基于均值-VaR的我国外汇储备货币结构研究
|
摘要
我国连续多年的经常账户和资本账户双顺差引起外汇储备规模的高速增长,为我国积累了高额的外汇储备。美国次贷危机导致2008年全球性金融危机爆发,使得国际金融市场剧烈动荡,全球的利率水平大幅度降低,主要储备货币汇率波动不断,我国高额的的外汇储备无疑要面对巨大的利率风险和汇率风险。如何确定我国外汇储备货币结构成为目前迫切需要研究的问题,具有一定的理论意义和现实意义。
本文首先对我国外汇储备币种选择原则和币种选择依据进行了分析,确定了欧元、美元、英镑、日元作为我国外汇储备币种,在此基础上,综合考虑外汇储备风险收益的均衡和外汇储备对外支付职能的实现两方面因素,以风险最小为目标,在央行不同收益率预期约束、资本预算约束和维持对外支付需求约束下,建立了基于均值-VaR的我国外汇储备货币结构模型,用于确定在浮动汇率制度下我国外汇储备货币结构,最后,应用所建立模型对2001-2008年四种储备货币利率数据进行实证研究,分别确定了汇率服从随机游走假设下和汇率变动可预测假设下的我国外汇储备货币结构,对两种假设下的结果进行分析,并提出了关于我国外汇储备货币结构多样化,货币结构调整等方面的建议。
As surpluses of China’s current account and capital account keep growing, China accumulates huge foreign exchange reserves. The international financial crisis in 2008 which is caused by the American subprime mortgage crisis makes international financial market turbulent, global interest rates reduced significantly, and main reserve currencies fluctuated continually. China’s huge foreign exchange reserves face to enormous interest rate risk and exchange rate risk. How to arrange the currency allocation for China’s foreign exchange reserves is a quite important question at present. The study in this point has theoretical and practical significance.
This paper chooses the euro, the U.S. dollar, the British pound sterling and the Japanese yen as the reserve currencies for China at first, according to the principles and the bases for choices of reserve currencies. Then, this paper considers synthetically the balance of risk and return and realization of foreign payment function for foreign reserves, and establishes the currency composition model for China’s foreign exchange reserves taking risk minimum as a goal in the constraints of different return levels demanded by central bank, capital budget and maintaining the requirements for foreign payments, basing on mean-VaR model for portfolio selection. The model is used to estimate currency weights of China’s foreign exchange reserves in floating exchange rate arrangement. At last, this paper adopts the interest rates of four reserve currencies from 2001 to 2008 to do respectively empirical researches of currency composition for China using the established model in the assumption of random walk of exchange rate and the assumption of the predictable exchange rate movement, analyzes the results in these two assumptions, and gives some suggestions on diversification and adjustment of China’s currency composition.
本文首先对我国外汇储备币种选择原则和币种选择依据进行了分析,确定了欧元、美元、英镑、日元作为我国外汇储备币种,在此基础上,综合考虑外汇储备风险收益的均衡和外汇储备对外支付职能的实现两方面因素,以风险最小为目标,在央行不同收益率预期约束、资本预算约束和维持对外支付需求约束下,建立了基于均值-VaR的我国外汇储备货币结构模型,用于确定在浮动汇率制度下我国外汇储备货币结构,最后,应用所建立模型对2001-2008年四种储备货币利率数据进行实证研究,分别确定了汇率服从随机游走假设下和汇率变动可预测假设下的我国外汇储备货币结构,对两种假设下的结果进行分析,并提出了关于我国外汇储备货币结构多样化,货币结构调整等方面的建议。
As surpluses of China’s current account and capital account keep growing, China accumulates huge foreign exchange reserves. The international financial crisis in 2008 which is caused by the American subprime mortgage crisis makes international financial market turbulent, global interest rates reduced significantly, and main reserve currencies fluctuated continually. China’s huge foreign exchange reserves face to enormous interest rate risk and exchange rate risk. How to arrange the currency allocation for China’s foreign exchange reserves is a quite important question at present. The study in this point has theoretical and practical significance.
