特別提款權權重調整前後波動性與風險值估計

特別提款權（SDR）其具備儲備資產、匯率穩定、危機應對、貸款工具及調整國際支付不平衡等重要功能，隨著全球化的發展，2016年人民幣被正式納入國際貨幣基金組織（IMF）的特別提款權貨幣籃子。本研究資料時間取自2016年10月1日至2023年9月30日止，亦將樣本以2022年5月10日為界，區分為權重調整前與權重調整後做為樣本資料，以GARCH模型估計風險值，藉由最大損失區間在信心水準90%、95%、99%下，進行回溯測試探討以權重調整前與權重調整後特別提款權波動與風險值預測。研究發現信心水準90%、95%、99%下，依巴賽爾協定做為判斷標準，風險回溯測試均在估計範圍內，惟在信心水準99%下上限風險值穿透次數略高，但下限風險值結果仍符合巴賽爾規範「在99%的信心水準下進行回溯測試，一年250個交易日內，例外事件發生4次以下可以列為綠燈區段」，由於SDR做為資產持有可忽略放空操作，因此GARCH模型可做為SDR風險值估計工具之一。

關鍵字

國際貨幣基金組織；特別提款權；匯率； GARCH模型；風險值

並列摘要

In this study, Special Drawing Rights (SDR) possesses significant functions such as reserve assets, exchange rate stability, crisis response, lending instruments, and adjustment of international payment imbalances. With the development of globalization, the Chinese Yuan was formally included in the International Monetary Fund (IMF)'s SDR currency basket in 2016. The data for this study is from October 1, 2016, to September 30, 2023, with the sample divided into periods before and after the adjustment of weights on May 10, 2022, for retrospective testing. During data processing, if there were no trades on any given day, the data for that day were removed. Risk values were estimated using the GARCH model, and the maximum loss interval was explored under confidence levels of 90%, 95%, and 99%. The study concludes that under confidence levels of 90%, 95%, and 99%, the risk retrospective testing falls within the estimation range as per the Basel Accord. However, the number of penetrations is slightly higher at the 99% confidence level. Given the impact of market exchange rate fluctuations on global economic changes, the increase in penetration times is understandable. Nonetheless, the results still comply with the Basel norms, which state that "under a 99% confidence level for retrospective testing, with 250 trading days in a year, occurrences of exceptional events four times or fewer can be considered within the green zone." Therefore, the GARCH model can be considered as one of the tools for estimating SDR risk values. Keywords: International Monetary Fund; Special Drawing Rights; Exchange rate; GARCH model; Value-at-Risk