中国国际储备战略调整方向

Strategic Adjustment of China's International Reserves

本文构建了一个国际储备在流动性储备资产与风险资产之间战略配置的随机优化框架,并基于期望效用理论和古诺模型,分别探讨了货币当局的风险偏好类型和国家间竞相持有储备对优化选择的影响。研究结果表明:进一步推进投资渠道多元化,增加对重要资源性产品国际市场的话语权和定价权,是我国储备未来的战略调整方向;风险规避型管理者偏爱更多的流动性;国家间竞相持有储备促使我国或努力降低成本或进一步减持储备,以遏止"以己为壑"结果的发生。

We developed a stochastic optimization framework that helps to quantify a country＇s optimal level of liquid international assets and risk assets.Implications of investment risk and interaction of reserve policy between countries to the optimization result are then analyzed based on expected utility theory and Cournot model respectively.The numerical method was used to obtain optimal allocation and the strategic adjustment reorientation of international reserves.The results show that it is urgent to further diversify investment channels of China＇s international reserves.Monetary authorities prefer more liquidity when the risk factors of investment are considered.Competitive holding of countries make us have to reduce holding costs or further reduce reserve holdings to avoid ＂beggar yourself＂.