This paper chooses the euro, the U.S. dollar, the British pound sterling and the Japanese yen as the reserve currencies for China at first, according to the principles and the bases for choices of reserve currencies. Then, this paper considers synthetically the balance of risk and return and realization of foreign payment function for foreign reserves, and establishes the currency composition model for China’s foreign exchange reserves taking risk minimum as a goal in the constraints of different return levels demanded by central bank, capital budget and maintaining the requirements for foreign payments, basing on mean-VaR model for portfolio selection. The model is used to estimate currency weights of China’s foreign exchange reserves in floating exchange rate arrangement. At last, this paper adopts the interest rates of four reserve currencies from 2001 to 2008 to do respectively empirical researches of currency composition for China using the established model in the assumption of random walk of exchange rate and the assumption of the predictable exchange rate movement, analyzes the results in these two assumptions, and gives some suggestions on diversification and adjustment of China’s currency composition.
引文
1李振勤,孙瑜.中国外汇储备的组成与出入.凤凰周刊. 2003 ,(10):24~25
2翁雪琴.中日巨额外汇储备的成因及运作比较.国际金融. 2006,(9):33~35
3李蕾蕾.基于因素分析的我国外汇储备货币组合管理研究.湖南大学硕士学位论文. 2007:13~15
4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
5张明.中国外汇储备投资现状及前景.当代金融家. 2008,9:1~2
6 Harry Markowitz. Portfolio Section. The Journal of Finance. 1952,3(7):77~91
7 Ben-Bassat. The Optimal Composition of Foreign Exchange Reserves. Journal of International Economics. 1980,10:121~126
8 Harris Dellas, Chin Bang Yoo. Reserve currency preferences of central banks: the case of Korea. Journal of International Money and Finance, Elsevier, 1991, 10 (3): 406~419
9 Thorarinn G. Pétursson. The Optimal Currency Composition of Foreign Reserves. Iceland Economic Papers. 1995,28:1~25
10 Srichander Ramaswamy. Reserve Currency Allocation: An Alternative Methodology. International Reviews and Finance. 2004:323~350
11 H. Robert Heller and M. Knight. Reserve-currency preferences of central banks. Essays in International Finance. 1978, 12:183~506
12 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, 1987:48~54
13 Micheal P. Dooley, Jose Saul Lizondo and Donald J. Mathieson. The Currency Composition of Foreign Exchange Reserves. IMF staff paper. 1989,36:23~29
14 Haim Levy, Azriel Levy. The Management of Foreign Exchange Reserves: Balance of Payments and External Debt Considerations: The Case of Israel. Maurice Falk Institute Discussion Paper, Jerusalem. 1998, No.7.
15 Gérard-Marie Henry. Dollar: la monnaie internationale: Histoire, mécanismes et enjeux. Studyrama France, 1998: 87~107
16 Taufiq Choudhry, Mohammad Hasan. Exchange Rate Regime and Demand for Reserves: Evidence from Kenya, Mexico and Philippines. Open Economies Review, Springer. 2008,19:167~181
17 Elvio Dal Bosco. Central Banks' Management of Foreign Exchange Reserves Open Economies Review, Springer. 1998,9: 665-684
18 Barry Eichengreen and Donald J. Mathieson. The Currency Composition of Foreign Exchange Reserves: Retrospect and prospect. IMF Working Paper. 2000, WP/00/131.
19 Jay W. Pao. Foreign Reserves Management: The Case of Macao. AMCM Quarterly Bulletin. 2003,8:3~33
20 Patricia S. Pollard. The Role of the Euro as an International Currency. Economic Journal, Royal Economic Society. 1997,107(440): 26~46
21 Barry Eichengreen. Sterling's Past, Dollar's Future: Historical Perspectives on Reserve Currency Competition. NBER Working Paper. 2005, No.11336.
