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本文研究了黄金在央行外汇储备管理中的作用。通过投资组合优化模型证实了增加黄金储备可以提高发展中国家或新兴市场经济体央行的效率边界。由于黄金不存在交易对手风险和信用风险,增加黄金储备有助于对抗与货币供给快速增长相关的风险,能够为世界各国央行所接受,在当前经济金融危机的环境下尤其具有吸引力。此外,黄金市场规模庞大,金融危机中即使在其他市场存在压力的情况下仍能保持良好的流动性,增加黄金储备也有助于增加储备资产的流动性。
This paper studies the role of gold in the central bank’s foreign exchange reserve management. The portfolio optimization model confirms that increasing the gold reserves can increase the efficiency boundary of central banks in developing countries or emerging market economies. Because there is no counterparty risk and credit risk in gold, increasing gold reserves can help combat the risks associated with the rapid growth of money supply. It can be accepted by the world’s central banks and is particularly attractive in the current economic and financial crisis environment. In addition, the gold market is large, maintaining good liquidity in the financial crisis even under pressure from other markets. Increasing the gold reserves also helps to increase the liquidity of reserve assets.