摘要
基于美国财政部国际资本系统（TIC）的数据，本文对中国外汇储备的币种和证券资产构成进行推测，并估算其成本与收益，分析潜在的资本风险。本文结论显示．绝大部分中国外外储备被用于美元、欧元资产的投资，其中，美国的国债和机构债券占主体地位。若以美元计价，2000-2009年中国外汇储备的平均收益率尚达4％-5％：若以人民币计价，汇改前的平均收益率为5．54％，；汇改后仅为1％。在剔除外汇冲销成本之后．汇改前的平均净收益率为3．59％，汇改后为-1．64％。与低收益率不相匹配的是，中国外汇储备面临着较高的资本损失风险，如“两房”机构债券违约风险、利率（通货膨胀）风险和汇率风险等。
Based on the data of Treasury International Capital, the paper calculates the currency and security composition of China＇s foreign exchange reserve, estimates its cost and yield, and analyzes the latent capital risks that it faces. The author argues that most of China＇s reserve is invested in U.S. dollar and euro assets, among which, the U.S. treasury bonds and government agency bonds are two main types of assets. If denominated in U.S. dollar, the average yield of China＇s foreign reserve reached 4-5% during the period of 2000-2009; and if denominated in RMB, the average yield attained 5.54% in the period before the RMB exchange rate reform in 2005, though the number decreased to just 1% after the reform. After considering the sterilization cost, the average net yield of China＇s foreign reserve reached 3.59% before the exchange rate reform, and decreased to -1.64% after the reform. Mismatching with the low yields, China＇s foreign reserve faces high capital risks, such as default risk of U.S. government agency bonds, interest （inflation） risk and foreign exchange risk.
出处
《国际金融研究》
CSSCI
北大核心
2011年第1期44-52,共9页
Studies of International Finance
关键词
中国外汇储备
构成
收益
风险
China＇s Foreign Exchange Reserve
Composition
Yield
Risk
