论结构优化与中国外汇储备管理战略
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摘要
外汇储备管理本质上应处理好储备资产的规模和结构问题。面对汇率波动、利率变化、潜在投资损失和货币政策失效风险，中国的巨额外汇储备深陷规模调整和结构优化困境，储备资产安全状况甚为堪忧，迫切需要建立一套具有中国特色的外汇储备战略管理体系。目前，对外汇储备适度规模和币种结构调整的专门分析较多，但对储备资产结构调整及对外资产负债协同管理的研究仍显不足。论结构优化与中国外汇储备管理战略，正是在这样的背景下对上述储备管理的四个关键问题展开的全面讨论；旨在探索一套具有理论基础、现实、可操作性强的中国外汇储备管理战略。
第一章文献回顾，从外汇储备适度规模、币种结构调整及储备管理三方面分别梳理了相关文献的发展脉络。
第二章中国外汇储备规模优化，从四个方面探讨了外汇储备规模管理问题：首先，在小国开放模型基础上，借助纯粹符号约束的脉冲响应方法，实证分析了外汇储备累积对宏观经济的影响；其次，从功能论出发，借助经验分析、保险合同模型、小国开放模型和历史分析方法，对用于满足交易性、预防性、保证性和管理性需求的中国外汇储备适度规模展开讨论；继而，分析了外汇储备与主权财富基金的关系；最后，探讨了中国外汇储备规模优化调整的途径。研究发现：外汇储备累积有助于中国举借更多外债，在一定程度上引起短期外债对长期外债的替代；有助于提高国内产出，确实形成了一定短期通胀压力，但对降低失业率起到了积极作用；应以“8.1个月进口+短期外债的1.91倍+实际利用外资的15%”作为标准对中国外汇储备规模的适度性进行动态评价；“发行特别国债购买外汇储备向中投公司注资”可以成为中国外汇储备规模管理的“常态化”操作模式。
第三章中国外汇储备币种结构优化，从“实然”和“应然”结构及调整路径三方面探讨了币种构成管理问题：首先，综合美国财政部TIC报告和国际货币基金组织COFER数据探索了中国外汇储备的可能币种构成；其次，在均值——方差分析框架下，借助DCC-GARCH模型模拟收益率的时变相关关系，计算了具有最小方差风险的中国外汇储备最优币种构成；最后，使用动态优化方法构建了外汇储备币种结构调整的最优路径。研究发现：中国外汇储备可能由60%~65%的美元、25%~30%的欧元、5%~7%的英镑及3%~5%的日元资产构成；疲弱的美元以及过高的美元资产比重已成为中国外汇储备风险的重要来源；按动态最优路径将部分美元资产转换为日元可以有效降低风险，切不可盲目减持欧元。
第四章中国外汇储备资产结构优化，透过资产分布和期限结构两个视角探讨了外汇储备投资管理问题：首先，综合国际货币基金组织GDDS模板、中国国际投资头寸表和美国财政部TIC报告，参考Brazil外汇储备资产构成，剖析了中国外汇储备的可能资产分布和投资期限结构；其次，借助Aizenman-Glick模型和Stackelberg模型的基本思想以及CIR平方根模型分别探讨了外汇储备在低风险和高风险资产间以及在长短期债券间的配置问题；最后，探讨了中国外汇储备资产结构优化调整的方向。研究发现：中国外汇储备可能由95%的证券、2%的货币和存款以及3%的其他金融工具构成；证券资产由90%的长期债券、1%的短期债券以及9%的股权组成；中国外汇储备的股权投资仍显不足；外汇储备对美国国债的投资不存在市场择时问题；为提高投资效益，应当对外汇储备进行“分档”管理。
第五章中国外汇储备与外债协同优化，首先讨论了外汇储备和外债协同管理的必要性；其次，透彻分析了中国外债结构；最后，以固定收益投资组合理论为基础，初步探索了免疫策略和现金流匹配策略在中国外汇储备投资管理中的应用。研究发现：外汇储备和外债协同优化对中国经济稳定发展至关重要；从期限结构和币种构成来看，2012年6月末，中长期外债占25.08%，短期外债占74.92%；美元债务占77.77%，欧元债务占7.51%，日元债务占6.99%，其他债务合计占7.73%；外汇管理局应根据目标外债的久期调整储备资产久期，应权衡储备资产现金流和外债现金流。
第六章中国外汇储备管理战略，从短期、中期和长期三个层面以及战略和战术两个维度，提出了中国外汇储备优化管理的战略构想。在短期对策方面，应建立战略外汇储备风险管理框架、制定适度规模的动态评价标准、按照动态最优路径调整币种结构、完善委托经营体制、构建结构优化指数、完善以风险管理为核心的外汇储备管理体系；在中期战略方面，要坚定不移地推进以超额外汇储备支持战略物资储备制度建设、积极参与东亚外汇储备库建设、尽快研究以过剩外汇储备充实养老金的途径和方法、拓展外汇储备投资类别，实现国家资源的全球战略配置、有限参与欧洲救助计划；在长期战略方面，应稳步推进人民币国际化、加紧变“存汇于国”为“藏汇于民”、努力实现内外经济均衡发展以及中国与世界经济再平衡。
It is to deal well with the issue of appropriate scale and currency composition thatforeign exchange reserve management is in essences. In the face of exchange rates volatility,interest rates variation, potential investment losses and the risk of domestic monetary policyfailure, Chinese huge foreign exchange reserve is deeply trapped in the dilemma of scaleadjustment and structure optimization. It is urgent to establish a set of strategic foreignexchange reserve management system with Chinese characteristics in view of the bad securityconditions of reserve assets. At the moment, there are a great number of literatures onappropriate scale and currency composition about Chinese foreign exchange reserve, whilenot enough attention has been paid to those researches about asset allocation, term structureand collaborative management for reserve and foreign debts. The latter lacks of full andaccurate discussions. This thesis is no other than a comprehensive discussion on theabove-mentioned four key issues of Chinese reserve management in such circumstances; aimsat exploring a set of realistic maneuverable reserve management modes with theoreticalfundamentals.
The first chapter reviews relevant literatures from three perspectives of appropriate scale,currency composition adjustment and reserve management.
