基于利率期限结构的我国外汇储备投资研究
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摘要
1996年我国外汇储备创纪录地突破了1000亿美元大关,仅次于日本居世界第二位,其后我国外汇储备一直保持迅猛增长的势头。2006年2月底,我国外汇储备总额达到8537亿美元,超过日本跃居世界第一。截至2011年12月末,我国外汇储备总额为3.181万亿美元,稳定高居世界各国外汇储备之榜首。如此高额的外汇储备一方面是我国经济稳定增长及综合国力强盛的坚定保障和象征；另一方面,繁荣的数字背后亦隐含危机。我国外汇储备近十年的投资管理模式可概括为：单一的币种及资产结构,集中于长期政府债券的投资期限结构,较低的投资收益率等。如此大规模的外汇储备意味着我国面临着相应的外汇占款和巨额的冲销成本,近几年美国次级贷款危机席卷全球,引发了国际范围内的金融危机,作为国际主要储备货币的美元不断贬值,欧洲主权债务危机的阴影始终挥之不去。在以上国际大环境的影响之下,汇率风险、利率风险和流动性风险将始终威胁着我国的外汇储备资产。
当今我国外汇储备资产结构比较单一,集中投资于美元资产,若美国的宏观经济政策、政治环境等因素一旦发生变动,将直接影响我国外汇储备资产的安全性和盈利性。这巨额的美元外汇储备大部分投资于美国国债,且我国外汇储备投资的期限结构主要集中在美国长期国债及长期政府机构债券。截至2010年6月底,我国外汇储备投资于美国证券资产总额达到16107亿美元,其中投资美国长期债券比例占我国外汇储备总额的72%,达16058亿美元,投资美国国债的比例为69%,投资美国政府机构债的比例为22.4%,投资企业债券的比例为6.9%,而我国投资美国权益类资产(股票等)的资金仅占外汇储备的0.47%。我国早已超过日本,成为美国第一债权国,所持债券占美国国债总额的28.1%,占美国外债的15%。这种集中的资产结构具有较低的信用风险,但汇率、利率的波动以及美国国家资产价格的变动对我国外汇储备资产投资不确定性影响也将增加。如何对我国外汇储备资产投资进行风险管理,尤其是对投资资产的期限结构进行管理,已成为目前理论界探讨的热点问题。
目前对于外汇储备投资的研究主要侧重于适度的外汇储备规模及资产的币种结构这两方面,投资资产期限结构领域的研究非常有限。本文从利率期限结构的角度,对我国外汇储备投资的期限结构进行研究,意图在确保安全性及流动性的基础上,提高储备资产的收益性。将西方现代计量工具应用于我国外汇储备投资期限结构,在现有的储备规模、储备币种结构研究之外,开拓新的研究领域,为完善我国外汇储备管理提供系统性的理论指导。
文章开篇对外汇储备投资及利率期限结构进行前期分析：首先介绍本文的研究背景及选题意义,国内外研究现状、利率期限结构的一般理论等；其次为我国外汇储备资产投资现状分析,我国外汇储备形成机制及规模增长历程；我国外汇储备资产结构现状——币种结构、资产结构及投资期限结构现状；我国外汇储备资产面临的潜在风险等；再次为利率期限结构影响因素分析,介绍了利率决定理论以及影响利率期限结构的宏观经济因素,如货币政策和财政政策、经济周期和借贷风险、通货膨胀和居民收入等等。
接下来文章探讨了外汇储备期限结构研究模型构建的理论基础：首先介绍外汇储备利率期限结构静态模型构建理论：包括插值类模型,拟合类模型,各自特征及优缺点；其次介绍利率期限结构动态模型的均衡模型理论,包括单因子均衡模型理论,Merton模型、Vasicek模型、CIR模型和多因子均衡模型理论。
紧接着文章对我国外汇储备资产的利率期限结构分别进行了静态及动态实证研究。我国外汇储备投资币种主要由美元、欧元、日元、英镑构成,且主要投资于其国债资产。本文选取美国、日本、英国、德国这四国不同期限国债数据作为代表,运用Nelson-Siegel模型对以上四国国债进行静态利率期限结构实证研究,得到各国国债的期限结构并分析实证结果。运用CIR模型进行利率期限结构动态实证研究,对比参数估计值的取值差异,比较分析不同到期期限收益率序列的动态特征,进而给出我国外汇储备投资资产期限结构相应的调整策略。
文章第四部分为我国外汇储备投资资产期限结构配置分析：包括外汇储备期限配置的理论模型构建、基于DCC-GARCH的外汇储备期限结构相关性分析、基于CVaR的我国外汇储备投资期限结构配置实证分析。构建外汇储备投资资产期限配置的理论模型,模型考虑到外汇储备投资期限配置在安全性、流动性和收益性三原则之间的权衡关系,假设我国外汇储备仅投资于长期和短期债券,主要考察长、短期债券利率变化对于外汇储备投资中其配置比重的影响,然后对外汇储备的期限结构配置进行实证分析。选取美国、日本、英国、德国这四国国债数据作为代表,先运用DCC-GARCH模型实证检验各国不同期限债券之间收益率的相关关系,以反映其利差变化和波动情况；再通过建立基于VaR约束的均值-方差模型以确定不同时期的最优外汇储备投资资产期限结构配置并分析期限结构调整路径。
最后是本文结论及政策建议：在之前构建的理论模型及得出的实证结果基础之上,对本文进行总结,提出我国外汇储备投资的期限结构调整及配置策略,给出我国外汇储备资产管理相关政策建议。
In recent years, China's foreign exchange reserve has maintained rapid growth. China's official foreign exchange reserve reached3.181trillion U.S. dollars in December,2011. By the end of June,2010, China's holding of U.S. securities reached1610million U.S. dollars. Among these U.S. securities, long term treasury bonds reached1606million U.S. dollars, took up72%of China's foreign exchange reserve investment. While corporate bonds investment and equity investment took up only6.9%and0.47%of China's foreign exchange reserve investment respectively. Under the background of the depreciation of U.S.dollar and the crisis of European sovereign credit rating, huge foreign exchange reserve and unreasonable foreign exchange reserve investment structure will not only brought huge funds outstanding for foreign exchange and the resulting write-off costs, but also faces exchange rate risk, interest rate risk, liquidity risk as well as political risk.
