基于汇率预测的外汇资产币种配置

Analysis of the Currency Allocation of Foreign Exchange Assets Based on Exchange Rate Predictability

文章从投资者管理汇率风险的角度研究外汇资产在美元和欧元间的配置问题,建立欧元对美元汇率预测的货币模型,计算期望效用最大化目标下美元和欧元的最优配置比例,并与汇率不可预测条件下的配置效果做对比。结果发现,用货币模型预测一个季度后的欧元对美元汇率的结果相对最好;汇率可预测条件下的资产配置多数时间或者全部投资到欧元资产,或者全部投资到美元资产;汇率可预测条件下的资产配置给投资者带来的收益明显高于不可预测条件下的配置。

This paper studies the currency allocation of foreign exchange assets between US dollar and Euro from the perspective of investors＇ management of foreign exchange risks. By building the monetary-fundamentals model of exchange rate predictability, the paper calculates the optimal weight of Euro asset to maximize expected utility, and evaluates the performance of the random walk model and the fundamentals model based on the end-of-period wealth. It concludes that： first, the use of the monetary-fundamentals model to predict the exchange rate of Euro against US dollar after a quarter brings comparatively the best result; second, the allocation of assets is either the entire investment on Euro assets or the entire investment on US dollar assets in most of the time when exchange rate is predictable; third, the end-of-period wealth achieved from the allocation of assets under the predictable condition of exchange rate is obviously higher than that under the unpredictable condition.