摘要
基于VaR方法,把外汇储备看做是一个由不同币种组成的资产组合,通过实证分析测算各币种比例相对变化时的VaR值.结果表明,从控制风险的角度,目前我国应减少外汇储备中欧元的比重而增加美元的比重.
Based on VaR method,this paper regarded foreign exchange reserve as a portfolio composed of several currencies.By measuring VaR values of the portfolio as the proportion of currencies changes,we conclude that China＇s foreign exchange reserve should reduce the proportion of ECU,and accordingly increase the proportion of U.S dollar based on the empirical analysis.
出处
《经济数学》
北大核心
2010年第2期81-85,共5页
Journal of Quantitative Economics
基金
国家自然科学基金资助项目(70971037)
关键词
外汇储备
币种结构
VAR方法
foreign exchange reserve
currency composition
VaR method
