人民币汇率改革后我国外汇储备币种结构管理研究
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摘要
合理的外汇储备币种结构对外汇储备职能的发挥有着重大的意义,科学的外汇储备管理也对该国调节国际收支和稳定汇率起着至关重要的作用。在浮动汇率制度下,一国持有的外汇储备往往会因为外汇市场的风云突变而遭受损失。因此,各国都应采取适当的措施对外汇储备进行管理以期最大程度上规避外汇储备的风险。其中,如何选择外汇储备币种,如何构建适当的外汇储备币种结构是各国在进行外汇储备管理时所必须面临的现实问题。因而我国一定要重视外汇储备币种结构的管理的重要性。
首先对我国外汇储备币种结构的目标进行分析,进而在确定外汇储备币种结构管理目标的条件下,通过对不同种类储备货币的合理搭配,来实现风险最小或收益最大这一目标。在币种结构的选择过程中,根据外汇储备币种选择的经济实力原则、币值稳定原则和交易匹配原则,结合我国的实际情况,最终确定美元、日元、欧元和英镑为我国的储备货币,以此作为模型的方案层。
在对影响我国外汇储备币种结构的因素进行较为全面分析的基础之上,根据科学性、清晰性、目的性、系统优化、可比性、可操作性、可验证性这些指标体系的设计原则,从所列的影响因素中选取储备货币风险和收益、贸易结构、外债结构以及对外投资结构这四项指标作为我国外汇储备币种结构管理的主要指标,以此框架作为模型的准则层。在应用过程中将遗传算法与层次分析法相结合,最后得出方案层中各储备货币的权重。
对得出的储备货币权重结果进行分析,我们认为应该适当降低外汇储备中美元的份额,增加欧元在外汇储备中的比重。但是随着各影响因素的变化,应对我国外汇储备币种结构进行动态调整以期建立更完善的管理体制。
Reasonable currency composition of foreign exchange reserve has great significance to the functioning of the foreign exchange reserve, Scientific management of foreign exchange reserve plays a vital role in adjusting the balance of payments and exchange rate stability. In a floating exchange rate system, holding foreign exchange reserve often means suffering losses because of the variable situation in the domestic and international foreign exchange market. Therefore, the countries of the world should take appropriate measures to manage foreign exchange reserve with a view to maximizeing extent to avoid the risk. Among them, how to choose a foreign exchange reserve currency,how to build the appropriate currency structure of foreign exchange reserve is a practical problem which all countries have to face in the management of official reserves. Therefore,China's should attach importance to the management of currency composition.
First of all, we analysis China's objectives in the management of the currency composition, and under the conditions of certain managed objectives,by allocating different types of reserve currency reasonably, to achieve the objective which is the risk minimization or revenue maximization.According to the principles of reserve currency selection,which are economic strength, the stability of the currency and matching principles,combined with the actual situation of our country, and choose the dollar, yen, euro and pound sterling as reserve currency of our country ultimately, and take it as program layer of AGA-CAHP model.
On the basis of comprehensive analysising the factors that impact the currency composition, in accordance with scientific,clarity,purpose,system optimization,comparability,operable,verifiable principles,we choose from the impact factors listed,which are reserve currency risks and benefits, trade structure, the structure of foreign debt and foreign investment structure as the main indicators of the China's reserve currency composition management.and take the framework as the guideline layer of the model. In the application process,we combined genetic algorithms with analytic hierarchy process.At last ,we came to the conclusion that a layer weight of the reserve currency.
Analysis the results, we believe that we should be appropriate to reduce the share of U.S. dollars in foreign exchange reserve, and increase the proportion of euro in the foreign exchange reserve.However,with the changeing influencing factors, The currency composition of foreign exchange reserve should be adjusted dynamically with a view to improve the management system.
