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  

Currency Allocation of China's Foreign Exchange Reserves based on Dual Benchmarks and Mutiple Risk Regimes

作　　者：杨胜刚[1] 龙张红[1] 陈珂[1] 

机构地区：[1]湖南大学金融学院

出　　处：《国际金融研究》2008年第12期49-56,共8页Studies of International Finance

摘　　要：内容借鉴Markowitz基本均值方差模型的思想,本文运用基于双投资基准和多风险制度的投资组合模型对我国外汇储备币种结构配置进行了实证研究。本文首先从中国实际出发确定了两个投资基准和三种风险制度,进而在此基础上实证研究了在不同投资基准、不同风险制度和不同风险厌恶度情况下的我国外汇储备币种结构。最后,本文提出在不同风险制度转换过程中所对应的我国外汇储备各币种所占比重的调整方向。Applying Markowitz＇s mean-variance approach, this paper makes an empirical study on the currency allocation of China＇s foreign exchange reserves based on an investment portfolio model with two different investment benchmarks and multiple risk regimes. It defines two different investment benchmarks and multiple risk regimes based on China＇s reality, and then empirically investigates the currency composition of China＇s foreign reserves under different investment benchmarks, multiple risk regimes and various risk aversion. Finally it offers policy suggestions on the currency allocation of China＇s reserves under different risk regimes.

关 键 词：外汇储备 币种结构 投资基准 风险制度 

分 类 号：F831[经济管理—金融学]