22 Reid W. Click. On the Composition of Asian Central Bank Reserves: Will the Euro Replace the Dollar? Journal of Asian Economics. 2006,17(3):417~426
23 Elias Papaioannou, Richard Portes and Gregorios Siourounis. Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar. European Central Bank working paper. 2006, No.694.
24 Menzie Chinn and Jeffrey Frankel. Will the Euro Eventually Surpass the Dollar as Leading International Reserve Currency? G7 Current Account Imbalances: Sustainable and Adjustment. University of Chicago Press, 2007:8~62
25 Gabriele Galati, Philip Wooldridge. The Euro as a Reserve Currency: a challenge to the pre-eminence of the US dollar? BIS working paper. 2006, No.218.
26 Robert Pringle and Nick Carver. Trends in Reserves Management Survey Results. Central Banking Publications, London, UK, 2005:3~18
27 Philip D Wooldridge. The Changing Composition of Official Reserves. BIS Quarterly Review. 2006,3:25~31
28 Edwin M. Truman, Anna Wong. The Case for an International Reserve Diversification Standard. Peterson Institute for International Economics working paper. 2006, WP 06-2.
29 Anna Wong. Measurement and Inference in International Reserve Diversification. Peterson Institute for International Economics working paper. 2007, WP 07-6.
30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):16~20
31朱箴元.关于外汇储备货币结构的几个问题.金融教学与研究. 2000,(3):50~52
32许承明.世界外汇储备结构变化的原因分析.世界经济文汇. 2001,(4):33~36
33傅波.我国外汇储备的合理利用与管理.华南农业大学学报. 2005,4(3):82~86
34吴治成,念双艳.论我国外汇储备币种多元化.金融理论与教学. 2007,3:30~31
35葛伟.中国外汇储备结构管理研究.厦门大学硕士学位论文. 2007:40~44
36李征.我国外汇储备币种与资产结构优化配置及利用研究.西安理工大学硕士学位论文. 2008:71~76
37刘云,杨国效,杨雨.国家外汇储备的多元化与资产优化配置研究述评.预测. 2008,27(1):1~10
38马之周.发展中国家国际储备需求研究.华东师范大学出版社, 1993:58~62
39易江、李楚霖.外汇储备最有组合的方法.预测. 1997,(2):57~60
40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):15~17
41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1.信息与控制. 2001,(4):352~355
42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
43滕昕,李树民.外汇储备汇率风险化解的投资组合分析.商业时代. 2006,(25):72~73
44杨胜刚,龙张红,陈珂.基于双基准与多风险制度下的中国外汇储备币种结构配置研究.国际金融研究. 2008,(12):29-36
45金艳平,唐国兴.我国外汇储备币种结构探讨.上海金融. 1997,(5):12~14
46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):419~422
47欧阳芳,余其昌.浅易我国外汇储备的结构管理.地质技术经济管理. 2001,(6):1~3
48伏晓梅.外汇储备的货币选择研究.同济大学硕士学位论文. 2002:14~47
49张文政,许婕颖.试论我国外汇储备币种组合.商场现代化. 2005,(11) :360~361
50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
51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, 19(2):73~77
52赵洪岩,盛柳刚.外汇储备收益率、币种结构和热钱.经济学季刊. 2006,6(4):1255~1276
53刘莉亚.我国外汇储备币种结构与收益率的一个估计.财经研究. 2008,34(7): 121~132
54任璐,潘志斌.中国外汇储备币种结构.财经论题. 2008,(10):335~337
55 Alexandre.G and A.Baptiss. Economic Implication of Using Mean-VaR Model for Portfolio Selection Comparison with Mean-Variance Analysis. Journal of Economic Dynamic and Control. 2002,26:115~126
