Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55568
Full metadata record
DC FieldValueLanguage
dc.contributor.authorCaballero, Ricardoen_US
dc.contributor.authorPanageas, Stavrosen_US
dc.date.accessioned2006-01-03en_US
dc.date.accessioned2012-02-23T08:00:12Z-
dc.date.available2012-02-23T08:00:12Z-
dc.date.issued2005en_US
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_US
dc.language.isoengen_US
dc.publisher|aFederal Reserve Bank of Boston |cBoston, MAen_US
dc.relation.ispartofseries|aWorking paper series // Federal Reserve Bank of Boston |x05-2en_US
dc.subject.jelE2en_US
dc.subject.jelE3en_US
dc.subject.jelF3en_US
dc.subject.jelF4en_US
dc.subject.jelG0en_US
dc.subject.jelC1en_US
dc.subject.ddc330en_US
dc.subject.keywordSudden stopsen_US
dc.subject.keywordreservesen_US
dc.subject.keywordportfolioen_US
dc.subject.keywordVIXen_US
dc.subject.keywordhedgingen_US
dc.subject.keywordoptionsen_US
dc.subject.keywordfuturesen_US
dc.subject.stwWährungsreservenen_US
dc.subject.stwZentralbanken_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwAufstrebende Märkteen_US
dc.subject.stwTheorieen_US
dc.titleContingent reserves management: An applied frameworken_US
dc.typeWorking Paperen_US
dc.identifier.ppn505080702en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

Files in This Item:
File
Size
384.96 kB





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