首先对我国外汇储备币种结构的目标进行分析,进而在确定外汇储备币种结构管理目标的条件下,通过对不同种类储备货币的合理搭配,来实现风险最小或收益最大这一目标。在币种结构的选择过程中,根据外汇储备币种选择的经济实力原则、币值稳定原则和交易匹配原则,结合我国的实际情况,最终确定美元、日元、欧元和英镑为我国的储备货币,以此作为模型的方案层。
在对影响我国外汇储备币种结构的因素进行较为全面分析的基础之上,根据科学性、清晰性、目的性、系统优化、可比性、可操作性、可验证性这些指标体系的设计原则,从所列的影响因素中选取储备货币风险和收益、贸易结构、外债结构以及对外投资结构这四项指标作为我国外汇储备币种结构管理的主要指标,以此框架作为模型的准则层。在应用过程中将遗传算法与层次分析法相结合,最后得出方案层中各储备货币的权重。
对得出的储备货币权重结果进行分析,我们认为应该适当降低外汇储备中美元的份额,增加欧元在外汇储备中的比重。但是随着各影响因素的变化,应对我国外汇储备币种结构进行动态调整以期建立更完善的管理体制。
Reasonable currency composition of foreign exchange reserve has great significance to the functioning of the foreign exchange reserve, Scientific management of foreign exchange reserve plays a vital role in adjusting the balance of payments and exchange rate stability. In a floating exchange rate system, holding foreign exchange reserve often means suffering losses because of the variable situation in the domestic and international foreign exchange market. Therefore, the countries of the world should take appropriate measures to manage foreign exchange reserve with a view to maximizeing extent to avoid the risk. Among them, how to choose a foreign exchange reserve currency,how to build the appropriate currency structure of foreign exchange reserve is a practical problem which all countries have to face in the management of official reserves. Therefore,China's should attach importance to the management of currency composition.
First of all, we analysis China's objectives in the management of the currency composition, and under the conditions of certain managed objectives,by allocating different types of reserve currency reasonably, to achieve the objective which is the risk minimization or revenue maximization.According to the principles of reserve currency selection,which are economic strength, the stability of the currency and matching principles,combined with the actual situation of our country, and choose the dollar, yen, euro and pound sterling as reserve currency of our country ultimately, and take it as program layer of AGA-CAHP model.
On the basis of comprehensive analysising the factors that impact the currency composition, in accordance with scientific,clarity,purpose,system optimization,comparability,operable,verifiable principles,we choose from the impact factors listed,which are reserve currency risks and benefits, trade structure, the structure of foreign debt and foreign investment structure as the main indicators of the China's reserve currency composition management.and take the framework as the guideline layer of the model. In the application process,we combined genetic algorithms with analytic hierarchy process.At last ,we came to the conclusion that a layer weight of the reserve currency.
Analysis the results, we believe that we should be appropriate to reduce the share of U.S. dollars in foreign exchange reserve, and increase the proportion of euro in the foreign exchange reserve.However,with the changeing influencing factors, The currency composition of foreign exchange reserve should be adjusted dynamically with a view to improve the management system.
