多目标需求视角下的外汇储备资产配置策略优化

Optimization for Asset Allocation of Foreign Exchange Reserve Based on Multi-objective Programming

提出外汇储备资产应依次考虑交易性需求、预防性需求、金融风险防范需求、投机性需求。基于多目标规划模型研究3种不同情境下我国外汇储备最优规模与结构。模型能够优先满足高优先级需求并同时测算资产配置规模和比例。研究发现,规模方面,我国外汇储备的确存在"规模超配"问题,超配总量大致在1.3~2.0万亿美元之间,这主要是由2006年至2011年因交易性需求引发的"被动式"增长所致,2011年至今外汇储备规模变化比较合理;结构方面,我国外汇储备应以债券和美元资产为主,债券和美元资产比例均应保持在60%~70%左右,然而我国实际外汇储备与美元价格变化相关性过高,说明长期以来我国外汇管理当局可能高估了美元价格变化对外汇储备决策的影响。

The foreign exchange reserve asset considering the needs of transaction,precautions,financial risk management and speculation in turn was proposed.Based on the multi-objective programming model,the optimal scale and structure of China’s foreign exchange reserves in three different situations were studied.The proposed model could give priority to high priority demand and measure the scale and proportion of asset allocation at the same time.The research finds out:in terms of scale,China’s foreign exchange reserves do have the problem of“scale over matching”.The total amount of over matching is about 1.3-2.0 trillion US dollars,which is mainly caused by the“passive”growth caused by transactional demand from 2006 to 2011,and the scale of foreign exchange reserves has changed reasonably since 2011;in terms of structure,China’s foreign exchange reserves should be dominated by bonds and US dollar assets,and the proportion of bonds and US dollar assets should be kept at about 60%~70%.However,the high correlation between China’s actual foreign exchange reserves and US dollar price changes indicates that China’s foreign exchange management authorities may overestimate the impact of US dollar price changes on foreign exchange reserve decision-making for a long time.