基于VaR模型对我国外汇储备规模适度性的研究

Study on Scale of Foreign Exchange Reserve in China Based on VaR Model

本文根据外汇储备的用途,建立了一个关于固定汇率制度下一国外汇储备规模的需求模型,在此基础上结合模型提出了建立我国外汇储备适度规模的估计方法,并进行了举例说明,从中可以发现模型对提高我国外汇储备规模的管理水平是有益的。

This article established a model about the demand fixed exchange rate system according to the foreign exchange of the foreign exchange reserve scale in a country under the reserve＇s use. We proposed the method of establishing our country＇s foreign exchange reserve moderate scale based on VaR model and the demand model above, and we also explained with an example. From the result, we could find that VaR model is helpful to improve the level of foreign exchange reserve scale＇s management in our country.