关键词: 外汇储备, 资本损失, 汇率风险, 国际购买力

Abstract: This paper analyzes the capital loss faced by China's huge foreign exchange reserve as a result of RMB appreciation. On the one hand, the real and potential capital losses from currency mismatch on PBOC's balance sheet are calculated. On the other hand, the international purchasing powers of Chinese foreign exchange reserve measured by one basket of currencies or one basket of commodities are estimated. Main conclusions are listed: First, the capital loss on PBOC's balance sheet is significant. PBOC's capital loss caused by exchange rate fluctuation in 2007 reached RMB 346 billion, which is over 15 times of PBOC's capital. Second, the volatility of international purchasing power of China's foreign exchange reserve is clearly larger than that of market value, especially that measured by oil price. To mitigate the potential capital loss, Chinese government should speed up the domestic structural reforms, promote portfolio diversification and increase the flexibility of RMB exchange rate mechanism.

Key words: foreign exchange reserve, capital loss, exchange rate risk, international purchasing power