引文
1马杰,古田军.加强外汇储备运营适时调整币种结构.商场现代化.2006,(1) :50~52
2陶凌云.中国外汇储备的结构性风险和规模适度性的分析.金融与经济.2007, (11):47~50
3 Harry Markowitz. The Journal of Finance.1952,(7):77~91
4 H.R.Heller,M.Knight.Reserve-Currency Preferences of Central Banks.Essays in International Finance.1978,(131):225~248
5 Michael.P.Dooley,J.Saul Lizondo,Donald J.Mathieson.The Currency Composition of Foreign Reserves.IMF Staff Papers.1989,(6):169~183
6 Michael.P.Dooley.An Analysis of the Management of the Currency Composition of Reserve Assets and External Liabilities of Developing Countries.The Reconstruction of International Monetary Arrangements.1987,(262)
7 Roger.The Management of Foreign Exchange Reserves.BIS Economic Papers.1993,(7)
8 Thorarinn.G..Petursson.The optimal currency composition of foreign reserves.Institute of Economic Studies Workingpaper.1995:67~73
9 Elvio Dal Boseo.Central bank’s management of foreign exchange reserves.Open Economics Review.1998, (9):665~683
10 Barry Eichengreen.The Euro as a Reserve Currency.Journal of the Japanese and international economics.1998,(12):483~506
11 Barry Eichengreen.Donald J.Maehieson.The Currency Composition of Foreign Exchange Reserves:Retrospect and Prospect.IMF Working Paper.2000,(2):109~145
12 Srichander Ramaswamy.Reserve Currency Allocation:An Alternative Methodology.BIS Working Paper.1999:79~91
13 Elias Papaioannou,Richard Portes,Gregorios Siourounis.Optimal currency shares in international reserves:The impact of the euro and the prospects for the dollar. The Japanese and International Economies. 2006 ,(20) :508~547
14马之騆.发展中国家的国际储备问题研究.华东师范大学出版社. 1994,( 3) :117
15易江,李楚霖.外汇储备最优组合的方法.1997,(7):34~36
16陈建国,谭戈.国际储备结构的决定:均值-方差方法.南方金融.1999, (8) :23-26
17马杰,任若恩,沈沛龙.外汇储备结构调整的非线性规划数学模型.信息与控制.2001,( 8) :30~34
18余其昌,欧阳芳.浅议我国外汇储备的结构管理.地质技术经济管理.2001, (6):92~97
19朱淑珍.中国外汇储备的投资组合风险与收益分析.上海金融.2002,(7):26~28
20金艳平,唐国兴.我国外汇储备币种结构探讨.上海金融. 1997, (5) :13~17
21宋铁波,陈建国.当前我国外汇储备币种组合分析.南方金融. 2001, (4) :25~27
22张文政,徐婕颖.试论我国外汇储备币种结构.商场现代化.2005, (11) :10~14
23王红夏.确保我国外汇储备规模与结构的几点设想.经济师.2005, (7) :40~45
24金洪飞,姚祯怡.层次分析法在外汇储备币种结构管理中的应用.全国青年管理科学与系统科学论文集.1999, (5) :419~427
25杨胜刚,谭胜.基于层次分析法的中国外汇储备货币结构管理研究.财经理论与实践(双月刊) .2007, (5) :74~81
26邵新力,李蕾蕾.我国外汇储备币种结构的实证分析.海南金融. 2007,(9) :40~46
27邹全胜.国际货币兑换模型与中国外汇储备结构.国际贸易问题.2005, (10) :112~116
28王国林.关键货币汇率变动对我国外汇储备规模的影响.世界经济与政治论坛.2005, ( 5) :70~73
29 Heller.H.Robert.Optional International Reserves.the Economic Journal.1996,(6) :76~84
30 Guest Speaker.The Currency Hdging Decision:A Search for Systhesis in Asset Allocation.Financial Analysis.1995:68~74
31 Jung, Chulho. Optimal Management of International Reserves.Journal of Macroeconomics, 1995,(17):601~621
32刘志雄.中国外汇储备币种结构的构建.广西财经学院学报.2006, ( 4) :26~31
33 Avraham Ben Bassat,DanielGottlieb.On the effect of opportunity cost on international reserve holdings.TheReview of Economic and statistics.1992:329~332
34 Peter B. Kenen.The euro versus the dollar: will there be a struggle for dominance. Journal of Policy Modeling. 2002,(24):347~354
