中国外汇储备结构优化研究

华中科技大学博士学位论文中国外汇储备结构优化研究姓名：沈姗姗申请学位级别：博士专业：西方经济学指导教师：巴曙松2010-05-25I1997200137%65%-70%MMVD-VaR20031200910AAAAAAII——IIIIVAbstractAfterthe1997Asianfinancialcrisis,China'saccumulationofforeignexchangereservesbegantoincrease,andsince2001ithasbeenintomorerapidgrowthperiodwiththeaverageannualgrowthrateof37%.Relativetothelowreturn,therapidexpansionofthescaleofChina'sforeignexchangereserveshasmadetheopportunitycostofholdingreservestoohigh,whiletheexistingstructuralimbalanceinforeignexchangereservesleadtothemismatchingbetweeninvestmentreturnsandthecost.Atfirst,thisdissertationstudiesthecurrencycompositionofChina'sforeignexchangereservesandassetsstructureunderasinglecurrency,andthenthestructuralproblemsofChina'sforeignexchangereserves.Finallyweexpecttogetsomeusefulsuggestionsfromthebasicconclusions.Seenfromthecurrencycompositionofglobalforeignexchangereserves,dollar,euro,yenandsterlingarethemostimportantreservecurrenciesselectedbytheothercountriesandregionsintheworld.Althoughtheproportionofeuroinforeignexchangereserveshasincreased,thedollarisstillthedominantpositionofChina'sforeignexchangereserveinvestmentswhile65%-70%offoreignexchangereservesassetsaredollar.ThisdissertationwilladopttheMMVDmodeltostudythereasonableweightsofthesefourmajorreservecurrenciesinforeignexchangereserves.Intheempiricalstudy,wewillnotonlythinkabouttheeffectsofyieldsandriskinreservecurrencyselectionProcess,butalsoabsorbthefactoroftradestructureinHeller-KnightmodelandfactorsofexternaldebtandexchangeratevolatilityinDooleymodel.Afterconsideringvariousfactorsthedissertationconcludedthatproportionofdollarassetsinforeigncurrencymaybereduced,whiletheeuro,yenandsterlingassetsratiomaybeappropriatelyincreasedgraduallytoachievethegoalofdiversifyinreservescurrency.Foreignexchangereservestructureincludesanotherimportantelementthatistheassetallocationunderthesinglecurrency.BecauseoftheabsolutepositionofU.S.dollarinforeignexchangereserves,efficiencyinmanagingdollarassetswoulddirectlyaffecttheoveralleffectivenessofforeignexchangereservemanagement.UndertheVaRconstrainedportfolioselectiontheoryframework,thedissertationadoptstimeseriesofdollarsshort-termdebt,mediumdebt,long-termgovernmentbonds,mortgagebonds,stockreturnsandtheAAA-ratedcorporatebondfromJanuary2003toOctober2009toanalysisVthereasonablenessofassetallocationstructure.EmpiricalstudyconcludedthatourcountrycouldincreaseinvestmentinAAA-ratedcorporatebondstoincreasetheportfolioreturnsanddiversifyrisk,withthepremiseofensuringtheliquidityandsafety.Inaddition,theequityinvestmentisanotheradjustmentcontentofChina'sdollarreserveassets.Seenfromthelongterm,equityinvestmentgainsnotonlyyields,butalsothetruesenseofequityinvestmentistohelpChinaadjustEconomicgrowthmodel.AftercomparingChina,Japan,Korea,IndiaandHongKongdollarassetsallocationratio,wewillfindthatChina'sshareofU.S.dollarassetsinbondsheldhigh,whiletheproportionofequityinvestmentsheldlow,theproportionofgovernmentbondsandagencydebtheldhigh,whiletheproportionofcorporatebondheldtoolow,whichisatypicallow-risk,low-incomeandconservativeholdingstructure.Theessenceofthistypeofholdingstructureisthestructureofmaintainingtrade,andthegoaltoholdalargenumberofU.S.TreasuriesandagencybondsistomaintaintraderelationswiththeUnitedStates.WhiletheproportionsofequityinvestmentandcorporatebondsarerelativelyhigherinJapanandHongKongandlong-termdebtproportionisrelativelylower,thesereflectthefinancialintegration-typestructurewhichhasstrongerintegrationforcewithUnitedStatescapitalmarket,andalsohashighefficiencycorporategovernanceandinstitutionalarrangements.AsChina'sstructureofmaintainingtradenotonlylinkswithlong-termdevelopmentmodelandstrategy,butalsoconstrainedbytheSino-USeconomicandtraderelations,Soitisdifficulttoadjuststructurefromtrademaintainedstructuretothestructureoffinancialintegration.Ifinshort-termlargescaleadjustmentofdollarratioinforeignexchangereserves,thedirectconsequencesaredollardepreciation,thedecliningpurchasingpowerandthefluctuationofU.S.economy,whichwillhaveagreatimpacttoChina'sexportindustriesandbringsignificantsocialcosts.EmpiricalstudiesindicatethatinthecurrentstructureofChina'stradewiththeU.S.,exportindustrieswithlowpercapitashareareshockedgreatlybyfluctuationsfromU.S.economicgrowthandrealexchangerate.Exceptforexporttradeindustriesshocked,theshrinkingexportindustrieswillcausedomesticemploymentadversely,becausetheexistingexportstructuredecidelabor-intensivenatureoftheproducts,andshrinkingexportindustrieswillinevitablyleadtoreducedemploymentopportunities.Intheshortterm,torealizetransformationofeconomystructureandupgradetradestructureisdifficult.Labor-intensiveexportindustriescreatemanyjobsforVIthelaborforcetransferredfromruralareasintheprocessofurbanization,andalsotheexporttradeondomesticeconomicgrowthisenormousrole.Therefore,thelargedollarreservesadjustmentisunrealisticforChinaandtheU.S.becauseofenormoussocialcosts.CompositionofChina'sreservescurrenciesfocusonU.S.dollar,butinshort-termitisunlikelytoadjustdollar-denominatedassetsinlarge-scale.Exceptforhugesocialcosts