摘要
高速增长的外汇储备是一把"双刃剑",它在增强一国综合实力的同时,带来了宏观调控难度增加、货币政策独立性被妨碍及汇率面临巨大风险的问题。本文将风险决策中的期望效用-熵模型运用到外汇储备结构优化的研究中,利用该模型从我国"一篮子"货币中选取了几种货币作为我国外汇储备货币,再选取2005~2014年的108个月度数据,对我国外汇储备结构进行实证研究,得出了不同收益约束条件下的最优货币资产权重,并对中国如何合理优化外汇储备结构提出建议。
High-speed growth of foreign exchange reserves is a 'double-edged sword'.It not only enhances the comprehensive national power of a country,but also brings many problems on macro-control,independence of monetary policy and exchangerate risk.In this paper,expected utility-entropy model is used to select several currencies as foreign exchange reserve currencies from our 'basket',and then we obtain optimal currency portfolio under different constraints according to monthly data from Aug.of 2005 to Nov.of 2014.Based on the portfolio,an empirical study on structure of China's foreign exchange reserves is given to put forward the suggestion of China' s foreign exchange reserves rationalization proposals.
出处
《金融评论》
CSSCI
2014年第6期97-112,124,共17页
Chinese Review of Financial Studies
关键词
外汇储备
期望效用-熵模型
货币政策独立性
Reserves Structural Optimization
Expected Utility-Entropy Model
Independence of Monetary Policy
