2013-01-012024-05-18https://scholars.lib.ntu.edu.tw/handle/123456789/697595摘要：在過去幾個世紀中，準備貨幣一直扮演著輔助各國商業與貿易進行的重要角色。而自2003年起的全球性失衡以及最近的全球金融海嘯，皆使美元作為全球主要準備貨幣的地位受到極大的挑戰。近幾年來，隨著美國對全球經濟的影響力降低，歐元區從政治聯盟發展到貨幣整合、區域經濟組織以及新興市場的快速崛起，使美元維持國際準備貨幣的地位更加艱難。當各國政府擔心美國國內的金融風暴以及國家債務快速上升的負面衝擊影響到其官方準備的美元儲存價值時，許多的國家開始減少持有以美元計價的金融資產，並且開始思考是否應該改用其他國家貨幣或是新的國際準備貨幣來取代美元。許多新興國家的崛起，特別是中國，也對全球貨幣準備的議題上更增添了辯論的空間。包括歐元地位的提升、強勢的人民幣、值得信賴的原物料商品以及超主權特別提款權 (super-sovereign SDR) 等，都有可能與美元競爭，甚至取代美元壟斷的地位，故未來非單一準備貨幣的可能性提升許多。將來美元作為準備貨幣的地位下降後，會有更多的跨國資金的移動，將會使得匯率更不穩定，也會使得央行外匯準備的管理效率更加重要。各國中央銀行目前應該開始注意並調整其準備資產的配置，放慢外匯準備累積的速度，將其組合多樣化，以降低任一種貨幣價值波動可能帶來的匯率風險，亦即外匯準備的風險管理已是各國央行不可忽視的重要一環，在這一點上央行與其他金融機構絕對是相同的。尤其是適當的央行外匯準備不僅可以減緩外在環境的短期衝擊，更可以預防金融危機的發生，穩定匯率水準，更可以增加國庫合理的利潤收入。雖然由私人部門風險管理研究得來的方法亦可適用外匯準備管理，但畢竟央行風險管理的目標與私人部門仍有顯著差異。本計畫擬綜合研究央行在外匯準備管理上的多重目標，建立合適的理論模型。並利用這些模型來探討實證上重要國家的外匯風險管理，希望從中獲得理論或政策上的意涵。<br> Abstract: In the past centuries, the reserve monies always play the important role of facilitating the progress of commerce and trade. But since 2003, the global imbalances and the recent financial tsunami all start to deteriorate the role which the US dollar played as the international reserve money. Moreover, in recent years the economic power of the US steadily decreases, the integration of the euro area moves from political union toward monetary one, regional economic cooperation organizations and the emerging markets rises with great speed. All these developments contribute to challenges faced by the United States to maintain its currency as the only international reserve money. Governments all over the world begin to worry about the negative impacts which the US domestic financial turmoil and worsen of national debts may cause on the values of dollar assets in their official foreign reserves. They start to decrease the shares of financial assets denominated in dollars, and consider finding other currencies or new international monies to replace the dollar. Many emerging markets play increasingly important role on the international stage, especially China. All these add to heated discussion and debates about the issue of international reserve monies. The rises of euro, the presence of Renminbi, the emergence of commodities and the super-sovereign SDR, all present possible competition and threats to the monopoly power of the US dollar. When the role of US dollar as the only international reserve money disappears, we expect to see increasing capital movements across boarder, and also volatile exchange rate fluctuations. The efficiency of central bank’s foreign reserve management will become more important than before. Central banks should start to adjust their allocation of reserve asses, reduce the speed of reserve accumulation, and optimize the portfolio in order to minimize the exchange rate risk brought by fluctuations of any currency values. In other words, we can no longer ignore the importance of the risk management of central bank foreign reserves. It is as vital as in any other financial institution operations. However, a country’s foreign reserves must serve several purposes: smoothing short-run shocks in external transactions, preventing financial crises, stabilizing exchange rates, and also earning reasonable profits. Although the methodologies from the private sectors’ risk management are useful in managing foreign reserves, the objectives of central banks are still quite different from those of private asset management. In this project, we would like to carefully investigate the multiple objectives of central bank foreign reserve management and build suitable frameworks to analyze its risk management. We also like to investigate empirically the risk management of relevant countries and draw possible theoretical and policy implications from the results.外匯準備中央銀行風險管理匯率金融危機foreign reservecentral bankrisk managementexchange ratefinancial crisis