Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/55568 
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dc.contributor.authorCaballero, Ricardoen
dc.contributor.authorPanageas, Stavrosen
dc.date.accessioned2006-01-03-
dc.date.accessioned2012-02-23T08:00:12Z-
dc.date.available2012-02-23T08:00:12Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/55568-
dc.description.abstractOne 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.en
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of Boston |cBoston, MAen
dc.relation.ispartofseries|aWorking Papers |x05-2en
dc.subject.jelE2en
dc.subject.jelE3en
dc.subject.jelF3en
dc.subject.jelF4en
dc.subject.jelG0en
dc.subject.jelC1en
dc.subject.ddc330en
dc.subject.keywordSudden stopsen
dc.subject.keywordreservesen
dc.subject.keywordportfolioen
dc.subject.keywordVIXen
dc.subject.keywordhedgingen
dc.subject.keywordoptionsen
dc.subject.keywordfuturesen
dc.subject.stwWährungsreservenen
dc.subject.stwZentralbanken
dc.subject.stwPortfolio-Managementen
dc.subject.stwAufstrebende Märkteen
dc.subject.stwTheorieen
dc.titleContingent reserves management: An applied framework-
dc.typeWorking Paperen
dc.identifier.ppn505080702en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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