【摘要】 在DCC-GARCH-CVaR优化模型的基础上引入贸易和外债结构以及汇改等约束条件,通过对货币收益率做出有无交易成本下的五种假设,估计2001~2012年中国外汇储备的最优币种结构,并分析交易成本的引入对优化结果的影响。研究发现,汇改前美元在最优外汇储备结构中具有优势,但美元的低收益导致优势并不明显;汇改后高美元占比不利于风险最小化,故美元最优权重的优势进一步减小,而欧元和日元的最优权重有所上升;交易成本的引入未改变各货币的最优权重排序,但是引入交易成本确实会在一定程度上使国际化程度相对较低的韩元的最优权重下降。更多还原

【Abstract】 Based on DCC-GARCH-CVaR optimization model,the paper estimates the optimal currency compositions of china’s foreign exchange reserve from 2001 to 2012 with the constraints of the trade structure,external debt structure and exchange rate system reform. We use 5 different hypotheses on currency returns and analyze the influence of transaction costs on optimal currency composition. It turns out that before China’s exchange rate system reform,dollar is preponderant on the optimal foreign exchange reserve structure,but this advantage is hardly tremendous since the return of dollar is at disadvantage. After the reform,the dollar’s advantage continues diminishing while the optimal weights of other currencies increase,for in this way portfolio risk would reduce. Although including transaction costs does not change the order of currencies in optimal currency composition,it is still obvious that the optimal weight of won,which is weakly internationalized,would decrease under the influence of transaction cost.更多还原