Optimal management of international reserves

Article Abstract:

The optimum international reserves of central banks are determined using a continuous time stochastic inventory control. It is also used to come up with an optimal management policy for international reserves. Two control variables were used and the results of numerical simulation showed the optimal solution to be superior than those of Frenkel and Jovanovic in terms of cost minimization.

Research, Usage, Economic policy, Central banks, Stochastic processes, Bank reserves

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Macroeconomic news and bond market volatility

Article Abstract:

Announcement-day volatility does not continue, constant with the immediate incorporation of information into prices. A risk premium on on news releases of employment and producer price index data is also evident. These new releases are vital since they are released on a regular, preannounced dates and because they are related with substantial bond market volatility.

Credit Management, Analysis, Management, Macroeconomics, Credit market, Credit markets

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