【作者】 郝婷婷；

【导师】 钟晓兵；

【作者基本信息】 哈尔滨工业大学 ， 国际贸易学， 2009， 硕士

【摘要】 合理的外汇储备币种结构对外汇储备职能的发挥有着重大的意义,科学的外汇储备管理也对该国调节国际收支和稳定汇率起着至关重要的作用。在浮动汇率制度下,一国持有的外汇储备往往会因为外汇市场的风云突变而遭受损失。因此,各国都应采取适当的措施对外汇储备进行管理以期最大程度上规避外汇储备的风险。其中,如何选择外汇储备币种,如何构建适当的外汇储备币种结构是各国在进行外汇储备管理时所必须面临的现实问题。因而我国一定要重视外汇储备币种结构的管理的重要性。首先对我国外汇储备币种结构的目标进行分析,进而在确定外汇储备币种结构管理目标的条件下,通过对不同种类储备货币的合理搭配,来实现风险最小或收益最大这一目标。在币种结构的选择过程中,根据外汇储备币种选择的经济实力原则、币值稳定原则和交易匹配原则,结合我国的实际情况,最终确定美元、日元、欧元和英镑为我国的储备货币,以此作为模型的方案层。在对影响我国外汇储备币种结构的因素进行较为全面分析的基础之上,根据科学性、清晰性、目的性、系统优化、可比性、可操作性、可验证性这些指标体系的设计原则,从所列的影响因素中选取储备货币风险和收益、贸易结构、外债结构以及对外投资结构这四项指标作为我国外汇储备币种结构管理的主要指标,以此框架作为模型的准则层。在应用过程中将遗传算法与层次分析法相结合,最后得出方案层中各储备货币的权重。对得出的储备货币权重结果进行分析,我们认为应该适当降低外汇储备中美元的份额,增加欧元在外汇储备中的比重。但是随着各影响因素的变化,应对我国外汇储备币种结构进行动态调整以期建立更完善的管理体制。更多还原

【Abstract】 Reasonable currency composition of foreign exchange reserve has great significance to the functioning of the foreign exchange reserve, Scientific management of foreign exchange reserve plays a vital role in adjusting the balance of payments and exchange rate stability. In a floating exchange rate system, holding foreign exchange reserve often means suffering losses because of the variable situation in the domestic and international foreign exchange market. Therefore, the countries of the world should take appropriate measures to manage foreign exchange reserve with a view to maximizeing extent to avoid the risk. Among them, how to choose a foreign exchange reserve currency,how to build the appropriate currency structure of foreign exchange reserve is a practical problem which all countries have to face in the management of official reserves. Therefore,China’s should attach importance to the management of currency composition.First of all, we analysis China’s objectives in the management of the currency composition, and under the conditions of certain managed objectives,by allocating different types of reserve currency reasonably, to achieve the objective which is the risk minimization or revenue maximization.According to the principles of reserve currency selection,which are economic strength, the stability of the currency and matching principles,combined with the actual situation of our country, and choose the dollar, yen, euro and pound sterling as reserve currency of our country ultimately, and take it as program layer of AGA-CAHP model.On the basis of comprehensive analysising the factors that impact the currency composition, in accordance with scientific,clarity,purpose,system optimization,comparability,operable,verifiable principles,we choose from the impact factors listed,which are reserve currency risks and benefits, trade structure, the structure of foreign debt and foreign investment structure as the main indicators of the China’s reserve currency composition management.and take the framework as the guideline layer of the model. In the application process,we combined genetic algorithms with analytic hierarchy process.At last ,we came to the conclusion that a layer weight of the reserve currency.Analysis the results, we believe that we should be appropriate to reduce the share of U.S. dollars in foreign exchange reserve, and increase the proportion of euro in the foreign exchange reserve.However,with the changeing influencing factors, The currency composition of foreign exchange reserve should be adjusted dynamically with a view to improve the management system.更多还原