DocumentCode :
1589325
Title :
Theoretical and Empirical Research on Dynamic Optimization Model of Structural Adjustment of International Reserves
Author :
Ma, Jie ; Shu, Fang
Author_Institution :
Bei Hang Univ., Beijing
Volume :
2
fYear :
2007
Firstpage :
557
Lastpage :
564
Abstract :
Considering the unreasonable currency structure of Chinese foreign reserve, this paper analyzed the optional asset sorts according to currency structure of trade and investment, as well as current status of global international reserves. The author took the hypothesis of interest rate parity to figure the dynamic return of different assets and its expected depreciation, and constructed a quadratic programming constrained model to analyze quantitatively how to adjust foreign reserve structure dynamically. Empirical results show that China needs not only to decrease dollar reserve to increase the reserve of Euro, Yen and Pound, but also to switch part of foreign reserve into gold reserve.
Keywords :
economic indicators; financial management; international finance; quadratic programming; Chinese foreign reserve; dynamic optimization model; global international reserves; gold reserve; interest rate parity; quadratic programming; structural adjustment; unreasonable currency structure; Asset management; Australia; Dynamic programming; Economic indicators; Gold; Helium; Investments; Power generation economics; Quadratic programming; Switches;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Natural Computation, 2007. ICNC 2007. Third International Conference on
Conference_Location :
Haikou
Print_ISBN :
978-0-7695-2875-5
Type :
conf
DOI :
10.1109/ICNC.2007.756
Filename :
4344413
Link To Document :
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