Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 盛柳刚教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1002/jae.1268 出版商提供的全文 ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/3$@○○ |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/3WOS source URL
其它资讯
摘要This paper takes a novel approach to detect the latent currency portfolio of Chinese foreign exchange reserves and the underlying portfolio management strategies during 2000 and 2007. Based on a portfolio accounting identity and the budget constraint of the Chinese central bank's holding of foreign assets, the monthly growth rate of reserves can be decomposed into monthly rate of return, valuation effects of exchange rates, and monthly net purchase rate. The valuation effect reveals the value share of each currency. Bayesian inference is adopted to estimate the state-space model with a mixture of Gaussian distributions. The results show that China significantly and dramatically diversified its reserves out of the US dollar in 2002: both the euro's value and quantity shares increased from 5% to more than 20%. By the end of 2007, China held about (at most) 67.http://aims.cuhk.edu.hk/converis/portal/Publication/3% of its reserves in the US dollar, 22% in the euro, 2.5% in the Japanese yen, 4.7% in the Australian dollar, and http://aims.cuhk.edu.hk/converis/portal/Publication/3.5% in the British pound. The average annual rate of return was about http://aims.cuhk.edu.hk/converis/portal/Publication/3%.
着者SHENG, Liugang
期刊名称Journal of Applied Econometrics
出版年份201http://aims.cuhk.edu.hk/converis/portal/Publication/3
月份1
卷号28
期次1
出版社John Wiley & Sons
页次102 - 125
国际标準期刊号088http://aims.cuhk.edu.hk/converis/portal/Publication/3-7252
电子国际标準期刊号1099-1255
语言美式英语
