a r t i c l e i n f o JEL classification: C1 C11 E5 F3 Keywords: Foreign exchange reserves Liquidity management Gamma process In order to cope with daily foreign currency exchange payments or trades and avoid liquidity crisis, central banks need to maintain the liquidity of foreign exchange reserves. In this paper, we develop a Foreign Exchange Reserves Liquidity Management (FERLM) model based ...

The Israeli government borrows internally and externally, and the Bank of Israel invests the foreign exchanges in various currencies. The borrowing interest rate is generally higher than the lending rate. In addition, the reserves are invested in relatively short-maturity safe assets, while borrowing is for relatively long maturities. This paper studies the structure of the government’s externa...

in a managed floating exchange rate regime, one of the most important issues is the degree to which the monetary authorities intervene in the foreign exchange market.  the appropriate level of intervention in the foreign exchange market can be discussed in a framework which emphasizes the trade-off between changes in the country’s level of international reserves and minimizes the country’s real...

the purpose of establishing foreign reserves account in iran was mainly to secure iran's economy from the oil's price changes. it was to compensate for oil price reduction. but foreign reserves account withdrew excessively and did not allocate it optimally. that's why; it went for away from its practical purpose. this study focuses on the use of official assessment pattern to rev...

according to resource curse theory, not only the revenues from selling natural resources do not result in economic growth, but also have some unpleasant effects on economy. this study shows that natural resources cannot be considered curse by itself , but it is the management of revenues which is important. the foreign reserves fund was established to control the effects of oil price volatiliti...

Recently, a dramatic accumulation of foreign exchange reserves has been widely observed among developing countries. The purpose of this paper is to explore what macroeconomic impacts accumulated foreign reserves have in developing countries. In the first part, we analyze a simple open economy model where increased foreign reserves reduce costs of liquidity risk. Given the amount of foreign rese...

Countries have accumulated massive foreign reserve portfolios, but the reasons for doing so remain debated. I document a new empirical fact on the compositions of foreign reserve portfolios, and argue that the prevalence of the dollar supports an explanation in which foreign reserves hedge liquidity shocks to dollarized financial systems. First, I fit a Bayesian dynamic linear model to extract ...