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Analysis of the Risk and the Optimal Currency Structure of China’s Foreign Exchange Reserves Based on VAR

Author: WangShuo
Tutor: ZengShiHong
School: Beijing University of Technology
Course: Applied Economics
Keywords: Foreign exchange reserves Optimal structure Value at Risk Risk Analysis
CLC: F832.6
Type: Master's thesis
Year: 2010
Downloads: 290
Quote: 2
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Abstract


China's foreign exchange reserves in recent years to maintain the momentum of high-speed growth , China 's foreign exchange reserves reached $ 2,008,880,000,000 as of April 2009 , to become the world 's largest foreign exchange reserves . Given China 's current stage of development , to continue to expand the export trade , the introduction of the excellent foreign development direction of our last couple of stages . On the other hand , adequate foreign exchange reserves an important role in financial stability and international status . Reserve value not only facing a serious risk of the exchange rate and there is a higher opportunity cost , the overall yield is low . Diversified economic structure in the world today , the adjustment of foreign exchange reserve structure , improve the operational efficiency of foreign exchange reserves has become an important issue of the reform of the foreign exchange reserve management . Article is mainly working on the currency structure of China 's foreign exchange reserve structure , combined with excessive foreign exchange reserves in China and the actual situation of the double surplus , from the point of view of the portfolio analysis of optimal currency structure , thereby minimizing the risk diversification reduce risk. The article is divided into four parts , the first part of elaborate research background and significance the article overall structural arrangements and the use of the method , the innovation of the paper and inadequacies , finally introduced in China's foreign exchange reserves risk . The second part is the introduction of the literature review . The third part , the main analysis and risk reduction measures and the feasibility of the method . Considered from two aspects : the lower scale and optimize the structure . Then the risk of foreign exchange reserves to reflect the value at risk . Through the analysis of the results of the third chapter of calculating the combination of different indicators to analyze the structure of China's foreign currency reserve assets value at risk , comparative analysis of selected small degree of risk in the program . Portfolio risk then this program constitutes analysis . The fourth part is the conclusion and tells paper inadequacies.

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