基于期望效用-熵模型的日本外汇储备资产结构优化研究  

A Study on Optimizing Japan's Foreign Exchange Reserve Asset Structure Based on the Expectation Utility-Entropy Model

作　　者：范德胜[1] 何明杰 FAN Desheng;HE Mingjie(International Business School,Beijing Foreign Studies University)

机构地区：[1]北京外国语大学国际商学院

出　　处：《金融市场研究》2023年第8期99-112,共14页Financial Market Research

基　　金：北京外国语大学中央高校基本科研业务项目“基于期望效用-熵模型的我国外汇储备资产结构优化研究”(2021JJ020)。

摘　　要：外汇储备指一国政府所持有的国际储备资产中的外汇部分,即一国政府保有的以外币表示的债权,是一个国家货币当局持有并可以随时兑换外国货币的资产。外汇储备资产的有效管理则需要综合分析外汇储备资产的使用渠道和投资方向及本国的外汇管理机制。本文基于外汇储备资产结构优化的理论基础,选择期望效用熵-模型对日本的外汇储备资产结构进行优化。本文首先对全球的外汇储备现状和日本的外汇储备资产结构做出相关的说明,并且指出日本外汇储备资产中存在的问题。选取了国际清算银行统计下2005—2022年间占据前14位交易量的货币,利用名义有效汇率指数进行了期望效用-熵风险的排序;接下来结合日本的经济贸易发展情况、汇率制度,以及外币储备国的经济水平等影响外汇储备资产结构的因素,选取了几种主要货币进行资产结构的优化;并加入了新兴市场的货币进一步做出优化研究,得出日本外汇储备资产结构的最优分配比例。最后将中国和日本的外汇储备资产结构做以对比,并得出相关建议。Foreign exchange reserves refer to part of the international reserve assets held by a government,that is,creditor's rights held by a government in foreign currencies.These are the assets that can be exchanged for foreign currencies held by a monetary authority at any time.The effective management of foreign exchange reserve assets requires a comprehensive analysis of the channels and investment directions by a domestic foreign exchange management system.Based on the theoretical basis of optimizing the structure of foreign exchange reserves,this paper makes use of the expected utility-entropy model to optimize the structure of Japanese foreign exchange reserve assets.Firstly,this paper explains the current asset structure of Japan's foreign exchange reserve assets and selects top 14 currencies in terms of trading volume for the period 2005-2022,according to the Bank for International Settlements.Then in combination with factors such as Japan's economic and trade development,its exchange rate system,and the economic level of foreign currency reserve countries,it selects several major currencies to optimize the foreign exchange reserve structure.Additionally,the currencies of emerging markets are added to expand the research on reserve asset optimization.Based on this aforementioned analysis,this study creates an optimal allocation ratio for Japan's foreign exchange reserve asset.Finally,the paper compares the foreign exchange reserve assets structure of China and Japan and makes relevant suggestions.

关 键 词：日本外汇储备 币种结构 期望效用-熵模型 汇率制度 

分 类 号：F831.6[经济管理—金融学]