發(fā)布時間：2018-06-25 00:20

  本文選題：外匯儲備預警 + 風險值估算��； 參考：《南京師范大學》2014年碩士論文

【摘要】：自2002年以來,在國際收支雙順差和強制結售匯制度的背景下,中國的外匯儲備數(shù)量一直保持著超常規(guī)的增長。然而在外匯儲備不斷積累的過程中,卻伴隨著各種各樣的問題。外匯儲備規(guī)模過大、投資渠道單一、幣種結構不合理等已經(jīng)成了不爭的事實。美國債務上限日益提高,已從多方面對持有美國國債最多的中國的外匯儲備安全造成極大影響。因此,考慮美國債務上限提高背景下中國外匯儲備的風險受到哪些因素的影響是至關重要的,同時從風險管理的角度建立外匯儲備的危機預警系統(tǒng)具有重要的現(xiàn)實意義,一國的貨幣管理當局采取合適的措施來對外匯儲備的風險進行管控也對國內(nèi)的宏觀經(jīng)濟發(fā)展有著積極的意義。 本文首先對現(xiàn)有的外匯儲備管理理論進行了梳理,在美國債務不斷增多的背景下對外匯儲備可能面臨的風險和風險管理的研究成果進行了較為深入的探究,并簡要總結了國內(nèi)外目前的研究成果,在此基礎上指出全文的研究方法和思路。其次,介紹了本文的理論框架,從中國宏觀經(jīng)濟、美國債務評估、中國外匯儲備結構的合理性三個角度選取預警指標,并初步構建了外匯儲備風險指標體系,作為下文實證分析的基礎。接下來,就是對外匯儲備風險預警系統(tǒng)的構建和實證分析,首先采用主成分分析方法檢驗了各個指標的可行性并確定了各個指標的權重以得出主要影響因素,隨后采用功效系數(shù)法將各指標進行指數(shù)化并估算出各時期的外匯儲備風險值。再根據(jù)所得風險值運用ARIMA模型得出外匯儲備風險的預警公式,利用該公式對風險值進行計算,并將計算值與估算值相比較以驗證該模型的準確性。最后在靜態(tài)預測的方法下逐期滯后,得到未來幾年的風險預測值。總結得出如下結論：自2002年以來,外匯儲備風險一直在不斷增在,尤其在2007年之后的大部分時間里,風險值一直處于高危的狀態(tài)。同時,盡管外匯儲備風險的增大一部分原因是受到美國債務負擔不斷增大的影響,但究其根本,仍是自身結構和管理方式的不合理造成的。 根據(jù)上述結論,在考慮中國目前的實際情況和未來發(fā)展方向的前提下,本文針對化解我國外匯儲備風險及完善外匯儲備管理方法給出以下幾點政策建議：第一,采取積極主動的方式管理外匯儲備,在保證流動性的前提下,積極尋求高收益率的投資方式；第二,調(diào)整政策使經(jīng)常項目和資本項目保持適當順差以減少外匯儲備量；第三,將管理權與經(jīng)營權分離,由財政部作為外匯儲備的管理機構,中央銀行作為外匯儲備的經(jīng)營機構,形成相互制約的管理體系,以分散和管理風險；第四,在保持現(xiàn)有美元資產(chǎn)規(guī)模的基礎上,對美元資產(chǎn)的內(nèi)部結構進行調(diào)整,將部分美國政府債券轉換為美國企業(yè)債券或抵押債券；第五,抓住機會,逢低吸納黃金,實現(xiàn)黃金儲備的增長；第六,從多個方面拓展外匯儲備新功能,將外匯儲備用于主權財富基金、國際援助、人才引進、儲備物資等多元化投資。
[Abstract]:Since 2002, in the context of the double balance of payments surplus and the compulsory settlement and sale system, the number of China's foreign exchange reserves has maintained a supernormal growth. However, in the process of the accumulation of foreign exchange reserves, there are all kinds of problems. The large scale of foreign exchange reserves, the single investment channel and the unreasonable currency structure have become the result. Indisputable fact. The increasing debt ceiling in the United States has greatly affected the security of China's foreign exchange reserves with the largest holdings of US Treasury bonds in many ways. Therefore, it is crucial to consider what factors in the risk of China's foreign exchange reserves under the background of the increase in the debt ceiling of the United States, and the establishment of foreign exchange from the perspective of risk management. The crisis early-warning system of reserve has important practical significance. It is of positive significance for a country's monetary authorities to take appropriate measures to control the risk of foreign exchange reserves.
This paper first combed the existing theory of foreign exchange reserve management, explored the possible risks and risk management of foreign exchange reserves in the context of the increasing debt of the United States, and briefly summarized the research results at home and abroad. On this basis, it pointed out the research methods and thoughts of the full text. Secondly, it introduces the theoretical framework of this paper, and selects early warning indicators from three angles of China's macro economy, American debt assessment and the rationality of China's foreign exchange reserve structure, and initially constructs the risk index system of foreign exchange reserve, which is the basis for the following empirical analysis. First of all, the principal component analysis method is used to test the feasibility of each index and determine the weight of each index to get the main influencing factors. Then the index is indexed and the foreign exchange reserve risk values are estimated by the efficiency coefficient method. Then the ARIMA model is used to obtain the foreign exchange reserve wind according to the value of the risk. Risk early-warning formula is used to calculate the risk value and compare the calculated value with the estimated value to verify the accuracy of the model. Finally, the risk prediction value of the next few years is obtained by the static prediction method, and the following conclusions are concluded: the risk of foreign exchange reserve has been increasing since 2002, especially since 2002. At the same time, the risk value has been at high risk for most of the year after 2007. While the increase in the risk of foreign exchange reserves is partly due to the increasing impact of the debt burden on the United States, it is still at the root of its own structure and the irrational way of management.
According to the above conclusion, on the premise of considering the current situation and future development direction of China, this paper gives the following policy suggestions to resolve the risk of foreign exchange reserve and improve the management method of foreign exchange reserve: first, take active and active way to manage foreign exchange reserve and actively seek high income under the premise of ensuring liquidity. Second, the adjustment policy makes the current account and capital account keep the appropriate surplus to reduce the foreign exchange reserve; third, separate the management right from the management right, the Ministry of finance as the management institution of foreign exchange reserve, the central bank as the operating institution of foreign exchange reserve, to form a mutually restricted management system, in order to disperse and manage. Fourth, on the basis of maintaining the existing dollar assets, adjust the internal structure of the dollar assets, convert some of the US government bonds into American corporate bonds or mortgage bonds, and fifth, seize the opportunity to absorb gold on the dips, achieve the growth of gold reserves, and sixth, expand the new function of foreign exchange reserves from many aspects. Foreign exchange reserves will be used for diversified investments such as sovereign wealth funds, international assistance, talent introduction and reserve materials.
【學位授予單位】：南京師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.6

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