Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/249233 
Year of Publication: 
2020
Series/Report no.: 
Economic Research Working Papers No. 88
Publisher: 
Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie), Buenos Aires
Abstract: 
Central bank reserves function as a liquidity buffer to mitigate country exposure and vulnerability to external shocks. Emerging Market Economies are the countries most exposed to the volatility of capital flows and have usually preferred to build up large war-chests of international reserves as a self-insurance mechanism, as it is under their full discretion. Nevertheless, the standard practice of immobilizing large amounts of "cash" to insure against jumps in volatility and riskaversion could be enhanced. The inclusion in the strategic asset allocation decision of external shocks' hedging strategies, which may increase the market value of the reserves' portfolio when reserves are more needed, can help to enhance the risk management of the national balance sheet. This paper presents a framework that seeks to enhance the strategic asset allocation of a central bank, by including in the portfolio construction the analysis of correlations between the reserves' portfolio and the country's main vulnerabilities to external shocks.
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.