The Research On The Currency Structure Optimization Of China's Foreign Exchange Reserve Assets

The optimization manage of the foreign exchange reserves is not just a problem of how一much, but a problem of structure. Under the floating rate system, the foreign exchange reserves often face the rate risk. On the other hand, because the level of countries'economic development is inconsistent and the interest rate also varies, the rate of return varies with the amount of foreign exchange reserves. The direction of trade and capital flows also need to match the structure o f the reserves. This shows that the choice of reserves'currency will not only affect the free role of reserve assets, also the ability of value-adding. Therefore, the choice and adjustment of currency kinds are the main aspects of the management optimization. Its main contents include the reserves'modality,the currency kinds and the reserve assets'structure.The paper chooses China's foreign exchange reserve structure as research object. On the basis of analyzing the status quo of China's foreign exchange reserve as well as its management trend in the world, planning to combine foreign exchange reserve structure theory and portfolio management theory, it discusses, from the angle of investments, the currency combination of the optimum structure of foreign exchange reserve and the optimization of its assets allocation. The basis of this study is the Markowitz's Asset Portfolio Theory. China's foreign exchange reserve structure with the specific circumstances. By examining the international system of currency structure ,China's foreign trade structure, Position of Foreign Direct Investment, Currency structure of foreign debt, RMB exchange rate system .We Choose the U.S. dollars, Japanese yen, Euro and pound sterling as the foreign exchange reserves of China's currency . Estab a quadratic programming model of risk measure and proceeds. And use the four countries empirical data from 1990 to 2008 , discussed the optimal currency weight at a floating exchange rate ,and explain the results of the currency structure. Finally, according to currency structure of China's foreign exchange reserves management , we mark a number of advice on policy recommendations. We use a qualitative analysis and quantitative analysis on this paper. In the selection of currency, we use qualitative analysis, we calculate the data with the quadratic programming model of the Asset Portfolio Theory.