Research On Optimal Allocation Of Foreign Exchange Reserve Assets

In this paper, we estimate Chinese foreign exchange reserves optimal currency structure through international trade, the source of foreign direct investment, foreign debt structure, stable exchange rate, SDR composition and national economic strength. Through large amounts of data and calculation, the dollar accounts for60.96%of Chinese optimal reserve currency structure of foreign exchange, the euro accounted for19.82%, the yen accounted for14.97%, the pound accounted for4.25%. With the active management of foreign exchange reserves in some countries like Norway and Singapore, the foreign currency asset allocation is divided into three categories: currency markets, fixed income and equity. With the introduction of MV model, the asset allocation of foreign exchange reserves is divided into different categories: currency optimization level and asset structure optimization level. In the divisions of optimal weight of foreign exchange reserves, money market assets accounts for4.42%, fixed income78.80%and equity16.79%. In the end, with the real reserves data of China’s foreign exchange reserves in the last12years and the estimates of currency optimization level and asset structure optimization level in this article, assets of the currency and the specific dimension of structure assets in each year have been calculated. It will be of enlightenment function for the foreign exchange reserve management in our country.