The second chapter discusses the issue of rightsizing Chinese foreign exchange reserve.First, based on a small open economy model, we employ Pure-sign-restriction Approach inanalyzing the influence of reserve accumulation on China economy empirically. Second, theappropriate scale of Chinese foreign exchange reserve, which is supposed to meet thetransaction, precaution, insurance and management needs, is investigated by combininginternational experience, insurance contract model, small open economy model and historicalanalysis with China’s data. Third, the relation between foreign exchange reserve andsovereign wealth fund is discussed. At last, the adjusting approach about Chinese foreignexchange reserve scale is also explored. It is found that the accumulation of Chinese foreignexchange reserve is conducive to borrowing more short-term external debts falling due withinnext12-month and causes the substitution of short-term debts for long-term debts; is helpfulfor GDP growth and job creation, although it does form some short-term inflationary pressure.The appropriate scale standard of “8.1Monthly Import+1.91Short-term External Debt+15%Foreign Capital Utilization” is supposed to be used in the dynamic supervision forChinese foreign exchange reserve. In the meanwhile, issuing special bonds for purchasingforeign exchange reserve and achieving capital injection into CIC may become normalizedoperation mode for Chinese foreign exchange reserve scale management.
The third chapter addresses the issue of optimizing the currency composition of Chineseforeign exchange reserve. At the beginning, we conduct a research on possible currencycomposition of Chinese foreign exchange reserve combining TIC report with COFER data.Next, the optimal currency composition of Chinese foreign exchange reserve is studied withinthe Mean-Variance analysis framework by utilizing DCC-GARCH model for estimating thetime-varying correlations of returns. In the end, dynamic optimization approach is applied toexplore specific adjustment route. The results illustrate that Chinese foreign exchange reserveconsists of60%~65%Dollars,25%~30%Euros,5%~7%Sterling Pounds, and3%~5%Yens. It is weak dollar and exorbitant dollar share that have become one of the key riskysources of Chinese foreign exchange reserve. Converting part of dollar assets to yen assetsaccording to the dynamic optimal route will lower the risk effectively. Blindly decreasing theshare of euro assets should be avoided.
The fourth chapter investigates the issue of asset allocation and term structurearrangement about Chinese foreign exchange reserve investment. First of all, we make ananalysis on possible asset allocation and investment term structure by doing data miningabout IMF-GDDS template, China International Investment Position, TIC report withreference to the asset composition of Brazil foreign exchange reserve. Then, the allocation ofreserve asset on stocks and securities is studied by using Aizenman-Glick Model and the basicthought of Stackelberg Model; the proportion of short-and long-term bonds is analyzed bymeans of Cox-Ingersoll-Ross Square-root Model. Besides, we also make a discussion aboutthe adjusting orientation of Chinese foreign exchange reserve investment. The researchdemonstrates that Chinese foreign exchange reserve is composed of95%securities, whichinclude90%long-term bonds,1%short-term bonds and9%equity,2%currency and depositsand3%other financial tools. The share of equity investment in Chinese foreign exchangereserve appears insufficient. As for reserve investment in U.S. public debt market, it isunnecessary to consider market timing selection. Discriminatory asset allocation based onpartitioning Chinese huge foreign exchange reserve into appropriate and excess part iscapable of enhancing investment returns.
