INTERNATIONAL RESERVE MANAGEMENT: A DRIFT‐SWITCHING REFLECTED JUMP‐DIFFUSION MODEL
研究将国际储备过程建模为带反射边界的漂移切换跳跃扩散模型，捕捉跳跃行为和尖峰厚尾特征，推导出总期望折现成本的闭式解，帮助找到最优管理策略。
Abstract We study the cost of shocks, that is, jump risk, with respect to reserve management when the reserve process is formulated as a drift‐switching jump diffusion with a reflecting barrier at 0. Inspired by the Brownian drift switching model, our model results in a more realistic dynamic behavior of international reserves than the buffer stock model. The new model can capture both the jump behavior in reserve dynamics and the leptokurtic feature of the increment distribution which has a higher peak and two asymmetric heavier tails than the normal distribution. Through the selection of an initial distribution that reflects certain steady state behaviors, the reserve process becomes a regenerative process. This selection enables us to derive a closed‐form expression for the total expected discounted cost of managing reserves, thus helping us to numerically find management strategies that minimize costs. The numerical results show that shocks at the reserve level have a significant effect on reserve management strategies and that model misspecification can result in nonnegligible additional costs.