中国外汇储备币种结构的动态优化  

The Dynamic Optimization about the Currency Composition of China's Foreign Exchange Reserves

作　　者：石凯[1] 刘力臻[1] 聂丽[2] 

机构地区：[1]东北师范大学经济学院,吉林长春130117 [2]一桥大学商学研究科

出　　处：《广东金融学院学报》2012年第6期91-103,共13页Journal of Guangdong University of Finance

基　　金：国家社科基金重大项目(10&ZD054);教育部人文社科青年项目(11YJC790181);中央高校基本科研业务费专项资金(11SSXT112)

摘　　要：在主权债务危机期间,由于欧美发达经济体国家信用屡遭降级,币种结构调整已成为中国外汇储备风险管理的重要方式。运用美国财政部国际资本系统和国际货币基金组织官方外汇储备货币构成数据,分析中国外汇储备的可能币种结构,并通过均值———方差分析框架寻找到具有最小风险的币种构成,继而使用动态最优化方法构建币种结构调整的动态最优路径。实证结果表明,按计划将外汇储备中的美元资产转换为日元资产,将会有效降低风险。During the sovereign debt crisis, the national credit of some developed economic entities has been degraded repeatedly. It is adjusting the currency composition of China＇ s foreign exchange reserves that is an important risk management tool. In this paper, we make an analysis on the possible currency composition of China＇ s foreign exchange reserves using data from the Treasury International Capital System of United States and IMF Curren- cy Composition of Official Foreign Exchange Reserves at first, and then discuss the least risky currency composition within the framework of mean -variance analysis. Afterwards, a dynamic adjusting route from the realistic structure to that of the least risk is built up through the dynamic optimization approach. It is found that denominating the international claims away from the U. S. dollar into Japanese yen according to the optimal schedule will lower the risk of foreign exchange reserves effectively.

关 键 词：外汇储备 币种结构 动态最优化 

分 类 号：F830.92[经济管理—金融学]