【摘要】：截至2012年6月底中國(guó)外匯儲(chǔ)備達(dá)到32400.05億美元，然而近年來我國(guó)外匯儲(chǔ)備規(guī)模的快速增長(zhǎng)過程中卻也蘊(yùn)含了巨大的風(fēng)險(xiǎn)。外匯儲(chǔ)備的流動(dòng)性風(fēng)險(xiǎn)是指中央銀行無法以迅速并且較低的成本將其持有的外匯儲(chǔ)備資產(chǎn)轉(zhuǎn)變?yōu)楝F(xiàn)金用來滿足流動(dòng)性需要的可能性。本文在綜合流動(dòng)性風(fēng)險(xiǎn)測(cè)度方法以及外匯儲(chǔ)備方面研究成果的基礎(chǔ)上，運(yùn)用或有權(quán)益分析方法對(duì)我國(guó)外匯儲(chǔ)備的流動(dòng)性風(fēng)險(xiǎn)進(jìn)行了實(shí)證分析，在一定程度上深化和補(bǔ)充了外匯儲(chǔ)備風(fēng)險(xiǎn)管理理論。 本文首先回顧了我國(guó)外匯儲(chǔ)備發(fā)展的歷程，在分析我國(guó)外匯儲(chǔ)備幣種結(jié)構(gòu)與資產(chǎn)結(jié)構(gòu)的基礎(chǔ)上進(jìn)一步指出了我國(guó)外匯儲(chǔ)備所面臨的主要風(fēng)險(xiǎn)，諸如利率風(fēng)險(xiǎn)、匯率風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)和機(jī)會(huì)風(fēng)險(xiǎn)等。隨后文章在第三部分構(gòu)建了基于或有權(quán)益分析方法的外匯儲(chǔ)備流動(dòng)性風(fēng)險(xiǎn)測(cè)度模型。最后，，本文利用CCA方法對(duì)我國(guó)外匯儲(chǔ)備流動(dòng)性風(fēng)險(xiǎn)進(jìn)行了實(shí)證分析和度量，發(fā)現(xiàn)我國(guó)外匯儲(chǔ)備資產(chǎn)的流動(dòng)性風(fēng)險(xiǎn)呈現(xiàn)風(fēng)險(xiǎn)概率值小但波動(dòng)性大的特點(diǎn)，特別是自2011年來外匯儲(chǔ)備的流動(dòng)性風(fēng)險(xiǎn)明顯增加，在此基礎(chǔ)上本文繼而提出了加強(qiáng)風(fēng)險(xiǎn)防范的相關(guān)政策建議。
[Abstract]:By the end of June 2012, China's foreign exchange reserves reached $3.240005 trillion. However, the rapid growth of China's foreign exchange reserves in recent years also contains great risks. The liquidity risk of foreign exchange reserves refers to the possibility that central banks will not be able to convert their foreign exchange reserve assets into cash to meet liquidity needs at a rapid and low cost. Based on the comprehensive liquidity risk measurement method and the research results of foreign exchange reserves, this paper makes an empirical analysis of the liquidity risk of foreign exchange reserves in China by using the contingent interest analysis method, which deepens and complements the theory of foreign exchange reserve risk management to a certain extent. This paper first reviews the development of China's foreign exchange reserves, and on the basis of analyzing the currency structure and asset structure of China's foreign exchange reserves, further points out the main risks faced by China's foreign exchange reserves, such as interest rate risk, exchange rate risk, liquidity risk and opportunity risk. Then in the third part, the paper constructs a liquidity risk measurement model of foreign exchange reserves based on contingent equity analysis. Finally, this paper makes an empirical analysis and measurement of the liquidity risk of foreign exchange reserves in China by using CCA method, and finds that the liquidity risk of foreign exchange reserve assets in China is characterized by small risk probability but high volatility, especially the liquidity risk of foreign exchange reserves has increased obviously since 2011. On this basis, this paper puts forward some relevant policy suggestions to strengthen risk prevention.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.6

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