Risk management of foreign exchange reserve, especially the optimization of term structure, is basically a brand-new area for China's foreign exchange reserve investment. Therefore, along with China's foreign exchange reserve risk management practice, using the theories and methods of bootstrap method, polynomial estimation model, Nelson-Siegel model, Vasicek model, CIR model, DCC-GARCH model and Mean-CVaR model, we studied the term structure of China's foreign exchange reserve systematically, providing strong support for decision-making on China's foreign exchange reserve investment.
In this dissertation, a systematic and intensive study is made on the term structure of China's foreign exchange reserve investment, including estimation of foreign exchange reserve's term structure, optimization of the term structure and adjustment strategy. It mainly consists of five parts:
The first part is preliminary analysis of the term structure of China's foreign exchange reserve. We review the literature of foreign exchange reserve investment and interest rate term structure; analyze the current status of China's foreign exchange reserve investment, including its scale, its currency structure as well as its term structure. We also point out the potential risks that China's foreign exchange reserve would face. We summarizes the interest determination theories and the macro economic factors that would have an impact on the term structure, such as monetary policy, fiscal policy, economic cycle, inflation and resident income and so on.
The second part studies the theoretical basis of model designing. Firstly, we introduce the static interest rates term structure models, such as interpolation models and fitted models as well as their characters respectively. Secondly, we introduce the dynamic generalized equilibrium models of interest rates term structure, such as Merton model, Vasicek model, CIR model and multifactor equilibrium models.
The third part makes a static empirical study and a dynamic empirical study on the term structure of China's foreign exchange reserve investment respectively. We choose the Treasury bond sample data of USA, Japan, Britain and Germany, by utilizing Nelson-Siegel model, we make a static empirical study on the term structure of the assets, and then we achieve each country's T-bond term structure. Based on CIR model, we make a dynamic empirical study on the term structure of China's foreign exchange reserve. By analyzing the shape of the curves as well as their movement, we draw a conclusion of how to adjust the term structure of China's foreign exchange reserve.
