基于DCC—GARCH模型的外汇储备结构动态调整研究  

Study of Structural Dynamic Selection of Foreign Reserve:Based on DCC-GARCH Model

作　　者：马杰[1,2] 

机构地区：[1]北京航空航天大学经管学院,北京100191 [2]密西根大学罗斯商学院,密西根州安娜堡48109

出　　处：《中南财经政法大学学报》2010年第3期70-75,共6页Journal of Zhongnan University of Economics and Law

基　　金：国家自然科学基金资助项目"中国国家外汇资产的三层定量分级与结构动态调整:理论及实证研究"(70803003);教育部人文社会科学基金项目"人民币升值进程中资本项目渐进有序开放研究"(07JC790053)

摘　　要：本文构建的基于DCC—GARCH的外汇储备结构动态调整模型,包括三项改进:采用动态条件自相关多元GARCH模型度量风险、引入利率平价反映可比货币收益率及将黄金视为外汇储备替代资产纳入到统一分析框架中。实证表明,最优外汇资产组合时变特征并不明显,中国完全可以在不引起国际金融市场大幅震荡的情况下有条不紊地调整资产结构。研究还发现,过去可能存在着高估欧元地位的现象;次贷危机发生后美元权重没有明显下降,这一反常结果说明国际储备体系需要根本性改革。此外,寻找低点适当增持黄金,对改善中国储备资产结构是十分有必要"补修"的一课。Under the framework of 'Return-Risk',this paper constructs a structural dynamic model on foreign reserve based on DCC-GARCH,which includes three amendments:take the dynamic conditional correlation GARCH model to gauge the risk,utilize the UIP to reflect the comparable currency return and incorporate the gold as the alternative asset into the whole analysis framework.The empirical results show that the time-varying feature of optimal portfolio of foreign reserve is not obvious,and China can adjust its asset structure with his own steps without disturbing the international financial market.We also find the importance of Euro might be overestimated before,while the weight of Dollar did not decline even if the crisis happened in US.Obviously,this result is kind of unreasonable,which indicates the whole reserves system needs reform largely.Moreover,we suggest it is necessary for China to add the gold reserve to make its asset structure more reasonable.

关 键 词：DCC—GARCH 外汇储备 资产结构 时变性 

分 类 号：F832[经济管理—金融学]