我国国际储备结构优化与风险管理中的黄金角色- - 基于非线性动力学分析

项目名称： 我国国际储备结构优化与风险管理中的黄金角色- - 基于非线性动力学分析

项目编号： No.71303145

项目类型： 青年科学基金项目

立项/批准年度： 2014

项目学科： 管理科学

项目作者： 杨楠

作者单位： 上海财经大学

项目金额： 20万元

中文摘要： 我国已是世界第二大经济体和第一大外汇储备持有国，伴随着国际货币竞争和人民币国际化，国际储备将承担更为重要的职能。但当前储备中外汇与黄金比例存在严重失衡，难以抵抗主权货币违约等重大风险。迄今为止的研究多限于外汇储备内部的结构调整，未涉及包含黄金在内的整体结构优化，而技术上，黄金具有商品与货币双重属性，价格波动及与外汇资产间的复杂相关性具有显著非线性特征，较难进行预测与风险控制。本项目使用非线性动力学方法系统研究以下内容：（1）我国国际储备的未来战略需求及现有结构的系统性风险研究；（2）黄金储备对外汇储备的风险对冲机制及避险功能的非线性动力学分析；（3）主权货币贬值等外部冲击下的外汇与黄金储备最优规模区动态测算,以及外汇储备内部结构与黄金储备综合调整的实现策略。本研究为决策层对国际储备实施有效管理提供理论基础与客观依据，为学术界研究非线性动力学的应用提供新的波动刻画指标与风险分析框架。

中文关键词： 国际储备；结构优化；黄金储备；风险管理；非线性动力学

英文摘要： China is currently the world's second largest economy and largest holder of foreign reserves. Due to the international monetary completion and the internationalization of Renminbi, China's international reserves will play an increasingly important role. However, China's international reserves are imperiled by the structure of small percentage in gold, which has adverse effect of resisting major risks such as credit currency devaluation. The related research up to now concentrates more on the inner structure of foreign exchange reserves, and seldom involves in integral structure optimization including gold. Technically, Gold has the dual property of commodity and currency, and this makes its price volatility and its complicated correlation with foreign exchanges is of high nonlinearity and difficult to predict and carry on risk management.This research project employs the nonlinear dynamic theory to analyze topics as follows. First, impacts of economy scale increase and currency internationalization on requirements and functions of international reserve and the underlying risks with current structure. Second, dynamic measurement of the effectiveness of gold reserve as a hedge against exchange risk. Third, the dynamic optimal structure of China's international reserves under the impact of sovereign currency devalu

英文关键词： international reserves；structural optimization；gold reserves；risk management；nonlinear dynamics