56王春峰,屠新曙.最佳均值-VaR投资组合问题的研究.湘潭大学自然科学学报. 2002,(6):13~17
57张鹏.不允许卖空情况下均值-方差和均值-VaR投资组合的比较.中国管理科学. 2007,(15):211~216
58 Claudio Borio, Jannecke Ebbesen. FX Reserve Management: Elements of a Framework. BIS Papers. 2008, No.38.
59 Christopher Ball, Javier Reyes. International Reserve Holdings: Interest Rates Matter! Taylor and Francis Journals. 2009,16: 343~348
60 Claudio Borio, Gabriele Galati and Alexandra Health. FX Reserve Management: Trends and Challenges. BIS papers. 2008, No.40.
2翁雪琴.中日巨额外汇储备的成因及运作比较.国际金融. 2006,(9):33~35
3李蕾蕾.基于因素分析的我国外汇储备货币组合管理研究.湖南大学硕士学位论文. 2007:13~15
4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
5张明.中国外汇储备投资现状及前景.当代金融家. 2008,9:1~2
6 Harry Markowitz. Portfolio Section. The Journal of Finance. 1952,3(7):77~91
7 Ben-Bassat. The Optimal Composition of Foreign Exchange Reserves. Journal of International Economics. 1980,10:121~126
8 Harris Dellas, Chin Bang Yoo. Reserve currency preferences of central banks: the case of Korea. Journal of International Money and Finance, Elsevier, 1991, 10 (3): 406~419
9 Thorarinn G. Pétursson. The Optimal Currency Composition of Foreign Reserves. Iceland Economic Papers. 1995,28:1~25
10 Srichander Ramaswamy. Reserve Currency Allocation: An Alternative Methodology. International Reviews and Finance. 2004:323~350
11 H. Robert Heller and M. Knight. Reserve-currency preferences of central banks. Essays in International Finance. 1978, 12:183~506
12 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, 1987:48~54
13 Micheal P. Dooley, Jose Saul Lizondo and Donald J. Mathieson. The Currency Composition of Foreign Exchange Reserves. IMF staff paper. 1989,36:23~29
14 Haim Levy, Azriel Levy. The Management of Foreign Exchange Reserves: Balance of Payments and External Debt Considerations: The Case of Israel. Maurice Falk Institute Discussion Paper, Jerusalem. 1998, No.7.
15 Gérard-Marie Henry. Dollar: la monnaie internationale: Histoire, mécanismes et enjeux. Studyrama France, 1998: 87~107
16 Taufiq Choudhry, Mohammad Hasan. Exchange Rate Regime and Demand for Reserves: Evidence from Kenya, Mexico and Philippines. Open Economies Review, Springer. 2008,19:167~181
17 Elvio Dal Bosco. Central Banks' Management of Foreign Exchange Reserves Open Economies Review, Springer. 1998,9: 665-684
18 Barry Eichengreen and Donald J. Mathieson. The Currency Composition of Foreign Exchange Reserves: Retrospect and prospect. IMF Working Paper. 2000, WP/00/131.
19 Jay W. Pao. Foreign Reserves Management: The Case of Macao. AMCM Quarterly Bulletin. 2003,8:3~33
20 Patricia S. Pollard. The Role of the Euro as an International Currency. Economic Journal, Royal Economic Society. 1997,107(440): 26~46
21 Barry Eichengreen. Sterling's Past, Dollar's Future: Historical Perspectives on Reserve Currency Competition. NBER Working Paper. 2005, No.11336.
22 Reid W. Click. On the Composition of Asian Central Bank Reserves: Will the Euro Replace the Dollar? Journal of Asian Economics. 2006,17(3):417~426
23 Elias Papaioannou, Richard Portes and Gregorios Siourounis. Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar. European Central Bank working paper. 2006, No.694.
24 Menzie Chinn and Jeffrey Frankel. Will the Euro Eventually Surpass the Dollar as Leading International Reserve Currency? G7 Current Account Imbalances: Sustainable and Adjustment. University of Chicago Press, 2007:8~62
25 Gabriele Galati, Philip Wooldridge. The Euro as a Reserve Currency: a challenge to the pre-eminence of the US dollar? BIS working paper. 2006, No.218.
