外汇储备资产的多层次优化配置——基于交易性需求的分析框架  

The Multi-level Optimization Allocation of Foreign Exchange Reserve Assets:Based on the Analysis Framework of Trading Demand

作　　者：周光友[1] 罗素梅[2] 

机构地区：[1]复旦大学金融研究院,上海200433 [2]上海财经大学上海国际金融中心研究院,上海200433

出　　处：《金融研究》2014年第9期18-33,共16页Journal of Financial Research

基　　金：2014年上海市社科规划课题(2014BJB003);上海高等学校创新能力提升计划竞争性引导项目;2014年度中国博士后基金(2014950702);2011年度国家自然科学基金项目(71173153)的资助

摘　　要：本文以多层次需求为视角,尝试性地将AHP模型及MV模型引入交易性外汇储备资产优化配置的分析框架。首先,在对外汇储备资产进行多层次划分的基础上,构建了交易性外汇储备最优币种结构决定模型,并估计出最优币种权重;其次,建立了交易性外汇储备资产结构优化的AHP模型,并利用MV模型求解出最优资产结构权重,从而实现了币种结构选择和资产结构优化的有机结合;最后,引入外汇储备规模的实际数据,测算出近五年我国交易性外汇储备最优币种结构下各资产的具体规模,以及最优资产结构下各币种的具体持有数量。研究结果表明,美元在各种币种权重中占有举足轻重的地位,交易性外汇储备资产应主要配置货币性存款及货币市场基金。因此,在对交易性外汇储备资产进行优化配置时既要分散化,又不宜盲目分散化。In This paper, we try to put AHP and MV model in the analysis framework of the optimal allocation of trading foreign exchange reserve assets in the perspective of multi - level demand. Firstly, on the basis of multi-level division in the foreign exchange reserve assets, construct the optimal money structure deciding model of trading foreign exchange reserve assets, and estimate the optimal money weight. Secondly, make the structural optimization AHP model of the trading foreign exchange reserve assets, and use MV model to solve out the optimal asset structural weight, accordingly achieving the rational combination of the money structure selection and the assets structural optimization. Finally, introduce the actual data of foreign exchange reserve to work out the Specific scale of trading foreign exchange reserves in the optimal money structure for about five years and the specific holding scale of every kind of money in optimal asset structure. The results of the study show that the doUar plays a decisive role in every money weight and the monetary savings and money market funds should be the main allocation of trading foreign exchange reserve assets. Therefore, when we optimize the allocation of trading foreign exchange reserve assets we should be decentralization but not blindly.

关 键 词：交易性外汇储备 多层次需求 优化配置 AHP模型 MV模型 

分 类 号：F832.6[经济管理—金融学]