美元量化宽松条件下中国外汇储备的收益与安全  

Security and Net Investment Yield of China's Foreign Reserves after QE

作　　者：陶士贵[1] 刘骏斌[2] 

机构地区：[1]南京师范大学商学院 [2]南京师范大学金融学院

出　　处：《财经科学》2014年第9期20-30,共11页Finance & Economics

基　　金：国家社科基金项目"应对军事冲突的中国外汇储备风险防控研究"(13BJY171);南京师范大学商学院创新人才培养基金项目"美元量化宽松;美债危机对中国外汇储备安全性的影响"(14CX_011G);江苏省现代服务业协同创新中心;江苏省创新经济研究基地的资助

摘　　要：随着中国金融业对外开放的不断深化,中国巨额外汇储备受到国际金融市场的影响越来越大。美国推出量化宽松货币政策后,中国需要对外汇储备的平均收益率进行合理有效的估计,以指导外汇储备的管理。为此选取2009—2013年的月度数据,估计外汇储备的平均收益率,分解利差和汇率波动对外汇储备收益和安全性的影响,指出外汇储备面临的收益率降低、风险升高的问题,并提出调整外汇储备币种结构,拓展投资渠道等改革方向。With the opening up of China＇s finance markets, China＇s huge foreign exchange reserves are influenced by International financial markets. After the United States launched quantitative easing monetary policy, China calculate the net investment yield of China＇s foreign reserves to guide the management of foreign exchange reserves. To do this, select 2009 to 2013 monthly data, calculate the net investment yield of China＇s foreign re- serves and analyse the effect of exchange rate and interest margin on security and net investment yield of China＇s foreign reserves. This paper point out the problem of the lower yield and higher risk, also propose to adjust the cmrency structure of foreign exchange reserves, a series of methods to expand investment.

关 键 词：外汇储备 收益 结构突变 量化宽松 

分 类 号：F832.6[经济管理—金融学]