CAJ | 학술논문

本文以我国货币当局2002-2012年资产的月度数据为研究样本,探究货币当局的资产增长动态机制,以期能够甄别其动态演进路径.实证结果认为,近些年来,我国货币当局月度资产的增长动态强势,但月度增长率极不稳定,波动幅度较大,并且资产的急剧扩张主要是由我国外汇储备剧增所致,衍生了资产的国内外地域分布不均衡问题,加剧了资产管理的国际风险;另外,月度资产水平值具有非平稳性,而其一阶差分值具有平稳性,其演化动态路径遵循ARMA（2,4）过程模型.
본문이아국화폐당국2002-2012년자산적월도수거위연구양본,탐구화폐당국적자산증장동태궤제,이기능구견별기동태연진로경.실증결과인위,근사년래,아국화폐당국월도자산적증장동태강세,단월도증장솔겁불은정,파동폭도교대,병차자산적급극확장주요시유아국외회저비극증소치,연생료자산적국내외지역분포불균형문제,가극료자산관리적국제풍험;령외,월도자산수평치구유비평은성,이기일계차분치구유평은성,기연화동태로경준순ARMA（2,4）과정모형.
Currently, where does the dynamic path of assets of Chinar s monetary authorities points to？ Can its dynamic mechanism be effectively captured？ The need to be discussed questions. Using assets monthly data from 2002 to 2012 of China＇s monetary authorities as samples, the paper explores the asset growth dynamics of monetary authorities in order to identify its dynamic evolution path. Empirical results suggest that, in recent years, growth of monthly asset of China＇s monetary authorities is strong, but the monthly growth rate is very unstable, fluctuating, and the rapid expansion of assets is mainly caused by a dramatic increase in foreign exchange reserves, derives the issues of asset uneven geographical distribution of domestic and international, which exacerbates the international risk of asset management. In addition, the level value of monthly asset is non-stationary, but the first-order differential value. Its dynamic evolution path follows ARMA （2, 4） process model.