The fifth chapter explores the issue of collaborative management about foreign reserveand external debts. We explain the necessity of cooperative optimization at first, and thenmake deep analysis on the structure of Chinese external debts. Furthermore, the preliminaryapplication of Immunization Strategy and Cash Flow Matching Strategy derived from fixedincome portfolio theory in Chinese foreign exchange reserve management obtains fullydiscussion. It is convinced that the collaborative management about foreign reserve andexternal debts is of key importance for the robust expansion of China economy. Researchesshow that as of June,2012, medium-and long-term debts account for25.08%, and short-termdebts occupies74.92%; in term of currency composition, Chinese foreign debt is comprised of77.77%Dollars,7.51%Euros,6.99%Yens and7.73%other currencies. The duration ofreserve assets ought to be adjusted in accordance with that of Chinese external debts. Thecash flow of reserve is supposed to match that of the debts.
The sixth chapter proposes a strategic concept about the management and optimizationof Chinese foreign exchange reserve. In the aspect of short-term tactics arrangement, StateAdministration of Foreign Exchange should set up strategy foreign exchange reserve riskmanagement framework; evaluate and supervise the appropriateness of Chinese foreignexchange reserve dynamically; regulate the currency composition according to dynamicoptimal route; consummate the entrusted operation system; build up structural optimizationindex; and improve reserve risk management system. In the aspect of medium-term strategy,the construction about strategic goods storing system backed up by excess foreign reserveshould keep going on unswervingly. China should positively participate in constructing EastAsian Foreign Exchange Repertory and make solid progress in asset diversification as well asthe globalized allocation for national assets. Meanwhile, how to utilize excess reserve forcovering pension shortage is supposed to be studied comprehensively. Besides, StateAdministration of Foreign Exchange should partake in European Rescue Project moderately.In the aspect of long-term strategy, the project of Renminbi internationalization should becarried out steadily, and citizens should be encouraged to hold reasonable foreign assets. Inaddition, domestic economic restructuring and the rebalance between China and the worldeconomy are the two ultimate approaches for reserve risk management.
第一章文献回顾，从外汇储备适度规模、币种结构调整及储备管理三方面分别梳理了相关文献的发展脉络。
第二章中国外汇储备规模优化，从四个方面探讨了外汇储备规模管理问题：首先，在小国开放模型基础上，借助纯粹符号约束的脉冲响应方法，实证分析了外汇储备累积对宏观经济的影响；其次，从功能论出发，借助经验分析、保险合同模型、小国开放模型和历史分析方法，对用于满足交易性、预防性、保证性和管理性需求的中国外汇储备适度规模展开讨论；继而，分析了外汇储备与主权财富基金的关系；最后，探讨了中国外汇储备规模优化调整的途径。研究发现：外汇储备累积有助于中国举借更多外债，在一定程度上引起短期外债对长期外债的替代；有助于提高国内产出，确实形成了一定短期通胀压力，但对降低失业率起到了积极作用；应以“8.1个月进口+短期外债的1.91倍+实际利用外资的15%”作为标准对中国外汇储备规模的适度性进行动态评价；“发行特别国债购买外汇储备向中投公司注资”可以成为中国外汇储备规模管理的“常态化”操作模式。
第三章中国外汇储备币种结构优化，从“实然”和“应然”结构及调整路径三方面探讨了币种构成管理问题：首先，综合美国财政部TIC报告和国际货币基金组织COFER数据探索了中国外汇储备的可能币种构成；其次，在均值——方差分析框架下，借助DCC-GARCH模型模拟收益率的时变相关关系，计算了具有最小方差风险的中国外汇储备最优币种构成；最后，使用动态优化方法构建了外汇储备币种结构调整的最优路径。研究发现：中国外汇储备可能由60%~65%的美元、25%~30%的欧元、5%~7%的英镑及3%~5%的日元资产构成；疲弱的美元以及过高的美元资产比重已成为中国外汇储备风险的重要来源；按动态最优路径将部分美元资产转换为日元可以有效降低风险，切不可盲目减持欧元。
第四章中国外汇储备资产结构优化，透过资产分布和期限结构两个视角探讨了外汇储备投资管理问题：首先，综合国际货币基金组织GDDS模板、中国国际投资头寸表和美国财政部TIC报告，参考Brazil外汇储备资产构成，剖析了中国外汇储备的可能资产分布和投资期限结构；其次，借助Aizenman-Glick模型和Stackelberg模型的基本思想以及CIR平方根模型分别探讨了外汇储备在低风险和高风险资产间以及在长短期债券间的配置问题；最后，探讨了中国外汇储备资产结构优化调整的方向。研究发现：中国外汇储备可能由95%的证券、2%的货币和存款以及3%的其他金融工具构成；证券资产由90%的长期债券、1%的短期债券以及9%的股权组成；中国外汇储备的股权投资仍显不足；外汇储备对美国国债的投资不存在市场择时问题；为提高投资效益，应当对外汇储备进行“分档”管理。
