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A Study on the Measurement for the Liquidity Risk of China’s Foreign Exchange Reserves

Author: FuFang
Tutor: LiWeiBing
School: Huazhong University of Science and Technology
Course: Western Economics
Keywords: foreign exchange reserves liquidity risk contingent claim analysis method
CLC: F832.6
Type: Master's thesis
Year: 2012
Downloads: 23
Quote: 0
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Abstract


By the end of June2011,China’s foreign exchange reserves reached the amount of USD3.24trillion.However, in recent years the rapid growth process of China’s foreign exchange reserves also contained huge risk.The liquidity risk of foreign exchange reserves, means the central bank is unable to change its foreign exchange reserve assets held at a rapid pace and low cost into cash to meet the liquidity needs.This dissertation synthesizes research of foreign exchange reserves and liquidity risk measure research results.Based on that, this paper uses contingent claim analysis method to study the liquidity risk of China’s foreign exchange reserves by empirical analysis,to some extent, this study can deepen and complement the risk management theory of foreign exchange reserves.The article first reviews the development progress of China’s foreign exchange reserves and analyzes the the currency structure and asset structure of China’s foreign exchange reserves.On the basis of that,the article further describes the main risks of China’s foreign exchange reserves, such as interest rate risk,exchange rate risk, liquidity risk and opportunity risks.In the third part of this article,it constructes a liquidity risk measure model for foreign exchange reserves based on the contingent claim analysis method.Finally, the article conducts an empirical analysis and measure on the liquidity risk of China’s foreign exchange reserve by the use of CCA method.The article finds that the liquidity risk of China’s foreign exchange reserve assets is characterized by small probability but large fluctuation,especially the liquidity risk significantly increased since2011.On the basis of that,the article then puts forward some appropriate policy and recommendations.

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