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Printable Handouts
Navigable Slide Index
- Introduction
- Combating intervention risk
- Agenda
- FX intervention
- Traditional advice for asset allocation
- Asset allocation helps combat intervention risk
- Main findings are striking
- The dynamic model
- The model is used to explore intervention risk
- Intervention policy rule
- The classical FX policy rules
- Asset risk and return assumptions
- Monte Carlo simulations
- FX intervention policy examples
- Latin volatility case
- Risk of insolvency over 20 years
- Aggressive asset allocations avert insolvency
- Summary: Latin volatility
- Asian world dominance
- Reserves grow fast or faster over 20 years
- Occasional liquidation required
- Summary: Asian world dominance
- Hands off NZ'
- NZ policy rule reflects crisis intervention
- Investment policy has little effect
- Limited circumstances
- Minimum level of reserves to avoid insolvency
- Summary: 'Hands off' NZ
- Practical conclusions (1)
- Practical conclusions (2)
- Appendix
- Transition matrix estimate
- Factors affecting intervention
This material is restricted to subscribers.
Topics Covered
- Foreign exchange intervention
- Speculative attack
- Foreign reserves management
- Treatment of intervention and reserves management together
- Dynamic asset allocation -Diversification
- State dependent probability transition matrix
- Intervention policy rule
- Insolvency
- IMF
- Latin volatility
- Asian dominance
- NZ FX intervention
- Aggressive asset allocation
- Conservative asset allocation
- Practical implications
Links
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Talk Citation
Fisher, S. (2012, March 1). Combating intervention risk [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 23, 2024, from https://doi.org/10.69645/YSQO3949.Export Citation (RIS)