【摘要】：中國(guó)外匯儲(chǔ)備近年來(lái)保持了高速的增長(zhǎng)勢(shì)頭，截至2012年12月底，中國(guó)的外匯儲(chǔ)備量達(dá)到了33,100億美元，成為世界第一大外匯儲(chǔ)備國(guó)。鑒于中國(guó)現(xiàn)在的發(fā)展階段，繼續(xù)擴(kuò)大出口貿(mào)易，引進(jìn)優(yōu)良外資仍是我國(guó)近一階段的發(fā)展方向。另一方面，充足的外匯儲(chǔ)備對(duì)中國(guó)金融穩(wěn)定和國(guó)際地位有重要作用。儲(chǔ)備價(jià)值面臨著嚴(yán)重的匯率風(fēng)險(xiǎn)而且存在較高機(jī)會(huì)成本，整體收益偏低。 持有巨額的外匯儲(chǔ)備面臨諸多風(fēng)險(xiǎn)，主要包括匯率風(fēng)險(xiǎn)、投資收益損失風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)和債務(wù)違約風(fēng)險(xiǎn)。近年來(lái)，隨著人民幣升值不斷升值，美元不斷貶值，以美元資產(chǎn)為主的我國(guó)外匯儲(chǔ)備所面臨的匯率風(fēng)險(xiǎn)尤為突出。在這一方面，我國(guó)目前理論界的研究還是主要集中在外匯儲(chǔ)備規(guī)模適度性的管理上，對(duì)于如何控制包括匯率風(fēng)險(xiǎn)在內(nèi)的外匯儲(chǔ)備風(fēng)險(xiǎn)管理也僅停留在定性研究上，對(duì)于儲(chǔ)備貨幣的幣種研究缺乏必要的定量分析工具，需要我們進(jìn)一度加深對(duì)此問(wèn)題的研究。 文章通過(guò)運(yùn)用計(jì)量模型分析匯率對(duì)我國(guó)外匯儲(chǔ)備的影響。在分析影響我國(guó)外匯儲(chǔ)備幣種結(jié)構(gòu)諸多因素后，著手于我國(guó)外匯儲(chǔ)備結(jié)構(gòu)下的幣種結(jié)構(gòu)研究，結(jié)合我國(guó)外匯儲(chǔ)備過(guò)多和雙順差的現(xiàn)實(shí)國(guó)情，從投資組合的角度分析最優(yōu)的中國(guó)幣種結(jié)構(gòu)，從而最大限度的分散風(fēng)險(xiǎn)、降低風(fēng)險(xiǎn)。在借鑒日本先進(jìn)外匯儲(chǔ)備管理經(jīng)驗(yàn)的基礎(chǔ)上最后提出我國(guó)外匯儲(chǔ)備管理的具體策略。
[Abstract]:China's foreign exchange reserves have maintained a rapid growth momentum in recent years. By the end of December 2012, China's foreign exchange reserves had reached US $3.31 trillion, making it the world's largest foreign exchange reserve country. In view of China's current stage of development, it is still the development direction of our country to continue to expand export trade and introduce excellent foreign capital. On the other hand, adequate foreign exchange reserves play an important role in China's financial stability and international status. The reserve value faces the serious exchange rate risk and has the high opportunity cost, the overall income is on the low side. Holding huge foreign exchange reserves faces many risks, including exchange rate risk, investment return loss risk, liquidity risk and debt default risk. In recent years, with the appreciation of RMB and the depreciation of the dollar, the exchange rate risk of China's foreign exchange reserves, which is dominated by US dollar assets, is particularly prominent. In this regard, the current theoretical research in China is still mainly focused on the management of the scale of foreign exchange reserves, for how to control the risk management of foreign exchange reserves, including exchange rate risk, also only stays in the qualitative research, for the lack of necessary quantitative analysis tools for the study of reserve currency, we need to deepen the study of this problem. This paper analyzes the influence of exchange rate on China's foreign exchange reserves by using econometric model. After analyzing many factors that affect the currency structure of foreign exchange reserve in China, this paper studies the currency structure under the structure of foreign exchange reserve in China, and analyzes the optimal currency structure in China from the point of view of investment portfolio in combination with the realistic situation of excessive foreign exchange reserve and double surplus, so as to maximize the risk dispersion and reduce the risk. On the basis of drawing lessons from the experience of advanced foreign exchange reserve management in Japan, this paper finally puts forward the concrete strategies of foreign exchange reserve management in China.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.6

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