一个估计外汇储备币种-资产组合的新框架——兼评中国外汇储备构成的动态演进

A New Framework to Estimate the Currency-Asset Portfolio of Foreign Exchange Reserves--An Application to China

现有文献仅估计了外汇储备的币种结构,但从未探索其资产构成。本文首次构建国家外汇储备的币种资产结构矩阵,推导外汇储备动态演进方程,并提出滚动平均回归方法,实现对外汇储备币种资产组合的良好估计。然后考虑美元、欧元、英镑与日元四个币种,以及国债、股票与机构债三种资产,估计了2004—2019年间中国外汇储备构成的动态演进。本文的新框架新方法,有助于弥补当前学术短板,评估国别金融风险以及优化国家外汇储备管理。

Existing literature have estimated the currency portfolio of foreign exchange(FX)reserves,but have not explored the asset portfolio.We construct a currency-asset portfolio matrix of the nation's FX reserves and derive their dynamic evolution equation.Using Rolling and Averaging regression,we estimate the evolution of portfolio of China's FX reserve from 2004 to 2019,with four major currencies and three major assets in consideration.Our new framework and methodology help to improve current research deficiencies,assess country-specific financial risks and optimize nations'FX reserve management.