Impulse control with random reaction periods: A central bank intervention problem
نویسندگان
چکیده
We model an impulse control problem when the controller’s action affects the state as well as the dynamics of the state process for a random amount of time. We apply our model to solve a central bank intervention problem in the foreign exchange market when the market observes and reacts to the bank’s interventions. Published by Elsevier B.V.
منابع مشابه
Investigating the Effects of Financial Risks with Central Bank Policy Intervention and Foreign Exchange Market Pressure on the Stability of Banking sector Based on Gerton and Ruper Model: Nonlinear Smooth Transition Regression Approach
In the present study, in the first stage, using Gerton and Roper (1977) model, the central bank policy intervention index and foreign exchange market pressure were calculated. Then, using the STAR regression model, the nonlinear effects of financial risks with policy intervention of the central bank and the pressure of the foreign exchange market on the country's banking stability are examined....
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 40 شماره
صفحات -
تاریخ انتشار 2012