A central bank strategy for defending a currency peg

DOI10.1016/j.sysconle.2020.104761zbMath1454.91138arXiv2008.00470OpenAlexW2996325452MaRDI QIDQ826751

Eyal Neuman, Chengguo Weng, Alexander Schied, Xiaole Xue

Publication date: 6 January 2021

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.00470

zbMATH Keywords

central bank interventionsingular stochastic controlprice impactcurrency pegcurrency target zonesecond-order differential equation with infinite boundary conditions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (2)

Protecting pegged currency markets from speculative investors ⋮ Optimal Execution: A Review

Cites Work

• Optimal portfolio liquidation in target zone models and catalytic superprocesses
• Nonlinear elliptic equations with singular boundary conditions and stochastic control with state constraints. I: The model problem
• Optimal stochastic intervention control with application to the exchange rate
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• Quadratic covariation and an extension of Itô's formula
• Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
• No-dynamic-arbitrage and market impact
• Optimal Impulse Control When Control Actions Have Random Consequences
• Impulse Control Method and Exchange Rate
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism

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