基于抵补风险的外汇储备适度规模研究  

Rational Scale of Chinese Foreign Exchange Reserves Based on Risk-covering

作　　者：叶永刚[1] 熊志刚[1] 张培[1] 宋凌峰[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《经济管理》2008年第6期49-54,共6页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金项目的后续资助(立项号为:70541004)

摘　　要：多大规模的外汇储备才是我国适度的外汇储备的问题至今并未得到全面解答。本文从宏观金融工程视角出发,运用或有权益分析方法和VAR方法,证实既能够满足支付性需求、又能够满足抵补风险的需求的储备规模就是适度规模。本文度量了我国2002～2006年适度外汇储备规模,给国家管理和调整外汇储备存量提供了客观依据。The mushroom of research papers have not yet been clarifying the crux of the rational reserve scale of China. This paper, from a prospect of macro financial engineering, employing the CCA and VaR, proved that the rational reserve scale is the one that can satisfy the demand for covering risks as well as for payment. The paper measured the rational scale from 2002 through 2006 respectively, which could be used for reference by China government and authorities concerned in managing and operating the reserves.

关 键 词：外汇储备 或有权益分析 VAR 蒙特卡罗模拟 

分 类 号：F830.92[经济管理—金融学]