中国外汇储备安全管理压力测试与实证分析

Pressure Test of Security Management in China's Foreign Exchange Reserve and Empirical Analysis

人民币于2016年10月1日正式加入特别提款权(SDR)篮子,成为SDR五大货币之一。中国作为主要外汇储备持有国,外汇储备面临着金融霸权、政治霸权和军事霸权的多重威胁,其安全管理的重要性前所未有。本文从战略管理视角,选取人民币对美元汇率中间价指标,通过构建VaR-GARCH模型,计算外汇储备中占绝对比例的美元资产的在险价值,同时进行压力测试,对外汇储备的安全度量和压力冲击进行实证分析,探索在不同状态下的承压程度,进而寻求不同情境下维护外汇储备安全的策略。

RMB has officially entered Special Drawing Right on Oct lst.2016, since then it will be one of five major currencies in SDR. As China owns one of the largest scale of foreign exchange reserves in the world, our foreign exchange reserves face threats from financial hegemony, political hegemony and military hegemony, the importance of security management is unprecedented. This paper angles from the strategy and management, chooses median price of exchange rate of RMB against the US dollar to calculate value at risk of dollar assets in foreign exchange reserves by using model VaR-GARCH, then uses pressure test to make empirical analysis for security metrics and pressure impact of Chinese foreign exchange reserves, in order to search for strategies which can maintain safety of foreign exchange reserves under all kinds of circumstances.