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  本文選題：外匯儲備 + 經(jīng)濟失衡�。� 參考：《浙江大學(xué)》2014年碩士論文

【摘要】：面對匯率大幅波動、外匯儲備貶值和對外投資損失等不利因素,我國外匯儲備的管理者面臨有效管理高額外匯儲備的巨大挑戰(zhàn),迫切需要建立一套科學(xué)完善的外匯儲備管理體系。本文在全球經(jīng)濟失衡的背景下,結(jié)合理論分析和實證檢驗,基于匯率風(fēng)險視角分別對我國外匯儲備的幣種結(jié)構(gòu)優(yōu)化和投資策略選擇進行了研究。 首先嘗試分析全球經(jīng)濟失衡下匯率的結(jié)構(gòu)性風(fēng)險。在定性刻畫全球經(jīng)濟失衡所導(dǎo)致的資本和貨幣非對稱流動現(xiàn)狀后,采用AR-GARCH模型研究中美雙邊匯率風(fēng)險。然后,利用主要發(fā)達國家和經(jīng)濟體的貨幣指數(shù)和匯率研究其彼此之間的匯率風(fēng)險及其相互影響。以此對國際上多邊匯率結(jié)構(gòu)性失衡進行分析,為我國幣種結(jié)構(gòu)優(yōu)化做好理論鋪墊。 在研究外匯儲備結(jié)構(gòu)優(yōu)化方面,本文參考COFER數(shù)據(jù)庫提供的中國外匯儲備幣種結(jié)構(gòu),采用Markowitz經(jīng)典的均值--方差模型,利用Matlab軟件實證研究外匯儲備結(jié)構(gòu)優(yōu)化。結(jié)果表明,外匯管理者應(yīng)該適當(dāng)?shù)亟档兔涝壤?增加歐元和英鎊的比重,保持日元比例的穩(wěn)定。此外,合理增加黃金儲備可以改善我國國際儲備的最優(yōu)配置,以防系統(tǒng)性風(fēng)險。 外匯投資管理方面,本文引入Copula函數(shù),利用Matlab和SPSS軟件建立基于Monte Carlo模擬方法的Copula-CVaR模型,利用數(shù)值模擬計算了不同資本市場的投資風(fēng)險和收益。實證結(jié)果表明,美國資本市場的投資風(fēng)險較大,應(yīng)該適當(dāng)減持美元債券。面對其他發(fā)達國家資本市場,管理者應(yīng)將債券作為主要投資工具,利用債券的低風(fēng)險和股市的高收益來充分分散組合風(fēng)險,使外匯投資達到最優(yōu)效果。
[Abstract]:In the face of large fluctuations of exchange rate, depreciation of foreign exchange reserves and loss of foreign investment, the managers of China's foreign exchange reserves are faced with a great challenge of effective management of high foreign exchange reserves. It is urgent to establish a set of scientific and perfect foreign exchange reserve management system. Under the background of global economic imbalance, combined with theoretical analysis and empirical test, this paper studies the currency structure optimization and investment strategy selection of China's foreign exchange reserves based on the perspective of exchange rate risk. First, try to analyze the structural risk of the exchange rate under the global economic imbalance. After characterizing the asymmetric flows of capital and currency caused by the global economic imbalance, the AR-GARCH model is used to study the bilateral exchange rate risk between China and the United States. Then, the currency index and exchange rate of major developed countries and economies are used to study the exchange rate risk and their mutual influence. This paper analyzes the structural imbalance of international multilateral exchange rate and lays the groundwork for the optimization of China's currency structure. In the aspect of optimizing the structure of foreign exchange reserve, this paper refers to the currency structure of China's foreign exchange reserve provided by COFER database, adopts Markowitz's classical mean-variance model, and studies the optimization of foreign exchange reserve structure with Matlab software. The results show that foreign exchange managers should appropriately reduce the dollar ratio, increase the proportion of the euro and sterling, and keep the yen ratio stable. In addition, a reasonable increase in gold reserves can improve the optimal allocation of China's international reserves to prevent systemic risks. In the aspect of foreign exchange investment management, the Copula function is introduced in this paper. The Copula-CVaR model based on Monte Carlo simulation method is established by using Matlab and SPSS software. The investment risks and returns in different capital markets are calculated by numerical simulation. The empirical results show that the US capital market has a higher investment risk and should reduce its holdings of US dollar bonds. Faced with the capital markets of other developed countries, managers should take bonds as the main investment tool, and make full use of the low risk of bonds and the high yield of stock market to disperse the portfolio risk sufficiently, so as to make the foreign exchange investment achieve the optimal effect.
【學(xué)位授予單位】：浙江大學(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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