35 Edwards,Sebastian.On the interest rate elastieity of the demand for international reserves:Some evidence from developing countries.Journal of lnternational Money and Finance.1985, (4)287~295
36李成,杜志斌.我国外汇储备币种结构的风险分析.新金融.2006, (5) :23~24
37 Srichander Ramaswamy.Choice of currency basket weights and its implications on trade balance.International Reviews and Finance.2000, (4):323~350
38李建军,陈文平.中国外汇储备增长与对外经济活动关系分析.金融教学与研究.2003, (2):2~5
39 Joshua Aizenman, Nancy Marion. The Demand for International Reserves in the Fareast:What’s Going on?.NBER Working Paper.2002,(10):128~135
40 Truman,Wong.The case for an international reserve diversification standard. Institute哈尔滨工业大学经济学硕士学位论文for International Economics.2006:152~157
41杨大楷,陆虹.中国外债结构的实证分析.广西财政高等专科学校学报.1999, (2):6~13
42冯跃.对外投资与经济增长关系的国际比较及启示.重庆大学学报.2003,(10):159~162
43宾建成.我国对外投资现状分析.海南金融.2007, (10):81~83
44 Reid W.Click.On the composition of Asian central bank reserves:Will the euro replace the dollar?.Journal of Asian Economics.2006 ,(17):417~426
45吴祈宗,李有文.层次分析法中矩阵的判断一致性研究.北京理工大学学报.1999,(4) :502~505
46 Stefan Reitz,Mark P. Taylor.The coordination channel of foreign exchange intervention:A nonlinear microstructural analysis.European Economic Review. 2008, (52) :55~76
47严刚峰,张广明,赵宪生,王鑫国.基于遗传算法的层次分析建模法.精密制造与自动化. 2005, (2) :46~48
48金菊良,魏一鸣,付强,丁晶.计算层次分析法中排序权值的加速遗传算法.系统工程理论与实践.2002, (11) :39~42
49郭翠荣.论发展中国家外汇储备的宏观管理.国际金融研究.1997, (3) :50~52
50陈金明,汪平.推进我国外汇储备管理模式改革.宏观经济管理.2006,(12):20~25
2陶凌云.中国外汇储备的结构性风险和规模适度性的分析.金融与经济.2007, (11):47~50
3 Harry Markowitz. The Journal of Finance.1952,(7):77~91
4 H.R.Heller,M.Knight.Reserve-Currency Preferences of Central Banks.Essays in International Finance.1978,(131):225~248
5 Michael.P.Dooley,J.Saul Lizondo,Donald J.Mathieson.The Currency Composition of Foreign Reserves.IMF Staff Papers.1989,(6):169~183
6 Michael.P.Dooley.An Analysis of the Management of the Currency Composition of Reserve Assets and External Liabilities of Developing Countries.The Reconstruction of International Monetary Arrangements.1987,(262)
7 Roger.The Management of Foreign Exchange Reserves.BIS Economic Papers.1993,(7)
8 Thorarinn.G..Petursson.The optimal currency composition of foreign reserves.Institute of Economic Studies Workingpaper.1995:67~73
9 Elvio Dal Boseo.Central bank’s management of foreign exchange reserves.Open Economics Review.1998, (9):665~683
10 Barry Eichengreen.The Euro as a Reserve Currency.Journal of the Japanese and international economics.1998,(12):483~506
11 Barry Eichengreen.Donald J.Maehieson.The Currency Composition of Foreign Exchange Reserves:Retrospect and Prospect.IMF Working Paper.2000,(2):109~145
12 Srichander Ramaswamy.Reserve Currency Allocation:An Alternative Methodology.BIS Working Paper.1999:79~91
13 Elias Papaioannou,Richard Portes,Gregorios Siourounis.Optimal currency shares in international reserves:The impact of the euro and the prospects for the dollar. The Japanese and International Economies. 2006 ,(20) :508~547
