中国外汇储备币种结构优化研究

Research into the Optimization of Currency Structure of Chinese Foreign Exchange Reserve

随着中国外汇储备规模的急剧扩大,储备币种结构单一、收益率低和风险过于集中的问题日益突出。本文以资产组合理论为基础,对我国外汇储备的收益和风险结构进行研究,并结合海勒—奈特模型和杜利模型中决定外汇储备币种结构的各要素,推算我国外汇储备各主要币种的合理权重,据此提出外汇储备币种多元化等优化外汇储备币种结构的建议。

China has undergone a staggering increase in its foreign exchange reserve,which brings about many problems such as simple structure of currency type,low return and accumulated risk.On the basis of Harry Markowitz's theory of portfolio selection,this paper tries to research into the return and risk structure of foreign exchange reserve.Based on Heller-Knight Model and Dooley Model,it calculates the reasonable weight of the main currency of foreign exchange reserve.Then,it proposes that diversifying currency type can optimize currency structure of Chinese foreign exchange reserve.