本文選題：外匯儲備 + 幣種結構　； 參考：《復旦大學》2013年碩士論文

【摘要】：本文以國際貿易中進口情況、外商直接投資來源地、外債結構、穩(wěn)定匯率、特別提款權構成及國家經濟實力等因素估算我國外匯儲備最優(yōu)化幣種結構,通過大量數(shù)據(jù)的整理與計算,得出我國最優(yōu)外匯儲備幣種結構為美元占比60.96%,歐元占比19.82%,日元占比14.97%,英鎊占比4.25%。并在以挪威、新加坡等國積極管理外匯儲備的基礎上,把我國外匯資產配置分為貨幣市場類,固定收益類與權益類三種類型。把外匯儲備資產配置分成不同的層次,即幣種最優(yōu)化層次和資產結構最優(yōu)化層次,再通過引進馬科維茨均值方差模型(MV模型)求解出資產結構最優(yōu)化權重。外匯儲備最優(yōu)資產結構分類中貨幣市場類資產占比4.42%,固定收益類資產占比78.80%,權益類資產占比16.79%。最后,利用中國外匯儲備12年來的真實儲備數(shù)據(jù),以本文估計的最優(yōu)幣種結構與資產結構權重,測算出了各年的最優(yōu)外匯儲備幣種資產與結構資產具體規(guī)模,對我國外匯儲備管理具有較好的啟示作用。
[Abstract]:Based on the import of international trade, the source of foreign direct investment, the structure of foreign debt, the stable exchange rate, the constitution of special drawing rights and the economic strength of the country, this paper estimates the optimal currency structure of our foreign exchange reserve. Through the arrangement and calculation of a large amount of data, it is concluded that the optimal currency structure of China's foreign exchange reserve is 60.96% of the dollar and the euro. Compared to 19.82%, the Japanese yen accounts for 14.97%, and the pound takes up 4.25%., and on the basis of actively managing foreign exchange reserves in Norway, Singapore and other countries, we divide our foreign exchange assets into money market, fixed income and equity, and divide the allocation of foreign exchange reserve assets into different levels, that is, the optimal level of currency and the optimal asset structure. By introducing the Markowitz mean variance model (MV model), the optimal weight of asset structure is solved. In the classification of the best assets structure of foreign exchange reserve, the ratio of money market assets is 4.42%, the assets of fixed income are 78.80%, the equity assets are compared with 16.79%., and the real reserve data of China's foreign exchange reserve for 12 years is used. In this paper, the optimal currency structure and the weight of the asset structure are estimated, and the specific size of the best foreign exchange reserve assets and structural assets in each year is calculated, which has a good inspiration for China's foreign exchange reserve management.

【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.6

【參考文獻】

相關期刊論文 前2條

1 曲良波;宋清華;;中國外匯儲備資產的幣種結構、收益和風險分析[J];統(tǒng)計與決策;2012年01期

2 陸前進;;新匯改以來人民幣匯率參考一籃子貨幣權重的估計及經驗驗證[J];統(tǒng)計研究;2012年05期

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本文編號：1884480