The fourth part studies the allocation of the term structure of China's foreign exchange reserve investment, including design the theoretical model, correlation analysis by DCC-GARCH model, empirical study by mean-CVaR Model and so on. The model takes an overall consideration of security, liquidity and profitability. We assume that China's foreign exchange reserve consists only of long term T-bonds and short term T-bonds. We analyze the impact of interests variation will have on the allocation of the two assets. Choosing the T-bond sample data of USA, Japan, Britain and Germany, we utilize DCC-GARCH model to test the interdependency among long term, mid-term and short term T-bonds of each country. By using mean-CVaR model and asset portfolio theory, we get the ideal term structure allocation of China's foreign exchange reserve investment.
The fifth part draws a conclusion. Based on the previous analysis and the results of empirical tests, this part brings forward the adjustment strategy as well as policy proposal for the management of the term structure of China' s foreign exchange reserve investment.
当今我国外汇储备资产结构比较单一,集中投资于美元资产,若美国的宏观经济政策、政治环境等因素一旦发生变动,将直接影响我国外汇储备资产的安全性和盈利性。这巨额的美元外汇储备大部分投资于美国国债,且我国外汇储备投资的期限结构主要集中在美国长期国债及长期政府机构债券。截至2010年6月底,我国外汇储备投资于美国证券资产总额达到16107亿美元,其中投资美国长期债券比例占我国外汇储备总额的72%,达16058亿美元,投资美国国债的比例为69%,投资美国政府机构债的比例为22.4%,投资企业债券的比例为6.9%,而我国投资美国权益类资产(股票等)的资金仅占外汇储备的0.47%。我国早已超过日本,成为美国第一债权国,所持债券占美国国债总额的28.1%,占美国外债的15%。这种集中的资产结构具有较低的信用风险,但汇率、利率的波动以及美国国家资产价格的变动对我国外汇储备资产投资不确定性影响也将增加。如何对我国外汇储备资产投资进行风险管理,尤其是对投资资产的期限结构进行管理,已成为目前理论界探讨的热点问题。
目前对于外汇储备投资的研究主要侧重于适度的外汇储备规模及资产的币种结构这两方面,投资资产期限结构领域的研究非常有限。本文从利率期限结构的角度,对我国外汇储备投资的期限结构进行研究,意图在确保安全性及流动性的基础上,提高储备资产的收益性。将西方现代计量工具应用于我国外汇储备投资期限结构,在现有的储备规模、储备币种结构研究之外,开拓新的研究领域,为完善我国外汇储备管理提供系统性的理论指导。
文章开篇对外汇储备投资及利率期限结构进行前期分析：首先介绍本文的研究背景及选题意义,国内外研究现状、利率期限结构的一般理论等；其次为我国外汇储备资产投资现状分析,我国外汇储备形成机制及规模增长历程；我国外汇储备资产结构现状——币种结构、资产结构及投资期限结构现状；我国外汇储备资产面临的潜在风险等；再次为利率期限结构影响因素分析,介绍了利率决定理论以及影响利率期限结构的宏观经济因素,如货币政策和财政政策、经济周期和借贷风险、通货膨胀和居民收入等等。
接下来文章探讨了外汇储备期限结构研究模型构建的理论基础：首先介绍外汇储备利率期限结构静态模型构建理论：包括插值类模型,拟合类模型,各自特征及优缺点；其次介绍利率期限结构动态模型的均衡模型理论,包括单因子均衡模型理论,Merton模型、Vasicek模型、CIR模型和多因子均衡模型理论。
紧接着文章对我国外汇储备资产的利率期限结构分别进行了静态及动态实证研究。我国外汇储备投资币种主要由美元、欧元、日元、英镑构成,且主要投资于其国债资产。本文选取美国、日本、英国、德国这四国不同期限国债数据作为代表,运用Nelson-Siegel模型对以上四国国债进行静态利率期限结构实证研究,得到各国国债的期限结构并分析实证结果。运用CIR模型进行利率期限结构动态实证研究,对比参数估计值的取值差异,比较分析不同到期期限收益率序列的动态特征,进而给出我国外汇储备投资资产期限结构相应的调整策略。
文章第四部分为我国外汇储备投资资产期限结构配置分析：包括外汇储备期限配置的理论模型构建、基于DCC-GARCH的外汇储备期限结构相关性分析、基于CVaR的我国外汇储备投资期限结构配置实证分析。构建外汇储备投资资产期限配置的理论模型,模型考虑到外汇储备投资期限配置在安全性、流动性和收益性三原则之间的权衡关系,假设我国外汇储备仅投资于长期和短期债券,主要考察长、短期债券利率变化对于外汇储备投资中其配置比重的影响,然后对外汇储备的期限结构配置进行实证分析。选取美国、日本、英国、德国这四国国债数据作为代表,先运用DCC-GARCH模型实证检验各国不同期限债券之间收益率的相关关系,以反映其利差变化和波动情况；再通过建立基于VaR约束的均值-方差模型以确定不同时期的最优外汇储备投资资产期限结构配置并分析期限结构调整路径。
最后是本文结论及政策建议：在之前构建的理论模型及得出的实证结果基础之上,对本文进行总结,提出我国外汇储备投资的期限结构调整及配置策略,给出我国外汇储备资产管理相关政策建议。
In recent years, China's foreign exchange reserve has maintained rapid growth. China's official foreign exchange reserve reached3.181trillion U.S. dollars in December,2011. By the end of June,2010, China's holding of U.S. securities reached1610million U.S. dollars. Among these U.S. securities, long term treasury bonds reached1606million U.S. dollars, took up72%of China's foreign exchange reserve investment. While corporate bonds investment and equity investment took up only6.9%and0.47%of China's foreign exchange reserve investment respectively. Under the background of the depreciation of U.S.dollar and the crisis of European sovereign credit rating, huge foreign exchange reserve and unreasonable foreign exchange reserve investment structure will not only brought huge funds outstanding for foreign exchange and the resulting write-off costs, but also faces exchange rate risk, interest rate risk, liquidity risk as well as political risk.
