Studay On Currency Structure Of Foreign Exchange Reserves Management Base On The Theory Of Asset Portfolio

Under open economy condition, Foreign exchange reserves is a important indicator to study a country's foreign economic relations.It is not only the result of macroscopic economical movement manifesting, also is the important method to carry on the macroscopic economy.The purpose of holding foreign exchange reserves is not only to ensure that the international trade payment, the main purpose is to deal with the adverse impact of capital flows, stable exchange rate and improve the confidence of domestic and foreign investor.Foreign exchange reserves management theory has become an most interesting field of international financial study.A reasonable scale of foreign exchange reserves and the control of currency structure is the core issue of foreign exchange reserves management theory. In recent years, China's foreign exchange reserves grow rapidly.At the end of March.2007,It has reached 1.2 trillion U.S. dollars. In the background of China foreign direct investment and international trade surplus growrapidly,China's foreign exchange reserves is difficult to control, This leads us to turn our gaze to control currency structure :What is the reality currency of foreign exchange reserves? What is the structure of foreign exchange resreves? Is can be able to meet the real needs of the management objectives? To answer these questions, it is necessary for China to make accurate estimates of currency structure.The basis of this studay is the Markowitz's Asset Portfolio Theory. China's foreign exchange reserve structure with the specific circumstances. By examining the international system of currency structure ,China's foreign trade structure , Position of Foreign Direct Investment ,Currency structure of foreign debt, RMB exchange rate system .We Choose the U.S. dollars, Japanese yen, Euro, pound sterling and Won as the foreign exchange reserves of China's currency .Estab a quadratic programming model of risk measure and proceeds. And use the five countries empirical data from 1988 to 2006 ,Discussed the two optimal currency weights at a fixed exchange rate and a floating exchange rate ,and explain the results of the currency structure. Finally, according to currency structure of China's foreign exchange reserves management ,we mark a number of advice on policy recommendations.We use a qualitative analysis and quantitative analysis on this paper. In the selection of currency, we use qualitative analysis,We calculate the data with the quadratic programming model of the Asset Portfolio Theory.