Series: IMF Working Papers
Author(s): Jaewoo Lee
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 September 2004
Keywords: option, underlying asset, international reserves, reserve holding, external debt, currency crises, reserve holdings, Open Economy Macroeconomics,
A quantitative framework is developed to bring forward the insurance motive of holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides...