中国外汇储备汇率结构风险研究——基于VaR-GARCH模型的实证研究

近年来,中国外汇储备的规模不断扩大,而由于汇率波动引起的外汇储备汇率风险也不断被放大。为了更加全面清晰地分析研究中国外汇储备的汇率风险,通过利用GARCH族模型估计中国外汇储备中主要的货币资产(美元、欧元、日元及英镑)和储备组合日对数收益率的动态波动率,再利用各种货币及储备组合的动态波动率测算外汇储备的VaR(Value at Risk),及各种货币的动态边际VaR、动态成分VaR和动态增量VaR,并对实证结果进行分析。研究表明:欧元资产风险较大,对外汇储备的风险影响最大,虽然美元资产比重很大,但是美元资产的风险还是较小,对外汇储备的影响较小,而目前外汇储备中日元、英镑资产的比重非常低,因而对外汇储备的风险影响也较小。因此,考虑到控制外汇储备的风险,应当减持欧元资产,适当增持日元资产,谨慎增持英镑资产,在特定情况下,也可以继续适当增持美元资产。

China’s Foreign Exchange Reserves Exchange Rate Structure Risk Research——Empirical Research Based on VaR-GARCH Model

In recent years,the scale of Chinese foreign exchange reserve is unceasingly expanding,simultaneously the exchange rate risk of the foreign exchange reserve is also enlarged,which caused by the fluctuation of exchange rate.In order to study the exchange rate risk of Chinese foreign exchange reserve more comprehensively and precisely,this article first estimates the dynamic fluctuation rate of the main monetary assets of Chinese foreign exchange reserve(US dollar,Euro,Japanese Yen and pound)and the reserve combination’s date logarithm return ratio by using the GARCH race model,after which the dynamic fluctuation rate of the main monetary assets and the reserve combination are employed to calculate the VaR(Value at Risk)of the foreign exchange reserve and the marginal VaR,ingredient VaR,increment VaR of each kind of currency,followed by the empirical result being analyzed.The research indicates that the risk of Euro property is higher,which has the greatest influence on the risk of the foreign exchange reserve.Though the proportion of US dollar property is the largest,its risk is comparatively low,which makes its influence on the foreign exchange reserve limited.Due to the fact that the present proportion of Japanese Yen and pound property is tiny,their impact on the foreign exchange reserve is also restricted.Therefore,taking into account the control risks of foreign currency reserves,should be to reduce euro holdings,an appropriate increase yen assets,caution increased holdings of assets,in particular cases,or to continue to give due to increase its stake in dollar assets.