26 Robert Pringle and Nick Carver. Trends in Reserves Management Survey Results. Central Banking Publications, London, UK, 2005:3~18
27 Philip D Wooldridge. The Changing Composition of Official Reserves. BIS Quarterly Review. 2006,3:25~31
28 Edwin M. Truman, Anna Wong. The Case for an International Reserve Diversification Standard. Peterson Institute for International Economics working paper. 2006, WP 06-2.
29 Anna Wong. Measurement and Inference in International Reserve Diversification. Peterson Institute for International Economics working paper. 2007, WP 07-6.
30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):16~20
31朱箴元.关于外汇储备货币结构的几个问题.金融教学与研究. 2000,(3):50~52
32许承明.世界外汇储备结构变化的原因分析.世界经济文汇. 2001,(4):33~36
33傅波.我国外汇储备的合理利用与管理.华南农业大学学报. 2005,4(3):82~86
34吴治成,念双艳.论我国外汇储备币种多元化.金融理论与教学. 2007,3:30~31
35葛伟.中国外汇储备结构管理研究.厦门大学硕士学位论文. 2007:40~44
36李征.我国外汇储备币种与资产结构优化配置及利用研究.西安理工大学硕士学位论文. 2008:71~76
37刘云,杨国效,杨雨.国家外汇储备的多元化与资产优化配置研究述评.预测. 2008,27(1):1~10
38马之周.发展中国家国际储备需求研究.华东师范大学出版社, 1993:58~62
39易江、李楚霖.外汇储备最有组合的方法.预测. 1997,(2):57~60
40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):15~17
41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1.信息与控制. 2001,(4):352~355
42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
43滕昕,李树民.外汇储备汇率风险化解的投资组合分析.商业时代. 2006,(25):72~73
44杨胜刚,龙张红,陈珂.基于双基准与多风险制度下的中国外汇储备币种结构配置研究.国际金融研究. 2008,(12):29-36
45金艳平,唐国兴.我国外汇储备币种结构探讨.上海金融. 1997,(5):12~14
46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):419~422
47欧阳芳,余其昌.浅易我国外汇储备的结构管理.地质技术经济管理. 2001,(6):1~3
48伏晓梅.外汇储备的货币选择研究.同济大学硕士学位论文. 2002:14~47
49张文政,许婕颖.试论我国外汇储备币种组合.商场现代化. 2005,(11) :360~361
50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
51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, 19(2):73~77
52赵洪岩,盛柳刚.外汇储备收益率、币种结构和热钱.经济学季刊. 2006,6(4):1255~1276
53刘莉亚.我国外汇储备币种结构与收益率的一个估计.财经研究. 2008,34(7): 121~132
54任璐,潘志斌.中国外汇储备币种结构.财经论题. 2008,(10):335~337
55 Alexandre.G and A.Baptiss. Economic Implication of Using Mean-VaR Model for Portfolio Selection Comparison with Mean-Variance Analysis. Journal of Economic Dynamic and Control. 2002,26:115~126
56王春峰,屠新曙.最佳均值-VaR投资组合问题的研究.湘潭大学自然科学学报. 2002,(6):13~17
57张鹏.不允许卖空情况下均值-方差和均值-VaR投资组合的比较.中国管理科学. 2007,(15):211~216
58 Claudio Borio, Jannecke Ebbesen. FX Reserve Management: Elements of a Framework. BIS Papers. 2008, No.38.
59 Christopher Ball, Javier Reyes. International Reserve Holdings: Interest Rates Matter! Taylor and Francis Journals. 2009,16: 343~348
60 Claudio Borio, Gabriele Galati and Alexandra Health. FX Reserve Management: Trends and Challenges. BIS papers. 2008, No.40.