The optimal currency composition of Chinas foreign exchange reserve
In this paper, we study how to select the reserve currencies and bow to obtain the optimal portfolio for foreign exchange reserve. We set the return of foreign exchange reserve as the main studying target According to Dooley model, we choose USD, yen, euro and pound as our countrys reserve currencies and set external debt and import trade flow as constraints, under the fixed exchange rate regime and the floating exchange rate regime, respectively calculate an optimal composition of reserve currencies. Our result shows that both yen assets and euro assets need to be increased in chinas foreign exchange reserve. Moreover, the holding of dollar assets needs to be decreased.
foreign exchange reserve selection of currencies MV model Dooley model
MeiYu JieGao
Department of Financial Engineering School of Finance and Banking The University of International Business and Economics Beijing, China
国际会议
昆明、丽江
英文
387-391
2011-04-15（万方平台首次上网日期，不代表论文的发表时间）