论文标题
估计外汇储量的货币组成
Estimating the Currency Composition of Foreign Exchange Reserves
论文作者
论文摘要
中央银行管理约12万亿美元的外汇储备，影响了全球汇率和资产价格。但是，一些最大的储量持有人报告了有关其货币组成的最小信息，阻碍了经验分析。我描述了一个隐藏的马尔可夫模型，以通过将投资组合的估值波动与主要储备货币的汇率联系起来，以估算中央银行储备的组成。我将模型应用于中国和新加坡，两个国家共同拥有约3.4万亿美元的储备并掩盖其构图。我发现，这两个中国的储备构成都可能类似于全球平均水平，而新加坡的美元可能较少。
Central banks manage about \$12 trillion in foreign exchange reserves, influencing global exchange rates and asset prices. However, some of the largest holders of reserves report minimal information about their currency composition, hindering empirical analysis. I describe a Hidden Markov Model to estimate the composition of a central bank's reserves by relating the fluctuation in the portfolio's valuation to the exchange rates of major reserve currencies. I apply the model to China and Singapore, two countries that collectively hold about \$3.4 trillion in reserves and conceal their composition. I find that both China's reserve composition likely resembles the global average, while Singapore probably holds fewer US dollars.
