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Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
ECB Working Paper No. 624
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper studies the implications of introducing an explicit policy objective to the management of foreign reserves at a central bank. A dynamic model is developed which links together reserves management and the exchange rate by foreign exchange interventions. The exchange rate is modelled as a mean-reverting autoregressive process incorporating a linear response to interventions. The premise is that it is the objective of the central bank to prevent undervaluation of its currency. Given this objective, the model is formulated in a one- and a multi-period setting and solved to find the optimal asset allocation. The results show that asset allocation can significantly help in achieving the desired policy objective.
Schlagwörter: 
exchange rate modelling
foreign exchange intervention
Foreign reserves management
optimal asset allocation
JEL: 
G11
F31
Dokumentart: 
Working Paper

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