Foreign exchange reserves management in the presence of jump risk/
Zhang, Dewei
Foreign exchange reserves management in the presence of jump risk/ created by Dewei Zhang and Chunyang Zhou - Applied economics letters Volume 20, number 3 .
This article investigates how the jump in the exchange rate and risky asset can affect the central bank's foreign management. We find that the jump in the exchange rate has a positive impact on the need for the risky asset, whereas the jump in the risky asset has a negative impact. However, the overall impact relies on how effective the central bank can intervene in the exchange market. Specifically, if the central bank can intervene in the market effectively, the safety of foreign reserves becomes a more important issue, which will decrease the need for risky asset.
13504851
Foreign reserves management--Intervention--Exchange rate
HB1.A666 APP
Foreign exchange reserves management in the presence of jump risk/ created by Dewei Zhang and Chunyang Zhou - Applied economics letters Volume 20, number 3 .
This article investigates how the jump in the exchange rate and risky asset can affect the central bank's foreign management. We find that the jump in the exchange rate has a positive impact on the need for the risky asset, whereas the jump in the risky asset has a negative impact. However, the overall impact relies on how effective the central bank can intervene in the exchange market. Specifically, if the central bank can intervene in the market effectively, the safety of foreign reserves becomes a more important issue, which will decrease the need for risky asset.
13504851
Foreign reserves management--Intervention--Exchange rate
HB1.A666 APP