【作者】 石光宇；

【导师】 肖红叶；

【作者基本信息】 天津财经大学 ， 数量经济学， 2009， 硕士

【摘要】 外汇储备是是显示一个国家经济、货币和国际收支等综合实力的重要指标之一,肩负着调节国际收支、维持本国货币汇率稳定、应付各种紧急支付、防范和化解国际金融风险和维护本国国际信誉的重要任务。进入21世纪以来,经济全球化和金融国际化的不断深入为各国带来更广泛的创造财富的机会,但与此同时,国际资本的迅速流动也使得国际经济环境中蕴藏着更多的不稳定因素。特别是自2008年席卷全球的金融危机爆发以来,全球外汇市场面临的汇率风险愈发加剧。与之相应的是我国外汇储备主要是美元储备增长迅速,截至2008年12月,已达19460亿美元,高居世界第一位。我国外汇储备虽然规模巨大,但储备结构存在着严重缺陷,包括货币资产过多而且结构单一等主要问题。在世界经济格局复杂多变、汇率风险不断加剧、国际信用货币体系面临着重大挑战的今天,调整外汇储备结构、提高外汇储备安全性已成为当务之急。论文根据国家外汇管理局以及国际清算银行等权威组织或机构所公布的汇率数据为依据,从数量经济学的角度出发,运用动态时间序列建模的一般方法,从特殊到一般,着重从储备货币资产最优比重方面探讨我国最优外汇储备结构的调整方向,从而为外汇储备结构调整提供理论依据和政策建议。模型充分考虑了影响我国外汇储备币种构成的约束条件,在风险刻画上具有一定的创新性。而在储备结构的讨论方面,探讨了几种切实可行的资产调整方法,包括着重分析了黄金储备这一具有高安全性的保值资产,对于我国抵御外汇风险,在保持流动性,着重安全性的基础上,如何对外汇储备资产进行策略性调整,以及如何实施积极的外汇储备管理提供了可行的政策建议。更多还原

【Abstract】 Foreign exchange reserves is to demonstrate a country’s economic,monetary and balance of payments, such as an important indicator of overall strength of the shoulder adjustment of international payments and maintain the national currency exchange rate stability, defuse financial risks and maintain international international credibility. Since entering the 21st century, economic globalization is deepening of countries to create wealth, but at the same time, rapid flow of international capital has made the international economic environment, there are more unstable factors. Particularly since the financial crisis, global foreign exchange market exchange rate risks faced by the more intensified. Corresponding foreign exchange reserves in China rapid growth, as of December 2008 reached 1,946 trillion USD. Although the magnitude of China’s reserves, the structural defects exist. Complex and changing patterns in the world economy, international credit monetary system faces great challenges today, so adjust the foreign currency reserve structure, improve the safety of reserves is becomming imperative.Papers in accordance with the BIS announces the REER , and using dynamic time series modeling of the general approach, from the currency structure and asset structure to explore the best structure of foreign exchange reserves. Model takes full account of the impact of the currency composition of China’s foreign exchange reserves constraint conditions, at the risk of portraying a certain extent on innovative. In the discussion of asset structure, and explore several practical way to adjust the assets, including the focus on an analysis of the gold reserves. Focus on safety foundation to make a strategic adjustment of the foreign currency reserve assets, as well as how to implement active management of foreign exchange reserves provide some policy recommendations.更多还原