ECB paper on foreign reserves management

- Central Banking staff
- 26 May 2006

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The ECB Working Paper "Foreign reserves management subject to a policy objective," published May 2006, studies the implications of introducing an explicit policy objective to the management of foreign reserves at a central bank.

A dynamic model is developed which links together reserves management and the exchange rate by foreign exchange interventions. The exchange rate is modelled as a mean-reverting autoregressive process incorporating a linear response to interventions. The premise is that it

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