外部冲击下外汇储备与主权财富基金的最优配置

Optimal allocation of foreign exchange reserves and sovereign wealth funds under external shocks

构建了国际收支在遭受外部冲击背景下,外汇储备与主权财富基金的随机优化配置模型,并使用我国实际数据进行了情景分析.研究结果表明,外汇储备最佳持有量随持有储备机会成本的降低而增加;主权财富基金的适度追加量则与其变现成本的变动趋势相反.当前我国外汇储备持有量高于最佳规模,可对主权财富基金进行资金追加,以获取更多的收益和财富;提出了具体调整策略,情景分析表明该策略有效降低了包括机会成本和变现成本在内的持有外汇储备的总成本.

This paper developed a stochastic framework that helps to quantify a country＇s optimal level of foreign exchange reserves and sovereign wealth funds under external shocks to balance of payments and does the scenario analysis employing China＇s data. We found that lower opportunity cost of foreign exchange reserves will raise the demand for foreign exchange reserves, while greater liquidation cost of sovereign wealth flmds will decrease the amount added to sovereign wealth funds. The current level of China＇s foreign reserves is higher than the optimal level, some of which should be added to sovereign wealth flmds to obtain more earnings and wealth. The specific management strategies are put forward in the paper. Scenario analysis indicates the strategies make the total cost consisting of opportunity and liquidation cost of holding foreign reserves reduce significantly.