Contingent reserves management
an applied framework
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Author
Contributions
- Panageas, Stavros. - Contributor
- National Bureau of Economic Research. - Contributor
Publication
2004 - National Bureau of Economic Research, Cambridge, Mass, Massachusetts
Language
English
Word Count
6,250 words, Guess
Page Count
25 pages
Identifiers
- OCLC Control Number56723494
- Open LibraryOL17625238M
Description
"One of the most serious problems that a central bank in an emerging market economy can face, is the sudden reversal of capital inflows. Hoarding international reserves can be used to smooth the impact of such reversals, but these reserves are seldom sufficient and always expensive to hold. In this paper we argue that adding richer hedging instruments to the portfolios held by central banks can significantly improve the efficiency of the anti-sudden stop mechanism. We illustrate this point with a simple quantitative hedging model, where optimally used options and futures on the S&P100's implied volatility index (VIX), increases the expected reserves available during sudden stops by as much as 40 percent"--National Bureau of Economic Research web site.
Subjects
Topics
Series Statement
- NBER working paper series -- no. 10786.
- Working paper series (National Bureau of Economic Research) -- working paper no. 10786.
Links
Other Editions
- Contingent reserves management: an applied framework
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