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"One 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"--National Bureau of Economic Research web site.
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Subjects
Bank reserves, Mathematical modelsEdition | Availability |
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1
Contingent reserves management: an applied framework
2004, National Bureau of Economic Research
in English
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2
Contingent reserves management: an applied framework
2004, National Bureau of Economic Research
Electronic resource
in English
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Book Details
Edition Notes
"September 2004."
Includes bibliographical references.
Also available in PDF from the NBER world wide web site (www.nber.org).
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Feedback?December 13, 2020 | Edited by MARC Bot | import existing book |
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