Foreign exchange reserves management in the presence of jump risk/ created by Dewei Zhang and Chunyang Zhou

By:

Zhang, Dewei [author]

Contributor(s):

Zhou, Chunyang [co author]

Material type: Text

TextSeries: Applied economics letters ; Volume 20, number 3New York: Taylor and Francis, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

13504851

Subject(s):

Foreign reserves management -- Exchange rate -- Intervention

LOC classification:

HB1.A666 APP

Online resources:

Click here to access online

Abstract: 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.

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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol. 20, no.3 (pages 250-254)	SP17971	Not for loan	For in house use only

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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.

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