• 论文 •

### 中国外汇储备利率风险的测度

• 出版日期:2012-05-15 发布日期:2012-05-03

### The Measurement of the Interest Rate Risk of China’s Foreign Exchange Reserves

Li Weibing & Yang Pengcheng

• Online:2012-05-15 Published:2012-05-03

Abstract: This paper selects the monthly interest rate data of the 4 most important reserve currencies(the U.S. dollar, euro, British pound, Japanese yen) as the analysis objects, and uses the VaR Method to measure the interest rate risk of China’s foreign exchange reserves. Firstly, we sequences data stationarity and normality test. Then we find the average rate of returns of various currencies, the correlation coefficient matrix and variance-covariance matrix. Finally, we choose 3 different currency structures to calculate the specific VaR values and compare them. We conclude that appropriately reducing the proportion of the U.S. dollar and increasing the proportion of euro, British pound and Japanese yen can effectively reduce the interest rate risk of China’s foreign exchange reserves.