连接函数在外汇投资组合风险中的实证分析

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摘要

由美国次贷危机所引发的全球金融危机，目前已经导致美国、欧元区与日本

三大经济体集体衰退。从布什政府的七千亿美元救市到奥巴马政府的八千亿美元

刺激内需的的财政刺激计划，截止到目前也没有扼制住美国经济衰退的趋势；从

长期来看，美元将会面临进一步贬值的趋势。

在我国国际储备资产构成中，绝大部分为外汇储备，而我国外汇储备中约 70%

是美元资产。而最近几年来美元对其他主要货币的大幅贬值，已使得我国外汇储

备的国际购买力遭受严重损失。

因此，如何通过外汇储备的投资组合来缓解美元贬值的汇率风险，以及在保

持外汇储备安全性及流动性的基础上提高外汇储备的收益性，是我国政府面临的

迫切任务，也是外汇储备结构管理中一个非常重要的课题。

由于金融市场中出现的很多数据往往具有尖峰、厚尾、时变等特性和传统的

分析方法的局限性，本文选用连接函数(Copula)来研究中国外汇市场的风险，同

时，Copula 是在构造多元联合分布以及随机变量间相关结构分析中的常用工具，

最近几年来也越来越多的被运用到金融领域中。

本文首先综述了国内外关于连接函数和投资组合风险的研究现状，然后以连

接函数理论、投资组合风险理论以及连接函数在金融分析上的相关理论等为理论

基础，来探析中国外汇市场上的投资组合风险。

然后，对国际上具有代表性和发展比较成功的外汇储备经验，例如新加坡、

挪威多层次储备管理体系和美国、日本双层次的储备管理体系进行研究分析，找

出其成功的经验所在；并简要介绍了我国的外汇储备管理情况。

最后，在以上研究的基础上，对中国外汇市场上的投资组合风险进行了实证分

析，主要是通过运用美元和日元两种外汇数据对中国外汇市场中存在的风险进行

了实证分析。本文选用 GARCH-t 模型和混合连接函数，对外汇资产的汇率风险进

行了风险分析(



=0.025 的风险投资分析)，通过蒙特卡洛模拟得出的最终组合为：

把投资总额的 45%用于投资日元，55%用于投资美元，可使投资组合的风险最小。

鉴于以上实证分析结果，又对中国外汇储备和外汇市场的发展提出了相关建议。

关键词：外汇投资组合连接函数风险价值 GARCH-t

混合连接函数

ABSTRACT

The U.S. subprime mortgage crisis has triggered a global financial crisis, has led to

the United States, the euro zone and Japanese economies, collectively the three major

recession. From the Bush administration's 700 billion U.S. dollars to the Obama

Government's 800 billion U.S. dollars to stimulate domestic demands, up to now, the

fiscal stimulus packages have not curbed the trend of economic recession in the United

States; from the long term, the dollar will face the trend of further depreciation.

In the composition of China's international reserve assets, the vast majority are

foreign exchange reserves, while about 70% of China's foreign exchange reserves are

U.S. dollar assets. In the recent years, because of U.S. dollars against other major

currencies depreciated, the international purchasing powers of China's foreign exchange

reserves have suffered serious losses.

Therefore, how to alleviate the depreciation of the dollar's exchange rate risks by

the portfolio of foreign exchange reserves, and increase earnings of foreign exchange

reserves based on the maintaining safety and liquidity of foreign exchange reserves is

our urgent task and also a very important issue in the structure management of foreign

exchange reserve.

As a lot of datas in the financial markets often have spikes, thick tail, time-varying

characteristics and the limitations of traditional analytical methods, this paper uses

Copula to study the risks of China's foreign exchange markets, at the same time, Copula

is the commonly used tool for the constructed multi - the joint distribution and the

correlation structural analysis between random variables, in recent years more and more

has been beinng applied to the financial areas.

This paper reviews the status of Copula and portfolio risk at home and abroad, and

then analies the investment portfolio risk in China's foreign exchange market based on

Copula theories, portfolio risk theories and the relevant theories of Copula in the

financial analysis .

Then, the more successful experience of the internationally representative the

foreign exchange reserves, such as multi-level reserves management system of

Singapore and Norway, and two-level reserves management systemof the United States

and Japan, has been researched and analied to find out where the successful experience

is; and a brief introduction to China's foreign exchange reserves management.

Finally, on the basis of the above research, the portfolio risks in China's foreign

exchange market have been conducted the empirical analysis, mainly through the use of

the dollar and the yen exchange datas. By the choices of GARCH-t model and mixed

Copula, the exchange rate risks of foreign currency assets have been conducted a risk

analysis (



= 0.025 risk investment analysis), through Monte Carlo simulation the

ultimate combination is: 45% of the total investment for investment in yen and 55% for

investment in dollars, can minimize the risk of the portfolio. In view of the above

empirical results, this paper alsogive some advice to the China's foreign exchange

reserves and the development of foreign exchange market.

Key words: foreign exchange investment portfolio, Copula,

VaR(value at risk), M-Copula

摘要

ABSTRACT

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摘要：

摘要由美国次贷危机所引发的全球金融危机，目前已经导致美国、欧元区与日本三大经济体集体衰退。从布什政府的七千亿美元救市到奥巴马政府的八千亿美元刺激内需的的财政刺激计划，截止到目前也没有扼制住美国经济衰退的趋势；从长期来看，美元将会面临进一步贬值的趋势。在我国国际储备资产构成中，绝大部分为外汇储备，而我国外汇储备中约70%是美元资产。而最近几年来美元对其他主要货币的大幅贬值，已使得我国外汇储备的国际购买力遭受严重损失。因此，如何通过外汇储备的投资组合来缓解美元贬值的汇率风险，以及在保持外汇储备安全性及流动性的基础上提高外汇储备的收益性，是我国政府面临的迫切任务，也是外汇储备结构管理中一个非常重要的...

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