中国外汇储备资产币种结构优化研究

A study on the optimization of the structure of foreign currencies of China's foreign reserves

本文通过对现有外汇储备币种结构文献的分析,分为考虑与不考虑预期3月进口用汇与短期外债用汇两种情况,分别利用资产组合理论,借助MATLAB求出4种外币的10年期与3月期8种政府债券组合。研究结果显示:考虑汇率变化导致持有外币资产收益变化的建模与计算分析发现:(1)为满足偿还短期外债与最近3月进口的用汇的需要,最好采用限制币种最低持有比例的情形,在风险发生突变并且迅速增加收益几乎不变的点为外币资产组合的最佳点,即有效前沿的转折点处;(2)就中国目前的外债与进出口状态而言,相对安全又具有合理收益的外汇储备资产的比例如下:英国3个月国库券为10.73%,10年期欧元债券为1.52%,3月期欧元债券为6.2%,3月期日本国债为5.65%,3月期美国国库券为75.91%,8种外币政府债券资产中的其余种类的比例均为0。

Through the analysis on the existing currency structure of foreign exchanges, we make two assumptions, i.e. consider or not consider exporting foreign exchanges and short-term foreign debts exchanges, use asset combination theory and MATLAB to get eight types of government debt combination with four foreign currencies in ten years and three months. The re- suits show that the modeling and calculation analysis which considers the changes in foreign exchange rate leading to the chang- es in the returns on the assets valued by foreign currencies suggest that： （1）to meet the demand of repaying short-term foreign debts and recent imports of foreign exchanges in three months, we＇ d better restrain the minimum proportion of currencies held. The point that risk occurs abruptly and increases rapidly while the returns remain unchanged could be the best point for the com- bination of foreign currency assets, i.e., the turning point of efficient frontier. （2） As for China＇ s foreign debt and export-import status quo, the proportions of the assets of foreign reserves with relative safety and rational returns are： three-month British trea- sury bill is 10.73%, ten-year, Euro bonds, l.52%, three-month Euro bonds,6.2%, three-month Japanese treasury bi11,5.65%, three-month U.S. treasury bi11,75.91%. The proportion of the rest types is zero.