摘要
本文选择美元、欧元、英镑、日元四种最主要的储备货币月度利率数据作为分析对象,运用VaR方法对我国外汇储备的利率风险进行了测度。首先对序列数据进行平稳性与正态性检验,然后求出各种货币的平均收益率、相关系数矩阵与方差协方差矩阵,最后选择三种不同的币种结构求出具体的VaR值并进行比较分析。本文的结论是适当降低美元占比,并相应提高欧元、英镑、日元占比,这样可以有效地降低我国外汇储备的利率风险。
This paper selects the monthly interest rate data of the 4 most important reserve currencies（the U.S.dollar,euro,British pound,Japanese yen） as the analysis objects,and uses the VaR Method to measure the interest rate risk of China＇s foreign exchange reserves.Firstly,we sequences data stationarity and normality test.Then we find the average rate of returns of various currencies,the correlation coefficient matrix and variance-covariance matrix.Finally,we choose 3 different currency structures to calculate the specific VaR values and compare them.We conclude that appropriately reducing the proportion of the U.S.dollar and increasing the proportion of euro,British pound and Japanese yen can effectively reduce the interest rate risk of China＇s foreign exchange reserves.
出处
《统计研究》
CSSCI
北大核心
2012年第5期84-87,共4页
Statistical Research
基金
中华科技大学人文社科基金项目"全球金融危机背景下我国外汇储备风险管理问题研究"(20091754)阶段性成果
关键词
外汇储备
利率风险
VAR
Foreign Exchange Reserves
Interest Rate Risk
VaR
