【作者】 李征；

【导师】 扈文秀；

【作者基本信息】 西安理工大学 ， 企业管理， 2008， 硕士

【摘要】 外汇储备是国际货币体系的核心,也是国际金融领域的重要问题,一直受到国际金融机构和各国政府的普遍关注。近年来,我国外汇储备增长迅速,截至2008年1月,已达15282亿美元,居世界第一位。我国外汇储备规模巨大,但结构不尽合理,外汇储备大量集中于美元和美元资产,特别是美国国债。在当前美元贬值的背景下,我国的外汇储备结构存在缺陷,不仅面临美元贬值的汇率风险,而且直接面临因储备资产成本高而收益率较低带来的储备资产缩水。本文以外汇储备结构为研究对象,分别从币种结构和资产结构两方面分析了我国的外汇储备结构,探讨最优外汇储备币种结构及优化外汇储备资产结构的几种可行性方法,从而为外汇储备的积极管理提供理论依据和政策建议。在币种结构的讨论中,本文借鉴币种结构研究理论中的马科维茨投资组合选择理论和海勒-奈特杜里模型,采用均值-方差模型,综合考虑风险收益率、外债清偿力、对外贸易、汇率体制、外商投资、各国经济发展水平以及特别提款权等对货币需求的约束条件后,得出了最优外汇储备币种结构。在资产结构的讨论方面,探讨了几种切实可行的资产调整方法,包括分散美元资产组合、将美元资产投资于信用评级良好的公司债券和大型蓝筹股增加外汇储备的收益性;分析了黄金储备具有高流动和高安全性的特点,且与其他储备资产的收益不相关可做为供选择的储备资产。这对于我国外汇管理的实践中,分散外汇储备投资组合在安全性和流动性的基础上,提高外汇储备的收益性,实施积极的外汇储备管理提供了一定的借鉴意义。在文章的最后一个部分本文分析了外汇储备管理的几种有效方式,提出了采取积极的储备管理战略、建立统一的储备管理体制、建立多元化的储备经营操作机构,并在结构管理有效利用分析方面提出将储备转化为投资、将资金转化为资本,资产结构调整回归国内层面等政策性建议。更多还原

【Abstract】 The foreign exchange reserve is a core of the international monetary system and an important problem of the international finance field. It has been receiving the general concerns of the international financial institution and governments of various countries all the time. Foreign exchange reserve accumulation of China has risen dramatically in recent years, the scale is accumulated to 1,200 billion dollars up to the end of March, 2007.Although the amount of foreign reserve is huge, the large share focus on US dollar and US assets, especially treasury bonds. The rising current account deficits and external debt of the United States have increased the pressure on the depreciation of US dollar and on central banks to diversify away from the US dollar. So active management of extra reserves should be operated to increase the return while maintains the safety and liquidity.This assay estimates the optimal portfolio shares among the main currencies and assets. To assess the composition of currency in our country, we first analyze the features of composition in global and especially of developing countries and come out with the overall estimation of the currency composition in China. Then the assay uses the mean-variance framework that comes from Markowitz portfolio selection theory, combining constrains of the composition of international trade and external debt. This framework is used to estimate the optimal currency share in our countries’ foreign exchange reserves. To analyze the asset portfolio, some asset types are discussed as a shift from US treasury bonds. For example, the investment in blue chip stock of developed countries is one option and the increasing holding of gold reserves is the other. In the end we give out proposal on the management of foreign exchange reserves: dividing the reserve assets into liquidity management and active management. By liquidity management, we maintain the liquidity and safety of reserve asset; by active management of professional institution, we get the high return..更多还原