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

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 devaluation, and implementation strategy of overall system adjustment including both foreign exchange reserves and gold reserves. The project will provide valuable reference for China's government to scientifically adjust the structure of international reserves, in the meanwhile, set up risk analytical framework and fluctuation measurement index for academia with nonlinear dynamic theory's application in financial time series.

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。

本项目旨在通过非线性动力学原理和方法，对外汇汇率和黄金价格波动中的复杂性特征进行探索，完善我国国际储备结构优化的分析框架和评价目标，以更为全面地体现对国际储备各部分资产的运动趋势与中长期轨迹的整体把握。按照研究计划，本项目有以下几个方面的主要研究内容：（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，基于分形与混沌研究的黄金和外汇资产的典型特征参数挖掘与风险度量向量构建等；（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。.本项目的主要研究结论有：（1）未来推进人民币国际化进程中，应增强黄金储备的超主权信用担保支撑作用，适当增加国际储备规模可以降低国际储备的合意区间下限、有效发挥预防性功能；（2）黄金价格与外汇汇率的波动都具有显著的分形与混沌等非线性特征，黄金储备有异于外汇储备的特性来源于其货币与商品双重属性所决定的价格形成机制上的差异性，基于此构造的风险度量向量有助于刻画序列波动结构性风险，优化传统风险度量；（3）黄金所具有的抗全球通货膨胀和抗美元贬值的双重避险能力及其联动性在重大金融危机期间表现出显著增强趋势。.本项目研究可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，为决策层对国际储备实施科学有效管理提供理论基础与客观依据。