我国外汇储备投资期限配置实证研究  

An Empirical Study on the Term Structure of China's Foreign Exchange Reserve Investment

作　　者：陈珂[1] 成博[1] 杨胜刚[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《经济管理》2013年第8期126-133,共8页Business and Management Journal ( BMJ )

基　　金：教育部博士点基金"国际金融危机与中国的金融安全管理"(20090161110029);湖南省哲学社会科学基金"基于利率期限结构的我国外汇储备投资研究"(11YBA059)

摘　　要：本文从理论模型解释和实证分析两方面探讨了我国外汇储备资产期限结构的调整策略。首先构建了外汇储备期限结构配置的理论模型,考虑外汇储备投资期限配置在安全性、流动性和收益性三原则之间的权衡关系,分析了长短期债券利率变化对于外汇储备中两者配置比重的影响。然后结合DCC-GARCH模型和基于VaR约束的投资组合模型实证检验了外汇储备中美国、英国、日本、德国四国国债的期限结构配置及调整路径。结果表明,我国外汇储备应以长期证券投资为主,并逐步增加中短期证券持有比例。In recent years, China＇s foreign exchange reserve has maintained rapid growth. Under the background of the depreciation of U. S. dollar and the crisis of European sovereign credit rating, huge foreign exchange reserve and unreasonable foreign exchange reserve investment structure will not eign exchange and the resulting write-off costs, but also faces exchange well as political risk. Risk management of foreign exchange only brought huge funds outstanding for for- rate risk, interest rate risk, liquidity risk as reserve, especially the optimization of term structure, is basically a brand-new area for China＇s foreign exchange reserve investment. Therefore, along with China＇s foreign ex- change reserve risk management practice, using the theories and methods of DCC-GARCH model and Mean-CVaR model, we studied the allocation of the term structure of China＇s foreign exchange reserve, providing strong support for decision-making on China＇s foreign exchange reserve investment. The paper designs a theoretical model and makes an empirical study on the term structure of China＇s foreign exchange reserve investment. Assuming that China＇s foreign exchange reserve consists only of long term T-bonds and short term T-bonds, we analyze the impact of interests variation will have on the allocation of the two as- sets. Choosing the T-bond sample data of USA, Japan, Britain and Germany, we mean-CVaR model to get the ideal term structure allocation of China＇s foreign exc utilize asset portfolio theory and hange reserve investment. Then We make an empirical study on the allocation of the term structure of China＇s foreign exchange reserve investment. The model takes an overall consideration of security,liquidity and profitability. We assume that China＇s foreign exchange reserve consists only of long term T-bonds and short term T-bonds. We analyze the impact of inter- ests variation will have on the allocation of the two assets. Choosing the T-bond sample data of USA,Japan and Ger- many,we utilize DCC-GARCH Model, mea

关 键 词：外汇储备投资 期限结构 DCC—GARCH模型 基于VaR约束的投资组合模型 

分 类 号：F832.63[经济管理—金融学]