Risk management of foreign exchange reserve, especially the optimization of term structure, is basically a brand-new area for China's foreign exchange reserve investment. Therefore, along with China's foreign exchange reserve risk management practice, using the theories and methods of bootstrap method, polynomial estimation model, Nelson-Siegel model, Vasicek model, CIR model, DCC-GARCH model and Mean-CVaR model, we studied the term structure of China's foreign exchange reserve systematically, providing strong support for decision-making on China's foreign exchange reserve investment.
In this dissertation, a systematic and intensive study is made on the term structure of China's foreign exchange reserve investment, including estimation of foreign exchange reserve's term structure, optimization of the term structure and adjustment strategy. It mainly consists of five parts:
The first part is preliminary analysis of the term structure of China's foreign exchange reserve. We review the literature of foreign exchange reserve investment and interest rate term structure; analyze the current status of China's foreign exchange reserve investment, including its scale, its currency structure as well as its term structure. We also point out the potential risks that China's foreign exchange reserve would face. We summarizes the interest determination theories and the macro economic factors that would have an impact on the term structure, such as monetary policy, fiscal policy, economic cycle, inflation and resident income and so on.
The second part studies the theoretical basis of model designing. Firstly, we introduce the static interest rates term structure models, such as interpolation models and fitted models as well as their characters respectively. Secondly, we introduce the dynamic generalized equilibrium models of interest rates term structure, such as Merton model, Vasicek model, CIR model and multifactor equilibrium models.
The third part makes a static empirical study and a dynamic empirical study on the term structure of China's foreign exchange reserve investment respectively. We choose the Treasury bond sample data of USA, Japan, Britain and Germany, by utilizing Nelson-Siegel model, we make a static empirical study on the term structure of the assets, and then we achieve each country's T-bond term structure. Based on CIR model, we make a dynamic empirical study on the term structure of China's foreign exchange reserve. By analyzing the shape of the curves as well as their movement, we draw a conclusion of how to adjust the term structure of China's foreign exchange reserve.
The fourth part studies the allocation of the term structure of China's foreign exchange reserve investment, including design the theoretical model, correlation analysis by DCC-GARCH model, empirical study by mean-CVaR Model and so on. The model takes an overall consideration of security, liquidity and profitability. We assume that China's foreign exchange reserve consists only of long term T-bonds and short term T-bonds. We analyze the impact of interests variation will have on the allocation of the two assets. Choosing the T-bond sample data of USA, Japan, Britain and Germany, we utilize DCC-GARCH model to test the interdependency among long term, mid-term and short term T-bonds of each country. By using mean-CVaR model and asset portfolio theory, we get the ideal term structure allocation of China's foreign exchange reserve investment.
The fifth part draws a conclusion. Based on the previous analysis and the results of empirical tests, this part brings forward the adjustment strategy as well as policy proposal for the management of the term structure of China' s foreign exchange reserve investment.
引文
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