本文關(guān)鍵詞： 外匯儲備 結(jié)構(gòu)性風(fēng)險 熵模型 量化風(fēng)險　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】：進入二十一世紀(jì)以來,由于中國的出口貿(mào)易依賴,盯住美元的匯率制度,以及外國投資者大量的熱錢涌入等原因,官方儲備資產(chǎn)有著飛速的上升,并且自從2007年以后躍居全球第一,在最近的2013年底上漲到了3.82萬億的驚人數(shù)字。這相當(dāng)于一些中等國家全年的生產(chǎn)總值。中國政府以持有外幣和以外幣計價的資產(chǎn)等方式積累了龐大的儲備資產(chǎn),它曾經(jīng)作為國家財富的一部分行使著維護貨幣政策獨立性、結(jié)算國際交易支付等職責(zé)。但隨著規(guī)模的增大它作為資產(chǎn)的有益性正在逐漸下降,更多的發(fā)展成為國家的累贅甚至是定時炸彈,積累了一定的風(fēng)險。本文引入了對外匯儲備過多而怎樣衡量這一風(fēng)險的思考。首先運用了國際比較,樣本處理檢驗的方法尋找了大量的數(shù)據(jù)來研究中國外匯儲備的幣種結(jié)構(gòu),投資標(biāo)的等內(nèi)容。雖然國家外匯管理局并沒有明確公布對于外匯資產(chǎn)具體的持有情況,但是很多外國機構(gòu)和政府組織都統(tǒng)計了很多關(guān)于外匯儲備資產(chǎn)持有情況的數(shù)據(jù),本文從側(cè)面推測出了中國外匯儲備資產(chǎn)持有的結(jié)構(gòu)。分析了外匯儲備持有的結(jié)構(gòu)以后我們就可以比較有針對性的分析這種結(jié)構(gòu)帶來的風(fēng)險。本文從外部和內(nèi)部兩個方面歸納了外匯儲備的風(fēng)險。外部風(fēng)險也叫規(guī)模風(fēng)險,表示了由于外匯儲備總額超出合理用匯的水平而形成超額儲備,對國民經(jīng)濟的不利影響。包括由于外匯占款的形成造成不得不超貨幣,引起通貨膨脹的風(fēng)險；以及導(dǎo)致的本國資源過多流出國門。內(nèi)部風(fēng)險也叫結(jié)構(gòu)性風(fēng)險,表示由于資產(chǎn)幣種結(jié)構(gòu)的不均衡以及投資不當(dāng)所造成儲備資產(chǎn)發(fā)生損失的可能性。包括匯率波動和利率波動造成資產(chǎn)價值下降的風(fēng)險,以及發(fā)生違約的可能性�？傊�,持有過多外匯儲備資產(chǎn)的風(fēng)險來源于它的外部性和內(nèi)部自身發(fā)生的損失。最后本文定量的分析了龐大的儲備資產(chǎn)帶來的結(jié)構(gòu)性風(fēng)險,文章將國家儲備資產(chǎn)看作一種資產(chǎn)組合,這個組合幾種外國貨幣資產(chǎn)組成,結(jié)合風(fēng)險也就是資產(chǎn)組合的風(fēng)險。在梳理總結(jié)了幾種比較典型的量化分析資產(chǎn)風(fēng)險的方法,并且對它們的優(yōu)缺點逐一做了比較的基礎(chǔ)上,文章選取了一種方法來衡量風(fēng)險。做了實證檢驗,得到了一定的結(jié)果,并且對如何優(yōu)化外匯儲備風(fēng)險管理提出了一定的意見。文章同時兼?zhèn)淞艘欢ǖ睦碚撘饬x與現(xiàn)實意義,在對外匯儲備資產(chǎn)的持有結(jié)構(gòu)分析和風(fēng)險管理研究上有了一定的創(chuàng)新和突破。
[Abstract]:Since 21th century, due to China's dependence on export trade, its currency peg to the US dollar and the influx of hot money from foreign investors, official reserve assets have soared. And since 2007, it has become the number one in the world. Last end of 2013, it rose to an astonishing 3.82 tillion. This is equivalent to the annual gross domestic product of some middle-class countries. The Chinese government has accumulated huge reserves by holding foreign currency and foreign currency denominated assets. It used to function as a part of the nation's wealth to maintain monetary policy independence and settle international transaction payments. But its usefulness as an asset has declined as the scale has increased. More and more development has become a burden to the country and even a ticking bomb, which has accumulated certain risks. This paper introduces some thoughts on how to measure this risk by excessive foreign exchange reserves. First of all, we use international comparison. The method of sample processing and testing looks for a large amount of data to study the currency structure and investment target of China's foreign exchange reserves. Although the State Administration of Foreign Exchange has not explicitly announced the specific holdings of foreign exchange assets, But many foreign agencies and government organizations have counted a lot of data on the holdings of foreign exchange reserve assets. This paper speculated the structure of China's foreign exchange reserve asset holding from the side. After analyzing the structure of foreign exchange reserve holding, we can analyze the risk brought by this structure more pertinently. The risks of foreign exchange reserves are summed up in several aspects. External risks are also called scale risks. It indicates that the excess reserves formed because the total amount of foreign exchange reserves exceeds the level of rational use of foreign exchange, which has adverse effects on the national economy, including the risk of inflation due to the formation of foreign exchange funds; And the resulting overflowing of domestic resources. Internal risks are also known as structural risks. Indicating the possibility of loss of reserve assets due to an unbalanced currency structure of assets and improper investment, including the risk of a decline in the value of assets caused by fluctuations in exchange rates and interest rates, and the possibility of default. The risk of holding excessive foreign exchange reserve assets comes from its externality and internal losses. Finally, this paper quantitatively analyzes the structural risks brought by the huge reserve assets, which is regarded as a portfolio of assets. The combination of several foreign monetary assets, combined with risk, is the risk of the portfolio. On the basis of combing and summarizing several typical methods of quantitative analysis of asset risk, and comparing their merits and demerits one by one, This paper selects a method to measure the risk, makes an empirical test, obtains certain results, and puts forward some suggestions on how to optimize the risk management of foreign exchange reserve. At the same time, the article also has some theoretical and practical significance. Some innovations and breakthroughs have been made in the analysis of the holding structure of foreign exchange reserve assets and the study of risk management.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.6

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