Optimal management of international reserves

IF 16.4 1区 化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2024-07-15 DOI:10.1111/roie.12773
Léo‐Spencer Keungne Kouotang, Armand Brice Ngoupeyou, Hussein Nji Fifen Ngangue
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Abstract

This article develops a continuous time stochastic model for determining the optimal international reserves management policy when the data generating process of international reserves is a geometric Brownian motion. The policy is a two‐parameter control‐limit that consists of an appropriate and a ceiling level on reserves holdings, given an exogenous floor on international reserves. The optimal solution is determined so as to minimize the total costs of international reserves holdings. It is proved that our results extend the framework of Frenkel and Jovanovic when the logarithm of international reserves is an arithmetic Brownian motion. We also explain that Jung paper does not extend Frenkel and Jovanovic model as claimed by the former. The model is calibrated to derive the optimal level and liquidity tranche size upper bound of international reserves of the CEMAC monetary union.
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国际储备的优化管理
本文建立了一个连续时间随机模型,用于确定国际储备数据生成过程为几何布朗运动时的最优国际储备管理政策。该政策是一个双参数控制限制,包括一个适当的储备持有量和一个上限水平,同时给定一个外生的国际储备下限。最优解的确定是为了使持有国际储备的总成本最小化。事实证明,当国际储备的对数是算术布朗运动时,我们的结果扩展了 Frenkel 和 Jovanovic 的框架。我们还解释了 Jung 论文并没有像前者所说的那样扩展 Frenkel 和 Jovanovic 模型。我们对该模型进行了校准,以得出中非经货共同体货币联盟国际储备的最优水平和流动性规模上限。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Accounts of Chemical Research
Accounts of Chemical Research 化学-化学综合
CiteScore
31.40
自引率
1.10%
发文量
312
审稿时长
2 months
期刊介绍: Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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