我国外汇储备投资期限配置实证研究

An Empirical Study on the Term Structure of China's Foreign Exchange Reserve Investment

本文从理论模型解释和实证分析两方面探讨了我国外汇储备资产期限结构的调整策略。首先构建了外汇储备期限结构配置的理论模型,考虑外汇储备投资期限配置在安全性、流动性和收益性三原则之间的权衡关系,分析了长短期债券利率变化对于外汇储备中两者配置比重的影响。然后结合DCC-GARCH模型和基于VaR约束的投资组合模型实证检验了外汇储备中美国、英国、日本、德国四国国债的期限结构配置及调整路径。结果表明,我国外汇储备应以长期证券投资为主,并逐步增加中短期证券持有比例。

In recent years, China＇s foreign exchange reserve has maintained rapid growth. Under the background of the depreciation of U. S. dollar and the crisis of European sovereign credit rating, huge foreign exchange reserve and unreasonable foreign exchange reserve investment structure will not eign exchange and the resulting write-off costs, but also faces exchange well as political risk. Risk management of foreign exchange only brought huge funds outstanding for for- rate risk, interest rate risk, liquidity risk as reserve, especially the optimization of term structure, is basically a brand-new area for China＇s foreign exchange reserve investment. Therefore, along with China＇s foreign ex- change reserve risk management practice, using the theories and methods of DCC-GARCH model and Mean-CVaR model, we studied the allocation of the term structure of China＇s foreign exchange reserve, providing strong support for decision-making on China＇s foreign exchange reserve investment. The paper designs a theoretical model and makes an empirical study on the term structure of China＇s foreign exchange reserve investment. Assuming that China＇s foreign exchange reserve consists only of long term T-bonds and short term T-bonds, we analyze the impact of interests variation will have on the allocation of the two as- sets. Choosing the T-bond sample data of USA, Japan, Britain and Germany, we mean-CVaR model to get the ideal term structure allocation of China＇s foreign exc utilize asset portfolio theory and hange reserve investment. Then We make an empirical study on the allocation of the term structure of China＇s foreign exchange reserve investment. The model takes an overall consideration of security,liquidity and profitability. We assume that China＇s foreign exchange reserve consists only of long term T-bonds and short term T-bonds. We analyze the impact of inter- ests variation will have on the allocation of the two assets. Choosing the T-bond sample data of USA,Japan and Ger- many,we utilize DCC-GARCH Model, mean-CVaR model and asset portfolio theory to get the ideal term structure allocation of China＇s foreign exchange reserve investment. In order to describe the dynamic movement of interest risk more accurately,we use the H covariance matrix got from the DCC model to replace the parameter variance in VaR- model,so we design a dynamic VaR sequence, establish an optimization model. As the foreign exchange reserve assets＇ term structure allocation process is a dynamic adjustment process, we analyze the optimization allocation of foreign exchange assets＇ term structure in three adjustment stages respectively, and then we realize the foreign ex- change assets＇ term structure allocation and adjustment route. According to the empirical study results, we take the term structure allocation of the USA T-bonds for example ： the term-structure allocation of China＇s holding of USA T- bonds is primarily concentrates on one year and 20 year T-bonds in 2006 ~ 2008, on long-term T-bonds in 2008 - 2010,while in 2010 -2012, China properly decrease the holding proportion of short-term and long-term T-bonds and increase the weight of mid-term （5 year） T-bonds. Although the term structure allocation of China＇s foreign exchange reserve assets＇ of different countries＇ T-bonds behaves different, but generally speaking, there did exist some similarity in the term structure allocation of different countries＇ T-bonds. Firstly, the holding of long-term T-bonds takes the principal place, while the holding proportion of mid-term and short-term T-bonds is quite low ; secondly, the holding proportion of mid-term and short-term T- bonds shows a trend of escalation. China＇s foreign exchange reserve investment primarily concentrates on long term T-bonds and long-term government agency bonds. In view of the worldwide aggravation of interest rate risk, we should consider reducing the proportion of long-term bonds investment properly and accordingly increase the propor- tion of mid-term and short-term bonds investment.