货币国际化条件下的外汇储备:规模与结构  

The Scale and Structure of Foreign Exchange Reserves Under the Condition of Currency Internalization

作　　者：祝国平[1] 程呈 ZHU Guo-ping;CHENG Cheng(School of Finance,Jilin University of Finance and Economics,Changchun 130117,China;School of Economics and Management,Jilin Agriculture University,Changchun 130117,China)

机构地区：[1]吉林财经大学金融学院,吉林长春130117 [2]吉林农业大学经济管理学院,吉林长春130117

出　　处：《东北师大学报（哲学社会科学版）》2020年第1期128-139,共12页Journal of Northeast Normal University(Philosophy and Social Science Edition)

基　　金：国家社科基金一般项目(15BGJ039)

摘　　要：本文通过拓展MV-CAPM资产组合模型,将货币国际化条件下外汇储备的规模与结构变化特征纳入统一框架考察,分析了货币国际化对外汇储备规模与结构的影响机制,并通过主要国际货币发行国的面板数据对主要结论进行了检验。结果表明:货币国际化会改善外储管理当局的效用水平,且随着本币国际化程度的提高,合意外储规模是先升后降的。同时,货币国际化会提升超额外储资产配置的风险容忍程度,提高其主动配置资产组合的风险收益程度,表现为更加多样化的资产配置。理论与实证分析的结论为人民币国际化进程中的外汇储备规模与结构的管理提供了一定的启示。By expanding the MV-CAPM asset portfolio model,this article examines the scale and structural changes of foreign exchange reserves under the condition of currency internationalization and put it into a unified framework to analyze the influence mechanism of currency internationalization on the scale and structure of foreign exchange reserves,and the main conclusions were tested with panel data issued in major international currencies.The results show that the internationalization of the currency will improve the level of the utility of the foreign exchange reserve management authorities,and with the improvement of the degree of internationalization of the currency increases,the scale of the desired foreign exchange will rise first and fall then.Meanwhile,currency internationalization will increase the risk tolerance of ultra-existing asset allocation and increase the risk-reward degree of its active allocation of assets,which is reflected in a more diversified asset allocation.The empirical analysis supports the theoretical model.The conclusions of theoretical and empirical analysis provide some inspiration for the management of the scale and structure of foreign exchange reserves in the process of RMB internationalization.

关 键 词：外汇储备规模 外汇储备结构 货币国际化 人民币国际化 

分 类 号：F831.6[经济管理—金融学]