基于中国外汇储备的币种结构分析

Analysis on Currency Composition of China's Foreign Exchange Reserves

我国外汇储备的币种结构从最初单一的美元资产逐渐转向多元化,根据COFFER提供的数据,美元、欧元、日元和英镑是我国外汇储备最主要的四种资产。通过引入Copula函数估计货币资产之间的相关关系,然后估算出外汇资产组合的Va R。从风险管理的角度分析显示,随着美元权重的增加,Va R的取值越来越小;欧元、日元和英镑三种货币之间权重变化,对风险价值的影响不显著,表明中国外汇储备受美国的影响仍较大,还未真正实现多样化。

Currency Composition of China's foreign exchange reserves becomes diversified besides dollar.According to data provided by COFFER, dollar, Euro, Japanese yen and pound are four kinds of main monetaryassets of China's Foreign Exchange Reserves. Copula functions are introduced to estimate correlativity amongmonetary assets. And Va R of foreign exchange portfolio is estimated. Risk management analysis shows that,with the increasing of the weight of dollar, the Va R becomes less; and that the change of weight of Euro, Japa-nese yen and pound shows little effect on Va R. It shows that China's foreign exchange reserves depends uponAmerican dollar, which are not essentially diversified.