基于风险选择与投资收益的外汇储备币种结构研究

摘要

The risk preference of a country's foreign exchange reserve investment will be af-fected by the assets scale of its foreign exchange reserve.Learning from the three utility function in J.H.Makin(1 971),the paper has established a theoretical model of currency structure of for-eign exchange reserve investment which gives full consideration to safety,liquidity and profit-ability.Supposing foreign exchange reserve investment is only composed of dollar and euro as-sets,the paper has made an empirical study on the quarterly data of 10 year US treasury bonds and the euro zone bonds from Jan.,2000 to Sep.,2014.By using cointegration analysis and Granger test,we conclude that the proportion of a currency in foreign exchange reserve invest-ment has a significant positive correlation to the investment return and the three order moment of the currency;and generally speaking,the official foreign exchange reserve investment is risk a-verse.%随着外汇储备规模的不断增加，国家外汇储备投资的风险偏好亦会发生相应的变化。借鉴 J. H.Makin(1971)的方法，构建外汇储备币种结构配置理论模型，讨论在效用最大化的情况下，储备资产投资如何在安全性、流动性和盈利性三原则间进行权衡。假设外汇储备仅投资于美元和欧元两种币种资产，选取2000年初~2014年第三季度的10年期美国国债和欧元区公债季度数据，运用协整分析、格兰杰检验等方法进行的实证研究发现：储备货币在外汇储备中的比重与储备货币收益率及其三阶矩显著正相关，国家外汇储备投资总体而言是风险规避型的。