• 论文 •

### 外汇储备币种结构风险测度及优化

• 出版日期:2014-03-15 发布日期:2014-03-10

### Risk Measurement of Currency Composition of Foreign Exchange Reserves and Optimization

Guangyou Zhou & Sijie Zhao

• Online:2014-03-15 Published:2014-03-10

Abstract: With the scale of Chinese foreign exchange reserves are expanding continuously, so they are the risk of the foreign exchange reserves. And the risk caused by the currency composition is extremely important. This paper selects the daily interest rate data, from 2008 to 2012, of the U.S. dollar, euro, Japanese yen and British pound assets, which are the four most important reserved currencies, as the analysis objects, and uses the GARCH Model and VaR Method to estimate the yield and the volatility of each reserve currency. Besides, it also calculates the optimal currency composition with different expected returns. According to the result, the yields and the volatilities of the U.S. dollar and British pound assets are relatively tiny, while the yields of the euro and Japanese yen assets are relatively great. Therefore, it is suggested that appropriately reducing the proportion of the U.S. dollar or adjusting the structure of the U.S. dollar asset, and increasing the proportion of euro and Japanese yen.