14马之騆.发展中国家的国际储备问题研究.华东师范大学出版社. 1994,( 3) :117
15易江,李楚霖.外汇储备最优组合的方法.1997,(7):34~36
16陈建国,谭戈.国际储备结构的决定:均值-方差方法.南方金融.1999, (8) :23-26
17马杰,任若恩,沈沛龙.外汇储备结构调整的非线性规划数学模型.信息与控制.2001,( 8) :30~34
18余其昌,欧阳芳.浅议我国外汇储备的结构管理.地质技术经济管理.2001, (6):92~97
19朱淑珍.中国外汇储备的投资组合风险与收益分析.上海金融.2002,(7):26~28
20金艳平,唐国兴.我国外汇储备币种结构探讨.上海金融. 1997, (5) :13~17
21宋铁波,陈建国.当前我国外汇储备币种组合分析.南方金融. 2001, (4) :25~27
22张文政,徐婕颖.试论我国外汇储备币种结构.商场现代化.2005, (11) :10~14
23王红夏.确保我国外汇储备规模与结构的几点设想.经济师.2005, (7) :40~45
24金洪飞,姚祯怡.层次分析法在外汇储备币种结构管理中的应用.全国青年管理科学与系统科学论文集.1999, (5) :419~427
25杨胜刚,谭胜.基于层次分析法的中国外汇储备货币结构管理研究.财经理论与实践(双月刊) .2007, (5) :74~81
26邵新力,李蕾蕾.我国外汇储备币种结构的实证分析.海南金融. 2007,(9) :40~46
27邹全胜.国际货币兑换模型与中国外汇储备结构.国际贸易问题.2005, (10) :112~116
28王国林.关键货币汇率变动对我国外汇储备规模的影响.世界经济与政治论坛.2005, ( 5) :70~73
29 Heller.H.Robert.Optional International Reserves.the Economic Journal.1996,(6) :76~84
30 Guest Speaker.The Currency Hdging Decision:A Search for Systhesis in Asset Allocation.Financial Analysis.1995:68~74
31 Jung, Chulho. Optimal Management of International Reserves.Journal of Macroeconomics, 1995,(17):601~621
32刘志雄.中国外汇储备币种结构的构建.广西财经学院学报.2006, ( 4) :26~31
33 Avraham Ben Bassat,DanielGottlieb.On the effect of opportunity cost on international reserve holdings.TheReview of Economic and statistics.1992:329~332
34 Peter B. Kenen.The euro versus the dollar: will there be a struggle for dominance. Journal of Policy Modeling. 2002,(24):347~354
35 Edwards,Sebastian.On the interest rate elastieity of the demand for international reserves:Some evidence from developing countries.Journal of lnternational Money and Finance.1985, (4)287~295
36李成,杜志斌.我国外汇储备币种结构的风险分析.新金融.2006, (5) :23~24
37 Srichander Ramaswamy.Choice of currency basket weights and its implications on trade balance.International Reviews and Finance.2000, (4):323~350
38李建军,陈文平.中国外汇储备增长与对外经济活动关系分析.金融教学与研究.2003, (2):2~5
39 Joshua Aizenman, Nancy Marion. The Demand for International Reserves in the Fareast:What’s Going on?.NBER Working Paper.2002,(10):128~135
40 Truman,Wong.The case for an international reserve diversification standard. Institute哈尔滨工业大学经济学硕士学位论文for International Economics.2006:152~157
41杨大楷,陆虹.中国外债结构的实证分析.广西财政高等专科学校学报.1999, (2):6~13
42冯跃.对外投资与经济增长关系的国际比较及启示.重庆大学学报.2003,(10):159~162
43宾建成.我国对外投资现状分析.海南金融.2007, (10):81~83
44 Reid W.Click.On the composition of Asian central bank reserves:Will the euro replace the dollar?.Journal of Asian Economics.2006 ,(17):417~426
45吴祈宗,李有文.层次分析法中矩阵的判断一致性研究.北京理工大学学报.1999,(4) :502~505
46 Stefan Reitz,Mark P. Taylor.The coordination channel of foreign exchange intervention:A nonlinear microstructural analysis.European Economic Review. 2008, (52) :55~76
47严刚峰,张广明,赵宪生,王鑫国.基于遗传算法的层次分析建模法.精密制造与自动化. 2005, (2) :46~48
48金菊良,魏一鸣,付强,丁晶.计算层次分析法中排序权值的加速遗传算法.系统工程理论与实践.2002, (11) :39~42
49郭翠荣.论发展中国家外汇储备的宏观管理.国际金融研究.1997, (3) :50~52
50陈金明,汪平.推进我国外汇储备管理模式改革.宏观经济管理.2006,(12):20~25