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Research for the Risk of Foreign Exchange Reserves in China

Author: JinJiHua
Tutor: ZhaoJinWen
School: Dongbei University of Finance
Course: Statistics
Keywords: Foreign exchange reserves The generalized self variable conditions heteroscedasticity model Quadratic Programming Exchange rate fluctuations
CLC: F832.6
Type: Master's thesis
Year: 2010
Downloads: 180
Quote: 0
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Abstract


China's foreign exchange reserves over 500 billion U.S. dollars by the beginning of 1995 to the end of 2009 reached more than 22,000 billion U.S. dollars, less than 20 years, China's foreign exchange reserves have gone up 43 times. Creating a long-term sustainable growth of China's foreign exchange reserves since the reform and opening up, China's current account and the capital account of the long-term double surplus. This excessive growth makes China quickly became the protagonist of the international foreign exchange market, and provides many problems and challenges as well as to the management of foreign exchange reserves in China. China from July 21, 2005, the RMB exchange rate reform, the RMB pegged to the U.S. dollar is no longer a single, but the implementation of the reference to a basket of currencies, to a market-based, managed floating exchange rate system. The beginning of the RMB exchange rate market and increase the assets of our exchange rate risk, and also increase the risk of the exchange rate of China's foreign exchange reserves. For developing countries, can not take advantage of the developed and effective international financial markets to avoid exchange rate risk, only by improving the structure of foreign exchange reserves to minimize risk. The article refers to the Markowitz mean - variance portfolio model, while absorbing Heller - Knight mentioned they coauthored the article \only determined by the exchange rate arrangements, trade and balance of payments structure also plays an equally important role. On this basis, this paper established the optimal currency structure of China's foreign exchange reserves mean - variance model estimates the optimal currency structure of China's foreign exchange reserves by quadratic programming. Comes to Australia, South Korea, Canada, the United States, the European Union, the United Kingdom, Japan and Hong Kong, the model estimates the national currency exchange rate and trade structure. For this article mean - variance in income determination of imports, total exports of these countries between the logarithmic difference sequence. For the determination of the risk, this paper is a sequence of 8 countries on China's RMB exchange rate. Risk analysis of China's foreign exchange reserves for the prediction of China's foreign exchange reserves optimal currency structure model, plays a vital role. By exchange rate sequence a series of Metrology and Inspection, and finally established a univariate GARCH (1,1) model and multivariate GARCH model. .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Exchange rate,foreign financial relations
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