The Case for Macro Risk Budgeting and Portfolio Tranching in Reserves Management

Alejandro Reveiz

Borradores de Economia from Banco de la Republica de Colombia

Abstract: The set of objectives in reserves management are normally predifined and include: Protecting the economy against potential external shocks on the current account or on capital flows; invest the reserves minimizing the potential of a loss and ensuring the availability of international liquidity when necessary. Whereas the adoption of a floating exchange rate in theory reduces the need for reserves to protect against external shocks, in the context of free capital movements it will be a function of the efficiency of international markets.

Date: 2004-06
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https://doi.org/10.32468/be.290 (application/pdf)

Related works:
Working Paper: THE CASE FOR MACRO RISK BUDGETING AND PORTFOLIO TRANCHING IN RESERVES MANAGEMENT (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:290

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