基于改进的随机规划模型对中国外汇储备资产结构的研究

发布时间：2018-03-30 03:36

本文选题：外汇储备　切入点：外汇储备币种结构　出处：《沈阳理工大学》2013年硕士论文

【摘要】：外汇储备作为一国政府持有的可兑换为外国货币金融资产，是调节国际收支平衡，稳定货币汇率、保证信誉以及增加国家财富的主要物质基础。随着经济的发展，中国已经成为世界外汇储备量最多的国家，中国外汇储备面临的问题不仅是外汇储备存量规模大、增速快、结构复杂，而且由于中国外汇储备资产绝大多数用来购买美国国债及长期债券，使得中国的外汇储备资产和美国的国债市场紧密相连。奥巴马的经济振兴计划以及对人民币升值施加的压力等等一系列的事实都警示中国政府:中国外汇储备面临着极大的缩水问题。外汇储备的持续积累己经远远超过了规避风险意义的需求，现行的外汇储备政策只会使中国的居民遭受重大的福利损失。单一的外汇储备资产组合会使我国的外汇储备蒙受巨大的风险，提高储备利用效率，实现储备投资多元化是我国外汇储备调整的当务之急，也是在保证安全性的基础上实现外汇储备保值增值的重要手段。本文建立多阶段随机规划模型来分析中国外汇储备资产的结构情况。首先，分析中国外汇储备的现状，得出外汇储备总量和结构上存在的问题，并通过收集和整理各国公布的数据，得出中国外汇储备的币种结构和资产结构配置情况；其次，以期末资产的财富最大化为目标，以安全性、流动性和收益性为原则，建立中国外汇储备资产的随机规划模型；再次，通过外汇储备资产的历史收益率来模拟资产在未来的收益状况，并将其带入随机规划模型，生成保证安全性和流动性的情况下，收益最优的外汇储备资产结构配置情况；最后，，将模型得出的最优化的资产配置情况与中国现行的外汇储备资产结构对比，指出存在的问题并提出改进的对策。
[Abstract]:As a foreign currency financial asset held by a government, foreign exchange reserve is the main material base to adjust the balance of payments, stabilize the currency exchange rate, guarantee the credibility and increase the wealth of the country.With the development of the economy, China has become the largest foreign exchange reserve country in the world. The problems faced by China's foreign exchange reserves are not only the large scale of foreign exchange reserves, the rapid growth rate, and the complexity of the structure.And because most of China's foreign exchange reserves are used to buy U.S. Treasuries and long-term bonds, China's foreign-exchange reserve assets are closely linked to the U.S. Treasury bond market.Obama's plan to revive the economy and pressure on the yuan's appreciation are among a series of facts that warn the Chinese government that China's foreign exchange reserves are facing a huge contraction.The continuous accumulation of foreign exchange reserves has far exceeded the need for avoiding risks. The current foreign exchange reserve policy will only cause the residents of China to suffer great welfare losses.A single portfolio of foreign exchange reserve assets will make our country's foreign exchange reserve suffer enormous risks. It is urgent for our country to adjust foreign exchange reserve by improving the efficiency of reserve utilization and realizing the diversification of reserve investment.It is also an important means to maintain and increase the value of foreign exchange reserves on the basis of security.In this paper, a multi-stage stochastic programming model is established to analyze the structure of China's foreign exchange reserve assets.First of all, by analyzing the current situation of China's foreign exchange reserves, the problems in the total amount and structure of foreign exchange reserves are obtained, and the currency structure and asset structure allocation of China's foreign exchange reserves are obtained by collecting and collating the data published by various countries.Taking the wealth maximization of assets at the end of the period as the goal and taking security, liquidity and profitability as the principles, the stochastic programming model of China's foreign exchange reserve assets is established.Through the historical rate of return of foreign exchange reserve assets to simulate the future income situation of assets, and bring it into the stochastic programming model to generate the optimal allocation of foreign exchange reserve assets structure under the condition of ensuring security and liquidity. Finally,In this paper, the optimal asset allocation obtained by the model is compared with the current foreign exchange reserve asset structure in China, and the existing problems are pointed out and the countermeasures for improvement are put forward.
【学位授予单位】：沈阳理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F224

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