外汇储备的资产配置策略与合意规模——基于国家资产负债管理框架与或有债权分析方法的研究

Research on the Allocation Strategy and Desirable Scale of Foreign Reserve-Based on SALM Framework and CCA

传统观点认为,外汇储备的持有目的是满足国际收支需要。与之不同,本文关注外汇储备的风险对冲功能。针对外汇储备属于国家资产的根本性质,将外汇储备置于主权国家资产负债表管理(SALM)框架,利用或有债权(CCA)方法对外汇储备的资产配置策略和合意规模进行研究。理论分析表明,基于SALM视角,外汇储备的持有目的在于对冲主权国家资产负债表风险中的国内经济产出风险、私人部门风险、外债风险和财政资产风险。外汇储备资产配置策略与主权国家资产负债表的隐含杠杆比例有关。当隐含杠杆比例过高时,为降低主权国家违约风险,外汇储备资产的配置策略应是提高外汇储备资产与国内经济周期的相关系数;反之,则应降低外汇储备资产与国内经济周期的相关系数。外汇储备资产规模对主权国家违约风险具有门槛效应,存在可能合意规模。实证结果表明,对新兴市场国家而言,合意的外汇储备/GDP比例为高于11.49%。

In traditional opinion,foreign reserve is held to make international payment.On the contrary,this paper firstly identifies foreign reserve as a tool of risk mitigation in sovereign asset and liability management(SALM)since it's essentially sovereign asset,and then studies foreign reserve allocation strategy as well as the most reasonable scale by means of contingent claim analysis(CCA).The conclusions are as followed.First,holding foreign reserve could contribute to mitigating domestic economic risk,private sector risk and foreign debt risk in SALM.Second,foreign reserve allocation strategy should be adjusted according to the implicit leverage ratio of sovereign balance sheet.Specifically,when the implicit leverage ratio exceeds a certain level,it's reasonable to increase the correlation coefficient of foreign reserve and domestic economy to lower down sovereign credit risk,and vise versa.Third,foreign reserve has threshold effect on sovereign credit risk and thus there's possible desirable level which is empirically tested in this paper to be larger than 11.49%as a ratio of GDP in emerging market countries.