Dissertation > Excellent graduate degree dissertation topics show

Under the existing international monetary system of China's foreign exchange rate risk

Author: LuYing
Tutor: FangXing
School: Capital University of Economics
Course: Finance
Keywords: foreign exchange reserves exchange rate risk VaR GARCH model
CLC: F832.6
Type: Master's thesis
Year: 2011
Downloads: 231
Quote: 1
Read: Download Dissertation

Abstract


China’s foreign exchange reserves grow rapidly in recent years. China surpassed Japan in 2006 and became the country with world’s largest foreign exchange reserves. High foreign exchange reserves indicate China’s increasing overall national strength, but China suffers huge exchange rate risk because of the fluctuations of currencies’ price. Under the current international monetary system, floating exchange rate arrangements make fluctuations become normal; the unequal rights and obligations compel countries outside the monetary system passively exposed to exchange rate fluctuations; exchange rate risk has not been effectively controlled in lack of supervision from international financial institutions. In short, not only in China, but also many developing countries with large foreign exchange reserves are faced with the problem of exchange rate risk.This paper analyzes the shortcomings of existing international monetary system and proposes the root of exchange rate risk, combined with quantitative easing policy implemented by developed countries after economic crisis. Meanwhile, China’s foreign exchange reserves have defect of overlarge scale and high ratio of dollar assets, which not only may face capital loss from exchange rate fluctuations and foreign currencies devaluation, but also bear capital loss from the reducing return on reserve assets. Considering main currencies of China’s foreign exchange reserves are U.S. dollar, euro, yen and sterling, the paper utilizes the latest published currency price by the Administration of Foreign Exchange and uses VaR method by establishing GARCH models in empirical research on foreign exchange risk. The results show that the euro, yen and pound have normal price fluctuations, while dollar has the smallest volatility. It comes from the "hard peg" to dollar exchange rate system implemented by China these years, and the peace situation will be broken when the system quits and the RMB exchange rate formation perfects in future, in which case the value of reserve assets will be adversely affected. Based on the theoretical analysis and empirical research, the paper puts forward some policy recommendations, including reducing the proportion of dollar-denominated assets appropriately, increasing the proportion of the euro and yen assets appropriately, changing foreign exchange reserves into commodities or purchasing assets of the United States in China, so that to reduce the exchange rate risk.

Related Dissertations

  1. Cadmium, Chromium and Lead Accumlation, Distribution in Aralia Elata Var. Inermia and Their Effect on Leaf Antioxidative System,S792
  2. Preparation and Biological Effects of a Bio-Organic Fertilizer Against Tobacco Black Shank Disease,S435.72
  3. Studies on Agrobacterium-midiated Genetic Transformation in Brassica Campestris Subsp. Chinensis Var. Parachinensis,S634.5
  4. Daxinganling forest areas Pinus sylvestris tree-ring δ \u003csup\u003e 13 \u003c / sup \u003e C of the climate significance,S791.253
  5. Physio-Biochemiscal Responses of Seed Germination and Seedling of Sweet Pepper under NaCl Stress,S641.3
  6. Copula-EGARCH-Kernel Density Estimation Model and Its Application,O211.3
  7. Study on Fitness of Backcross Generations between Glyphosate-Resistant Transgenic Oilseed Rape and Four Geographic Populations of Wild Brassica Juncea,S565.4
  8. Cloning and Expression of Novel β-Glucosidase Genes from Rhizopus Stolonifer Var. Reflexus,Q78
  9. Strain Screening of Hainanmycin Production and Fermentation Process Optimization,TQ927
  10. The employment effects of foreign economic - theoretical and empirical research ( 1978-2009 ),F752;F224
  11. Shanghai and Shenzhen stock markets empirical research,F224
  12. Research on Support Vector Regression in Prediction of the Short-term Load of Power System,TM715;F224
  13. In the standard model based on VaR Equity Fund Risk Assessment Study,F224
  14. Price Volatility Risk Assessment and Comparison of China’s Commodity Futures,F224
  15. Empirical Analysis on the Relationship Between Financial Development and Economic Growth of Shandong Province,F127;F224
  16. The Establishment and Effectiveness of Financial Risk Assessment Index System of Listed Companies Based on VaR,F832.51;F224
  17. The Research on the Retail Credit Risk Management of Bank of Communication,F832.3
  18. Applied Research Based on GARCH-VaR Model in Our ETF Risk Measurement,F224
  19. Application of FPGA in Low SVG,TN791
  20. The Application Research to Risk Measurement of Index Futures,F224
  21. The Application of ARM on SVG,TM761

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Exchange rate,foreign financial relations
© 2012 www.DissertationTopic.Net  Mobile