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

Author

Listed:
  • Vaez, Mohammad

    (Iran)

  • Daee Karimzade, Saeid

    (Iran)

  • Karimian, Gholamhossin

    (Iran)

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

Suggested Citation

  • Vaez, Mohammad & Daee Karimzade, Saeid & Karimian, Gholamhossin, 2011. "Optimal Management of Foreign Reserves Portfolio The Case Study: Official Reserves of the Central Bank of I.R. of Iran (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 4(9), pages 117-146, December.
    • Handle: RePEc:mbr:jmbres:v:4:y:2011:i:9:p:117-146
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    More about this item

    Keywords

    Foreign Exchange; Foreign Reserves; Foreign Debt;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems

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