Optimal Management of Foreign Reserves Portfolio The Case Study: Official Reserves of the Central Bank of I.R. of Iran (in Persian)

Mohammad Vaez (), Saeid Daee Karimzade () and Gholamhossin Karimian ()
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Mohammad Vaez: Iran
Saeid Daee Karimzade: Iran
Gholamhossin Karimian: Iran

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2011, vol. 4, issue 9, 117-146

Abstract: Concentrating on the international conditions of Iran economy in recent years¡ exhibits extensive economic sanctions as well as variations in crude oil prices. It shows the effect of unanticipated factors under above condition on official foreign reserves. In order to achieve macroeconomic targets¡ we study the feasibility of optimal policy for foreign reserves combinations.Using Mean-Variance approach¡ we try to simulate official foreign reserves in Iranian economy within the period of 1999-2007.The results show that the average share of the U.S Dollar and Pound were more than its optimum share¡ while the average shares of the Euro and Yen were less than their optimum shares. JEL Classification: F31, F34

Keywords: Foreign Exchange; Foreign Reserves; Foreign Debt (search for similar items in EconPapers)
Date: 2011
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