Chinese Foreign Exchange Reserve Currency Structure Optimization Research Based On The Exchange Rate Risk

This paper comprehensively research the China foreign exchange reserves risk and currency dynamic optimization problem. in the process of the research, the GARCH model and the theory of value at risk related organic unifies in together, then to expand DCC-GARCH-VaR model depicting the exchange rate risk to DCC-GARCH-CVaR model optimization of the structure of currency, using the real data for quantitative analysis of the study have practical significance.The macroeconomics theory system thinks, foreign trade, foreign debt structure, foreign direct investment, exchange rate system, the power of the nation is important to the country’s foreign exchange reserve currency structure. After consider these aspects, we think that China’s current dollar-based foreign-exchange reserves is the product of The Times development, conforms to the basic economic principle, can better take on foreign exchange reserves should function, also accord with the requirement of foreign exchange reserve management on safety and liquidity. But with China’s growing foreign exchange reserves, its more than satisfy foreign payments, debt service, stable exchange rates of the three major functions required, so the profitability has become the new trend of the research on the management of foreign exchange reserves.Our foreign exchange reserves now is in the embarrassing position of low income and high risk, because the four major reserve currency shock in the downward trend for a long time,especially the dollar is too much, America’s loose monetary policy madethe dollar deviated from its equilibrium level, this situation makes a negative effect on the cost of international purchasing power of China’s foreign exchange reserves, foreign exchange market intervention, the earnings of foreign exchange reserves.We also made some efforts such as increased the euro, the yen, but because of the structure of the foreign exchange reserve currency adjustment lag the exchange rate changes so often the effect not beautiful.In order to solve this problem, this paper measures the current foreign exchange reserves risk, then gives the four level of the increasing returns, the dynamic currency adjustment result of minimum risk, combining the two aspects, our paper argues that with the increase of expected return moderately reduce the dollar, pay attention to yen, control the euro, treatthe pound with caution.Chinese foreign exchange reserve currency structure adjustment process can not happen overnight, it requires advanced RMB exchange rate formation mechanism and the foreign exchange management system as a guarantee.