全球金融危机下中国外汇储备币种构成的选择

The Choice of Currency Composition of China's Foreign Exchange Reserves under International Financial Crisis

金融危机使我国巨额外汇储备面临着贬值的风险,如何通过外汇储备币种结构的调整来缓解美元贬值的汇率风险,是我国外汇储备结构管理中亟待解决的问题。本文以马柯维兹资产组合理论为基础,同时结合海勒—奈特模型和杜利模型,对影响储备币种结构的因素进行全面系统的分析。在考虑外汇储备风险和收益的同时,综合考虑我国的贸易结构、外债结构、外商直接投资来源结构和汇率制度对我国外汇储备进行最优币种结构配置,提出了中国当前合理的储备币种权重,并提出从长期看应逐步减持美元、增持欧元、同时积极推进人民币国际化的建议。

China＇s foreign exchange reserves are facing serious loss risks with the outburst of the international financial crisis. How to choose and adjust the currency structure to avoid foreign exchange risk due to the depreciation of US dollars is an urgent problem to solve. Based on Markowitz portfolio selection theory, this paper combines Heller-Knight model and Dooley model to calculate the reasonable currency structure. While taking into consideration the risks and benefits of foreign exchange reserves as well as China＇s import and export trade structure, external debit structure, foreign investment source structure and exchange rate system, the paper aims to obtain a optimal currency structure for China. It proposes that we should decrease US dollars quota and increase Euro quota in foreign exchange reserves gradually and promote RMB internationalization actively.