Study On The Structure Of China's Foreign Exchange Reserve Assets

Foreign exchange reserve refers to the reserve currency assets that the monetary authorities of a country can hold freely and freely convertibility.It can regulate the balance of payments,guarantee external payment,intervene foreign exchange market,maintain stability in exchange rate,and increase comprehensive national strength,prevent financial risks and resist the impact of international hot money.The fact that foreign exchange reserves increase year by year has fully demonstrated the increasing economic strength of our country.This paper selects the annual data from 2005 to 2016,according to the mean variance model of Markowitz,to optimize the asset structure of China's foreign exchange reserves.First of all,on the basis of previous research,the main factors that affect the optimal currency structure of foreign exchange reserves in the international trade in import and foreign debt payments,source of foreign direct investment,the stability of the local currency,the SDR structure and the strength of the national economy,and through a large number of actual data collection and calculation,to determine China's foreign exchange reserves in dollar assets the euro and Sterling assets,assets and yen assets weights.Secondly,according to China's Foreign Exchange Management Bureau announced the "international reserves and foreign currency liquidity template" arrangements will be divided into short-term foreign currency reserve assets,bonds and currency equity three,selected as a reserve currency in the first trading day of one year Libor Treasury yields,ten year average annual return rate,the main stock index return rate of countries as money market assets,bond assets and equity By means of the mean variance model,the optimal weight of short-term currency,bond and equity assets under each currency is calculated by means of the mean variance model.Finally,based on the analysis of China's currency structure of foreign exchange reserves estimation and the capital structure optimization,the relationship between the currency structure of foreign exchange reserves and asset structure weight weight,and use real reserves data in 12 years China foreign exchange reserves to currency structure and asset structure of the weight,calculate the currency structure of assets and asset specific the size of each year,I found that China's medium and long term treasury bonds is smaller than the optimal estimates of the scale.