我国外汇储备汇率风险的内部构成、边际变化及其额外增量

发布时间：2018-03-06 12:07

本文选题：外汇储备　切入点：汇率风险　出处：《华东师范大学学报(哲学社会科学版)》2010年05期 　论文类型：期刊论文

【摘要】：汇率风险是我国外汇储备面临的最主要的风险形式之一。为了满足外汇储备经营管理的需要,在应用风险价值(Value at Risk,VaR)理论度量我国外汇储备整体汇率风险的基础上,还应当研究外汇储备汇率风险的内部构成、某一项货币类资产对外汇储备汇率风险的边际贡献,以及新增加某种储备货币类资产对外汇储备整体风险的影响。据此所进行的实证研究结果表明:(1)在极端市场条件下我国外汇储备面临的汇率风险远大于正常市场条件下的风险;(2)欧元和英镑类别资产具有更大的边际风险,在我国外汇储备整体汇率风险中占有较大的比重;(3)在我国外汇储备中少量配置其他币种资产,不能显著降低储备的整体的汇率风险。
[Abstract]:Exchange rate risk is one of the most important forms of risk in China's foreign exchange reserves. In order to meet the needs of foreign exchange reserve management, the paper measures the overall exchange rate risk of China's foreign exchange reserves on the basis of applying the theory of risk value at risk at VaR. We should also study the internal composition of exchange rate risk in foreign exchange reserves, and the marginal contribution of certain currency assets to the exchange rate risk of foreign exchange reserves. The empirical results show that the exchange rate risk of China's foreign exchange reserves is much higher than that of the normal market under extreme market conditions. The risk under conditions is that euro and sterling class assets have greater marginal risk, In the whole exchange rate risk of our country's foreign exchange reserve, we can't reduce the whole exchange rate risk of our country's foreign exchange reserve by allocating a small amount of other currency assets in our country's foreign exchange reserve.
【作者单位】：华东师范大学国际金融与风险管理研究中心;
【基金】：教育部哲学社会科学青年基金项目(07JC790058)的阶段性成果
【分类号】：F832.6

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