Optimal size of currency swap between central banks: evidence from China/
Yang, Jie
Optimal size of currency swap between central banks: evidence from China/ created by Jie Yang and Liyan Han - Applied economics letters Volume 20, number 3 .
Currency swaps are used by central banks to provide short-term liquidity to help enhance financial stability for both counterparts. We apply the newsboy inventory optimization to interpret the factors related to the optimal size of a currency swap, and we find that the mean value of foreign exchange demand, its volatility and the distribution form are important for the optimal swap size. Empirical studies regarding swap arrangements between China and its trading partners show that total trade volume and its long-term SD are robust explanatory variables.
13504851
Currency swap--Foreign exchange--Export and import
HB1.A666 APP
Optimal size of currency swap between central banks: evidence from China/ created by Jie Yang and Liyan Han - Applied economics letters Volume 20, number 3 .
Currency swaps are used by central banks to provide short-term liquidity to help enhance financial stability for both counterparts. We apply the newsboy inventory optimization to interpret the factors related to the optimal size of a currency swap, and we find that the mean value of foreign exchange demand, its volatility and the distribution form are important for the optimal swap size. Empirical studies regarding swap arrangements between China and its trading partners show that total trade volume and its long-term SD are robust explanatory variables.
13504851
Currency swap--Foreign exchange--Export and import
HB1.A666 APP