Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? : An Econometric Study Using COFER Data /
This paper tests whether reserve portfolios respond to exchange rate changes with a portfolio rebalancing strategy, which requires the purchase of depreciating currencies and sale of appreciating ones. The paper finds empirical support for the strategy, in particular that dollar depreciation/appreci...
| Autore principale: | |
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| Natura: | Periodico |
| Lingua: | English |
| Pubblicazione: |
Washington, D.C. :
International Monetary Fund,
2007.
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| Serie: | IMF Working Papers; Working Paper ;
No. 2007/293 |
| Accesso online: | Full text available on IMF |