基于风险-收益模型的外汇储备币种结构的多因素分析

Currency Structure of Foreign Exchange Reserves: an Analysis Based on Risk-Return Method

自2008年美国次债危机爆发以来,美联储频繁采用宽松的货币政策来刺激本国的经济复苏。伴随着美元的不断贬值,作为世界上最大的美元储备资产持有国,中国深受其害。在当前国际货币体系深度改革的大背景下,如何有效地管理外汇储备,不仅是当前中国面临的现实问题,也对中国参与国际经济事务具有深远的影响。本文试图在当今美元地位逐渐下滑、新兴市场国家兴起的背景下,全面系统地分析我国外汇储备的最优币种结构。本文采用风险-收益模型对外汇储备管理的四个关键因素(国际贸易、参照货币、风险承担能力、国际货币体系格局)分别进行实证研究,模拟出在不同情境下的中国最优储备币种结构,得出富有价值的研究结论,并提出相应的政策建议。

Since the onset of the subprime crisis, U.S Federal Reserve Board has adopted a series of monetary policies to promote domestic economic growth. As the world＇s largest holder of US dollar assets, China suffered significant loss from the substantial depreciation of US dollars. It is essential for China to adjust current strategy and improve the efficiency of foreign exchange reserve management. Moreover, in the process of international monetary system reform, a better approach of foreign exchange reserve management can also help China to get involved in the international economic affairs, and increase its power in the future international monetary system. In this paper, we use the dynamic mean-variance optimization framework to estimate the optimal currency weights of Chinese foreign exchange reserve. Particularly, to investigate whether and how the rising of emerging market currencies influences the Chinese foreign exchange reserve management, we examine four critical factors （international trading, reference currency, risk tolerance, pattern of the international monetary system） and simulate the Chinese optimal reserve currency structure in each case. Our results provide valuable suggestions on current Chinese foreign exchange reserve policies