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Research On Risk Management Of China 's Foreign Exchange Reserves

Posted on:2016-01-17Degree:DoctorType:Dissertation
Country:ChinaCandidate:M TianFull Text:PDF
GTID:1109330461468636Subject:Political economy
Abstract/Summary:PDF Full Text Request
Foreign exchange reserves related to the overall national economic security are important parts of the national wealth, important guarantee for external payments, important means of balance of international payments, able to maintain exchange rate stability and resistance to financial risks. With the rapid growth, China’s foreign exchange reserves gathered a high risk stocks. If the foreign exchange reserves are not managed efficiently and effectively, it will not only cause the loss of reserve assets, but also may lead to the emergence and spread of financial risks of China’s economy as a whole.At present, the major contradiction of China’s foreign exchange reserves is that the marginal revenue is less than the marginal cost. How to broaden the channels of China’s foreign exchange reserves funds, earn long-term, stable and reasonable returns on investment, increase the value of the realization of China’s foreign exchange reserves under a controllable risk condition,are major problems need to be solved urgently at this stage. As a premise key, researches on China’s foreign exchange reserves risk and risk management issues have great theoretical significance and important practical applications.Risk management of foreign exchange reserves is to strengthen the concept of risk control and take effective measures against risk prevention and management of foreign exchange reserves. China’s foreign exchange reserves are mainly concentrated in the construction of the risk management and improve the comprehensive risk management framework for internal control systems and other macro-level, always put safety first, the idea of foreign exchange reserves in various business process management, investment, management and operational aspects are reflected, but whether in theory or in practice, China’s foreign exchange reserves risk management of foreign exchange reserves still in the dispersion of risk through diversification of foreign exchange reserves investment traditional risk management stage, the risk management approach the effect is highly dependent on the relationship between the portfolio assets, and only dispersed non-systematic risk, with considerable limitations. Legalistic philosophy on, step by step pattern on China’s foreign exchange reserves have made it difficult to meet the risk management hedging of foreign exchange reserves to the new situation, China’s foreign exchange reserves risk management requires innovative thinking and positive step.This paper answered the most important questions in the field of China’s foreign exchange risk management. Starting from the source, explaining China’s foreign exchange reserves at risk of developing the direct and institutional roots, and through China’s foreign exchange reserves needs motivation and nature reserve argument, pointing out the risk of China’s foreign exchange reserves there are structural ills, despite China’s monetary authorities on foreign exchange reserves conducted a multi-level reform and innovation, but with little success, theoretical guidance macro-level risk management of foreign exchange reserves management is more important than the actual meaning. In this paper, China’s foreign exchange reserves more effective method of risk management to explore the microscopic field.In this paper, the Chinese foreign exchange reserves portfolio is considered to modern risk management theory as a guide, with the ideas and theories of financial engineering instruments, adhering to the active risk management philosophy, risk and management of foreign exchange reserves of more in-depth analysis. After clarifying the relationship between risk and risk the loss of foreign exchange reserves China China’s foreign exchange reserves is likely to face between the economy, the article on risk factors, China’s foreign exchange reserves were individually identify and assess, highlighted China’s foreign exchange risk bidirectional characteristic results, and as the ideological foundation, a clear focus on risk management in China’s foreign exchange reserves.After the risk management methods are systematically combing through portfolio diversification paper to diversify foreign exchange reserves risk management methods criticized that risk diversification valid only for non-systemic risk, but invalid for systemic risk. Since the financial crisis, the global systemic risk upgrade, continue to pursue diversification of reserve assets and structure of the optimal portfolio, limited to the role of China’s foreign exchange risk management. To this end, we introduce the idea of risk transfer, proposed the use of the futures market for the current period to hedge the risk of China’s foreign exchange reserves, a t distribution constructed under the minimum Va R value at risk model based on hedging foreign currency reserve assets, and use the model of ECM-VCC-GARCH for quantitative analysis.This paper analysed the formation of China’s foreign exchange reserves, institutional constraints, motivation and structural characteristics from the perspective of macroeconomics, defined the concept of risk reserves, systematicly studyed the risk and risk management issues of China’s foreign exchange reserves following the risk management procedures which include the risk identification, assessment, measurement, prevention and control, developed a Va R method under t-distribution and estimated by the ECM-VCC-MGARCH model for China’s risk measurement and risk management effectiveness assessment from the perspective of the micro finance. We hope this article will be helpful for the theory and practice of China’s foreign exchange risk management.
Keywords/Search Tags:Foreign Exchange Reserve, Risk Factors, Risk Management, Value-at-Risk, Hedging
PDF Full Text Request
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