货币性外汇储备资产的多层次优化配置

Multilevel Optimized Allocation of Monetary Foreign Exchange Reserve Assets

在中国拥有巨额外汇储备并急需寻求储备资产管理模式创新的背景下,本文以货币性外汇储备和资本性外汇储备的划分为前提,将多层次、系统的管理思想引入到外汇储备资产优化配置中。通过构建基于多层次需求的货币性外汇储备币种结构优化的AHP模型,测算出外汇储备货币性资产的最优币种权重。在币种结构确定的基础上再建立修正的资产结构优化AHP模型,并最终计算出货币性资产权重,从而实现了币种结构和资产结构优化的真正结合。研究结果表明,美元在币种权重中的领导地位难以撼动,货币性存款在资产组合权重中也具有明显优势。

Under the background of holding huge foreign exchange reserve and reqiring reserve assets management mode innovation in China, based on the prem- ise of divide of monetary and capital foreign exchange reserves assets, this paper introduces the management thoughts of multi-level and systematic into foreign ex- change reserve assets optimization configuration, and works out the optimal money assets weight of foreign exchange reserves. According to the monetary structure, this paper establishes a fixed AHP model of assets structure optimization, and fi- nally calculates the weight of monetary assets, thus realizes combine of monetary structure and assets structure. Study results show that the U. S. Dollar is very im- portant in monetary weigh, and monetary deposit has obvious advantages in the as- set portfolio weight.