第五章中国外汇储备与外债协同优化，首先讨论了外汇储备和外债协同管理的必要性；其次，透彻分析了中国外债结构；最后，以固定收益投资组合理论为基础，初步探索了免疫策略和现金流匹配策略在中国外汇储备投资管理中的应用。研究发现：外汇储备和外债协同优化对中国经济稳定发展至关重要；从期限结构和币种构成来看，2012年6月末，中长期外债占25.08%，短期外债占74.92%；美元债务占77.77%，欧元债务占7.51%，日元债务占6.99%，其他债务合计占7.73%；外汇管理局应根据目标外债的久期调整储备资产久期，应权衡储备资产现金流和外债现金流。
第六章中国外汇储备管理战略，从短期、中期和长期三个层面以及战略和战术两个维度，提出了中国外汇储备优化管理的战略构想。在短期对策方面，应建立战略外汇储备风险管理框架、制定适度规模的动态评价标准、按照动态最优路径调整币种结构、完善委托经营体制、构建结构优化指数、完善以风险管理为核心的外汇储备管理体系；在中期战略方面，要坚定不移地推进以超额外汇储备支持战略物资储备制度建设、积极参与东亚外汇储备库建设、尽快研究以过剩外汇储备充实养老金的途径和方法、拓展外汇储备投资类别，实现国家资源的全球战略配置、有限参与欧洲救助计划；在长期战略方面，应稳步推进人民币国际化、加紧变“存汇于国”为“藏汇于民”、努力实现内外经济均衡发展以及中国与世界经济再平衡。
It is to deal well with the issue of appropriate scale and currency composition thatforeign exchange reserve management is in essences. In the face of exchange rates volatility,interest rates variation, potential investment losses and the risk of domestic monetary policyfailure, Chinese huge foreign exchange reserve is deeply trapped in the dilemma of scaleadjustment and structure optimization. It is urgent to establish a set of strategic foreignexchange reserve management system with Chinese characteristics in view of the bad securityconditions of reserve assets. At the moment, there are a great number of literatures onappropriate scale and currency composition about Chinese foreign exchange reserve, whilenot enough attention has been paid to those researches about asset allocation, term structureand collaborative management for reserve and foreign debts. The latter lacks of full andaccurate discussions. This thesis is no other than a comprehensive discussion on theabove-mentioned four key issues of Chinese reserve management in such circumstances; aimsat exploring a set of realistic maneuverable reserve management modes with theoreticalfundamentals.
The first chapter reviews relevant literatures from three perspectives of appropriate scale,currency composition adjustment and reserve management.
The second chapter discusses the issue of rightsizing Chinese foreign exchange reserve.First, based on a small open economy model, we employ Pure-sign-restriction Approach inanalyzing the influence of reserve accumulation on China economy empirically. Second, theappropriate scale of Chinese foreign exchange reserve, which is supposed to meet thetransaction, precaution, insurance and management needs, is investigated by combininginternational experience, insurance contract model, small open economy model and historicalanalysis with China’s data. Third, the relation between foreign exchange reserve andsovereign wealth fund is discussed. At last, the adjusting approach about Chinese foreignexchange reserve scale is also explored. It is found that the accumulation of Chinese foreignexchange reserve is conducive to borrowing more short-term external debts falling due withinnext12-month and causes the substitution of short-term debts for long-term debts; is helpfulfor GDP growth and job creation, although it does form some short-term inflationary pressure.The appropriate scale standard of “8.1Monthly Import+1.91Short-term External Debt+15%Foreign Capital Utilization” is supposed to be used in the dynamic supervision forChinese foreign exchange reserve. In the meanwhile, issuing special bonds for purchasingforeign exchange reserve and achieving capital injection into CIC may become normalizedoperation mode for Chinese foreign exchange reserve scale management.
