照動態(tài)最優(yōu)路徑調(diào)整幣種結(jié)構(gòu)、完善委托經(jīng)營體制、構(gòu)建結(jié)構(gòu)優(yōu)化指數(shù)、完善以風險管理為核心的外匯儲備管理體系；在中期戰(zhàn)略方面，要堅定不移地推進以超額外匯儲備支持戰(zhàn)略物資儲備制度建設、積極參與東亞外匯儲備庫建設、盡快研究以過剩外匯儲備充實養(yǎng)老金的途徑和方法、拓展外匯儲備投資類別，實現(xiàn)國家資源的全球戰(zhàn)略配置、有限參與歐洲救助計劃；在長期戰(zhàn)略方面，應穩(wěn)步推進人民幣國際化、加緊變“存匯于國”為“藏匯于民”、努力實現(xiàn)內(nèi)外經(jīng)濟均衡發(fā)展以及中國與世界經(jīng)濟再平衡。
[Abstract]:The management of foreign exchange reserves should deal with the scale and structure of reserve assets in essence. Facing the fluctuation of exchange rate, the change of interest rate, the potential investment loss and the risk of monetary policy failure, China's huge foreign exchange reserves are in a dilemma of scale adjustment and structural optimization, and the security situation of reserve assets is very worrying, and it is urgent to establish a set of Chinese special. At present, there are many special analyses on the moderate scale of foreign exchange reserve and the adjustment of currency structure, but the research on the adjustment of reserve assets structure and the coordination management of foreign assets and liabilities is still inadequate. The four key issues are discussed comprehensively, aiming at exploring a set of theoretical, realistic and operational strategies for China's foreign exchange reserve management.
The first chapter reviews the development of the relevant documents from three aspects, namely, moderate scale of foreign exchange reserves, currency structure adjustment and reserve management.
The second chapter is to optimize the scale of China's foreign exchange reserve, and discuss the problem of the scale management of foreign exchange reserve from four aspects. First, on the basis of the small country open model, the effect of the accumulation of foreign exchange reserve on the macro-economy is empirically analyzed with the impulse response method of pure symbol constraint. Secondly, from the function theory, with the aid of experience analysis, the insurance contract is made. The model, the small country open model and the historical analysis method, discuss the appropriate scale of China's foreign exchange reserve to meet the trading, preventive, guarantee and management needs. Then, the relationship between foreign exchange reserve and sovereign wealth funds is analyzed. Finally, the ways of optimizing the scale of China's foreign exchange reserve are discussed. The accumulation of remittance reserves helps China to borrow more foreign debt, to some extent, to a certain extent, it causes short-term external debt to replace the long-term external debt; it helps to improve domestic output, and has indeed formed a certain short-term inflationary pressure, but has played a positive role in reducing the unemployment rate; it should be "1.91 times the 8.1 month import + short-term foreign debt" + 15% of the actual use of foreign capital. As a standard, a dynamic evaluation of the moderation of China's foreign exchange reserves is made. "Issuing special treasury bonds to buy foreign exchange reserves to invest in CIC" can become a "normalization" operation mode for the scale management of China's foreign exchange reserves.
The third chapter is to optimize the currency structure of China's foreign exchange reserve. From the three aspects of "real" and "deserved" structure and the adjustment path, it discusses the problem of currency composition management. First, the TIC report of the United States Treasury Department and the COFER data of the International Monetary Fund have explored the possible currency composition of China's foreign exchange reserves; secondly, in the mean variance component. Under the framework of the framework, the DCC-GARCH model is used to simulate the time-varying correlation of the rate of return, and the optimal currency composition of China's foreign exchange reserve with minimum variance risk is calculated. Finally, the optimal path for the adjustment of the currency structure of foreign exchange reserves is constructed by using dynamic optimization method. The study finds that China's foreign exchange reserves may be from the dollar of 60%~65%, 25%~30% The euro, the 5%~7% pound and the 3%~5% yen assets, the weak dollar and the high dollar assets have become an important source of the risk of China's foreign exchange reserves, and the conversion of some dollar assets into yen on a dynamic optimal path can reduce the risk effectively and can not be blind to reduce the euro.
The fourth chapter is to optimize the structure of China's foreign exchange reserve assets, and to explore the problems of foreign exchange reserve investment management through the two perspectives of asset distribution and term structure. First, the GDDS template of the International Monetary Fund, China's international investment position list and the TIC report of the US Treasury Department, with reference to the Brazil foreign exchange reserve assets, have analyzed the Chinese foreign exchange reserves. The possible asset distribution and the term structure of the investment are prepared. Secondly, with the basic ideas of the Aizenman-Glick model and the Stackelberg model and the CIR square root model, the problem of the allocation of foreign exchange reserves between low risk and high risk assets and in the long and short term bonds is discussed respectively. Finally, the optimization of the structure of China's foreign exchange reserve assets is discussed. The study found that China's foreign exchange reserves may consist of 95% securities, 2% currencies and deposits and 3% other financial instruments; securities assets are composed of 90% long-term bonds, 1% short-term bonds and 9% shares; the stock investment of China's foreign exchange reserves is still inadequate; the investment in foreign exchange reserves does not exist for US Treasury bonds. In order to improve the investment efficiency, the foreign exchange reserve should be managed according to the market.
The fifth chapter is the coordination optimization of foreign exchange reserve and foreign debt in China. First, the necessity of foreign exchange reserve and foreign debt coordination management is discussed. Secondly, the Chinese foreign debt structure is thoroughly analyzed. Finally, based on the fixed income investment portfolio theory, the immunization strategy and cash flow matching strategy should be preliminarily explored in the management of China's foreign exchange reserve investment. The study found that the cooperation optimization of foreign exchange reserves and foreign debt is crucial to the stable development of China's economy. From the term structure and currency composition, at the end of 6 month of 2012, the medium and long term foreign debt accounts for 25.08%, the short-term external debt accounts for 74.92%, the dollar debt accounts for 77.77%, the euro debt is 7.51%, the yen debt is 6.99%, the other debts are 7.73%; foreign exchange management The bureau should adjust the reserve assets duration according to the duration of the target foreign debt, and should balance the cash flow of the reserve assets and the foreign debt cash flow.
The sixth chapter of China's foreign exchange reserve management strategy, from the short-term, medium-term and long-term three levels, as well as the strategy and tactics of the two dimensions, put forward the strategic concept of China's foreign exchange reserve optimization management. In the short term countermeasures, the strategic foreign exchange reserve risk management framework should be set up, the dynamic evaluation criteria of the scale of suitability are set up, and the dynamic optimal path should be made in accordance with the dynamic optimal path. We should adjust the structure of the currency, perfect the system of entrusted operation, construct the index of structural optimization, perfect the management system of foreign exchange reserve with risk management as the core. In the medium term strategy, we should unswervingly promote the construction of the strategic material reserve system with excess foreign exchange reserve, actively participate in the construction of the East Asian foreign exchange reserve bank, and study the surplus outside as soon as possible. In the long-term strategy, we should steadily promote the internationalization of the RMB, intensify the change of the exchange of foreign exchange to the country, and strive to achieve the balanced development of the internal and external economy and the balanced development of the internal and external economy. The economic rebalance between the country and the world.

【學位授予單位】：東北師范大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F832.6

【引證文獻】

相關期刊論文 前1條

1 石凱;聶麗;劉力臻;;論中國外匯儲備管理之頂層設計[J];經(jīng)濟問題探索;2014年05期

本文編號：1874971