چکیده:
In recent years, exchange rate fluctuations as well as changes in oil prices have had many impacts on the country's economic system, especially in the foreign exchange reserves sector. This has caused changes in the composition of the country's reserves. In this article, an attempt is made to provide a model for selecting the optimal portfolio of the Central Bank's foreign exchange reserves. By using two approaches, the transactional approach and the mean-variance approach simultaneously, an attempt is made to present the optimal foreign exchange composition of the Central Bank of the Islamic Republic of Iran. The results of these studies show that the composition of foreign exchange reserves is influenced by the risk and return related to the currencies composing the reserves; furthermore, there is a significant relationship between the risk and return of the currencies. Among the factors affecting asset allocation and foreign exchange reserve management at the international level is the uncertainty regarding the future role of the dollar in the foreign exchange reserves of countries, especially developing countries. Nevertheless, the results obtained from this research indicate that the US dollar holds the largest share in our country's foreign exchange reserve portfolio and there is still no successor for it.
خلاصه ماشینی:
Optimal Composition of Foreign Exchange Reserves of the Central Bank of the Islamic Republic of Iran * Dr. Abbasali Abounoori ** Ahmad Arabian Mehdi Abstract In recent years, exchange rate fluctuations and also changes in oil prices have had many effects on the country's economic system, especially in the foreign exchange reserves sector.
By using two approaches, the transactional approach and the mean-variance approach simultaneously, an attempt has been made to present the optimal foreign exchange composition of the Central Bank of the Islamic Republic of Iran.
" Mohammad Darabi (2000) 1 Fisher And Lie 2 Tommy Soesmanto investigated the optimal risk structure of the foreign exchange portfolio titled "Optimal Management of the Foreign Exchange Portfolio of the Central Bank of the Islamic Republic of Iran.
Based on the results, the calculated actual return and risk of the central bank foreign exchange reserve portfolio in the year 1383 will be ̃n23305 and ̃n007964 respectively (Hassania, 1386).
First, to examine the central bank foreign exchange reserve portfolio in the year under study (1383), we use the following model.
(Refer to page image) After solving the above model, the optimal shares of each currency in the composition of the central bank foreign exchange reserve portfolio are obtained.
Table 2- Optimal share of central bank foreign exchange reserves in the year 1383 considering four main currencies (Refer to page image) Source: Research findings.
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