The third chapter addresses the issue of optimizing the currency composition of Chineseforeign exchange reserve. At the beginning, we conduct a research on possible currencycomposition of Chinese foreign exchange reserve combining TIC report with COFER data.Next, the optimal currency composition of Chinese foreign exchange reserve is studied withinthe Mean-Variance analysis framework by utilizing DCC-GARCH model for estimating thetime-varying correlations of returns. In the end, dynamic optimization approach is applied toexplore specific adjustment route. The results illustrate that Chinese foreign exchange reserveconsists of60%~65%Dollars,25%~30%Euros,5%~7%Sterling Pounds, and3%~5%Yens. It is weak dollar and exorbitant dollar share that have become one of the key riskysources of Chinese foreign exchange reserve. Converting part of dollar assets to yen assetsaccording to the dynamic optimal route will lower the risk effectively. Blindly decreasing theshare of euro assets should be avoided.
The fourth chapter investigates the issue of asset allocation and term structurearrangement about Chinese foreign exchange reserve investment. First of all, we make ananalysis on possible asset allocation and investment term structure by doing data miningabout IMF-GDDS template, China International Investment Position, TIC report withreference to the asset composition of Brazil foreign exchange reserve. Then, the allocation ofreserve asset on stocks and securities is studied by using Aizenman-Glick Model and the basicthought of Stackelberg Model; the proportion of short-and long-term bonds is analyzed bymeans of Cox-Ingersoll-Ross Square-root Model. Besides, we also make a discussion aboutthe adjusting orientation of Chinese foreign exchange reserve investment. The researchdemonstrates that Chinese foreign exchange reserve is composed of95%securities, whichinclude90%long-term bonds,1%short-term bonds and9%equity,2%currency and depositsand3%other financial tools. The share of equity investment in Chinese foreign exchangereserve appears insufficient. As for reserve investment in U.S. public debt market, it isunnecessary to consider market timing selection. Discriminatory asset allocation based onpartitioning Chinese huge foreign exchange reserve into appropriate and excess part iscapable of enhancing investment returns.
The fifth chapter explores the issue of collaborative management about foreign reserveand external debts. We explain the necessity of cooperative optimization at first, and thenmake deep analysis on the structure of Chinese external debts. Furthermore, the preliminaryapplication of Immunization Strategy and Cash Flow Matching Strategy derived from fixedincome portfolio theory in Chinese foreign exchange reserve management obtains fullydiscussion. It is convinced that the collaborative management about foreign reserve andexternal debts is of key importance for the robust expansion of China economy. Researchesshow that as of June,2012, medium-and long-term debts account for25.08%, and short-termdebts occupies74.92%; in term of currency composition, Chinese foreign debt is comprised of77.77%Dollars,7.51%Euros,6.99%Yens and7.73%other currencies. The duration ofreserve assets ought to be adjusted in accordance with that of Chinese external debts. Thecash flow of reserve is supposed to match that of the debts.
The sixth chapter proposes a strategic concept about the management and optimizationof Chinese foreign exchange reserve. In the aspect of short-term tactics arrangement, StateAdministration of Foreign Exchange should set up strategy foreign exchange reserve riskmanagement framework; evaluate and supervise the appropriateness of Chinese foreignexchange reserve dynamically; regulate the currency composition according to dynamicoptimal route; consummate the entrusted operation system; build up structural optimizationindex; and improve reserve risk management system. In the aspect of medium-term strategy,the construction about strategic goods storing system backed up by excess foreign reserveshould keep going on unswervingly. China should positively participate in constructing EastAsian Foreign Exchange Repertory and make solid progress in asset diversification as well asthe globalized allocation for national assets. Meanwhile, how to utilize excess reserve forcovering pension shortage is supposed to be studied comprehensively. Besides, StateAdministration of Foreign Exchange should partake in European Rescue Project moderately.In the aspect of long-term strategy, the project of Renminbi internationalization should becarried out steadily, and citizens should be encouraged to hold reasonable foreign assets. Inaddition, domestic economic restructuring and the rebalance between China and the worldeconomy are the two ultimate approaches for reserve risk management.
引文
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