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Exchange Rate Risk of China's Foreign Exchange Reserve Assets--An Empirical Study Based on GARCH-VaR Model
Exchange Rate Risk of China's Foreign Exchange Reserve Assets--An Empirical Study Based on GARCH-VaR Model
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摘要：
As the core economic variable in the process of the integration of world economy,the change of the exchange rate has an important impact on the import and export,foreign exchange reserves,interest rates,capital flows and other macro and microeconomic factors.This paper first analyzes the status quo of RMB exchange rate risk and the advanced experience of exchange rate management of other countries.Then,the empirical method is used to analyze the characteristics of RMB exchange rate fluctuation based on the day-frequency data of USD/RMB,GBP/RMB,EUR/RMB and JPY/RMB from December 2011 to December 2016.This paper also respectively uses the GARCH,TARCH,EGARCH and PARCH model to fit four representative foreign currencies against RMB,and selects the optimal model to calculate VaR value.Finally,validity of the data is verified through the Chi-square distribution test.The empirical results show that the four sequences are non-normal and first-order monotonic sequences.Besides,there is a significantly high-order ARCH effect,and the GARCH family model has a better fitting effect.JPY/RMB is with lower exchange rate risk,while the fluctuation of EUR/RMB is significantly greater than other currencies.According to the international situation of financial market,the status quo of RMB exchange rate and the conclusion of empirical research,this paper puts forward that the marketization and internationalization of RMB exchange rate should be based on improving the financial system and environment.It is also suggested that the government should properly intervene in the foreign exchange market and make good use of the risk measurement model and commercial banks should further develop the financial derivatives to hedge the foreign exchange risk.
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| 篇名 | Exchange Rate Risk of China's Foreign Exchange Reserve Assets--An Empirical Study Based on GARCH-VaR Model | ||
| 来源期刊 | 经济管理学刊:中英文版 | 学科 | 经济 |
| 关键词 | EXCHANGE RESERVE EXCHANGE Rate Risk GARCH-VAR | ||
| 年，卷（期） | 2018,（2） | 所属期刊栏目 | |
| 研究方向 | 页码范围 | 163-174 | |
| 页数 | 12页 | 分类号 | F |
| 字数 | 语种 | ||
| DOI | |||
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EXCHANGE
RESERVE
EXCHANGE
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Risk
GARCH-VAR
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经济管理学刊：中英文版
主办单位：
Ivy
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出版周期：
半年刊
ISSN：
2169-6020
CN：
开本：
出版地：
湖北省武汉市武昌区珞狮南路519号（中国
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147
总下载数（次）
3
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