most citedOptimal intervention in the foreign exchange market when interventions affect market dynamics

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q-fin.GN2009★ 1 cited

Optimal intervention in the foreign exchange market when interventions affect market dynamics

Alec N. Kercheval, Juan F. Moreno

We address the problem of optimal Central Bank intervention in the exchange rate market when interventions create feedback in the rate dynamics. In particular, we extend the work d…