本文關(guān)鍵詞： 外匯儲(chǔ)備 安全第一準(zhǔn)則 配置結(jié)構(gòu) 動(dòng)態(tài)管理 最優(yōu)策略　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：外匯儲(chǔ)備是一國(guó)國(guó)際儲(chǔ)備最主要的部分,是反映一國(guó)經(jīng)濟(jì)和金融實(shí)力的重要宏觀經(jīng)濟(jì)變量。因而外匯儲(chǔ)備的管理問題一直是理論界關(guān)注的熱點(diǎn)。1994年外匯體制改革以來,因?yàn)榻?jīng)常賬戶和資本賬戶雙順差等因素,中國(guó)外匯儲(chǔ)備經(jīng)歷了高速增長(zhǎng)。截至2013年12月,中國(guó)外匯儲(chǔ)備總額已經(jīng)達(dá)到3.82萬億美元,居各國(guó)之首。中國(guó)龐大的外匯儲(chǔ)備規(guī)模一方面保證了防御金融危機(jī)動(dòng)蕩的能力,另一方面卻因外匯儲(chǔ)備持有成本,造成了巨大的資源浪費(fèi),總量上也造成了相關(guān)部門的管理壓力。外匯儲(chǔ)備管理的第一指導(dǎo)原則是安全性,而由于中國(guó)外匯儲(chǔ)備規(guī)模遠(yuǎn)高于國(guó)際標(biāo)準(zhǔn)水平,其資產(chǎn)配置結(jié)構(gòu)和收益性問題也越來越受到重視。隨著中國(guó)經(jīng)濟(jì)結(jié)構(gòu)的轉(zhuǎn)型和國(guó)際資本流動(dòng)的加快,外匯儲(chǔ)備面臨更大的下行風(fēng)險(xiǎn),這對(duì)動(dòng)態(tài)管理提出了更高的要求。因此,如何在保證安全的前提下追求更大收益應(yīng)是外匯儲(chǔ)備動(dòng)態(tài)管理的基本目標(biāo),目標(biāo)具體通過儲(chǔ)備規(guī)模和結(jié)構(gòu)管理實(shí)現(xiàn),后者主要包括儲(chǔ)備資產(chǎn)幣種結(jié)構(gòu)和投資工具結(jié)構(gòu)管理�；谠撃繕�(biāo),本文引入Roy的安全第一準(zhǔn)則來重點(diǎn)描述一國(guó)對(duì)于外匯儲(chǔ)備的安全性的重視,具體效用函數(shù)在保證安全性的前提下跟隨收益同步最大化。模型推導(dǎo)出來的外匯儲(chǔ)備最優(yōu)配置隨外匯儲(chǔ)備規(guī)模、必要儲(chǔ)備規(guī)模、外匯儲(chǔ)備災(zāi)難水平、對(duì)災(zāi)難狀況容忍度以及外生沖擊大小不同而不同,有助于分析不同情境下的最優(yōu)策略。根據(jù)模型,本文試圖為外匯儲(chǔ)備的管理與投資提供政策建議。
[Abstract]:The foreign exchange reserve is the most important part of a country's international reserve. It is an important macroeconomic variable reflecting the economic and financial strength of a country. Therefore, the management of foreign exchange reserves has always been a hot topic in theoretical circles. Since the reform of foreign exchange system in 1994. China's foreign exchange reserves have grown at a high rate because of both current account and capital account surpluses. By December 2013, China's foreign exchange reserves had reached $3.82 tillion. China's huge foreign exchange reserves, on the one hand, guarantee the ability to prevent financial crisis, on the other hand, because of the cost of holding foreign exchange reserves, resulting in a huge waste of resources. The first guiding principle of foreign exchange reserve management is safety, and because the scale of China's foreign exchange reserves is much higher than the international standard level. With the transformation of China's economic structure and the acceleration of international capital flows, foreign exchange reserves are facing greater downside risks. Therefore, how to pursue greater returns under the premise of security should be the basic goal of dynamic management of foreign exchange reserves, which is realized through the management of reserve scale and structure. The latter mainly includes currency structure of reserve assets and structure management of investment instruments. Based on this objective, this paper introduces the first principle of Roy security to describe a country's emphasis on the security of foreign exchange reserves. The optimal allocation of foreign exchange reserves derived from the model depends on the scale of foreign exchange reserves, the scale of necessary reserves, and the disaster level of foreign exchange reserves. Different degrees of tolerance to disaster conditions and exogenous shocks are helpful to analyze the optimal strategies in different situations. According to the model, this paper attempts to provide policy advice for the management and investment of foreign exchange reserves.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 王永中;;中國(guó)外匯儲(chǔ)備的構(gòu)成、收益與風(fēng)險(xiǎn)[J];國(guó)際金融研究;2011年01期

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本文編號(hào)：1464256