干预影响市场动态时外汇市场的最优干预
Optimal intervention in the foreign exchange market when interventions affect market dynamics
摘要：
我们解决的问题，最佳中央银行干预汇率市场的干预措施时，在汇率动态反馈。特别是，我们扩展了Cadenillas和Zapatero在最优脉冲控制方面所做的工作，将随机持续时间和水平的临时市场反应纳入银行干预，并建立了更一般的利率过程的结果。我们得到了新的明确的最优脉冲控制策略，这些市场反应，并表明，他们不能简单地通过调整干预成本的模型中没有市场反应。
英文摘要：
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 done on optimal impulse control by Cadenillas and Zapatero to incorporate temporary market reactions, of random duration and level, to Bank interventions, and to establish results for more general rate processes. We obtain new explicit optimal impulse control strategies that account for these market reactions, and show that they cannot be obtained simply by adjusting the intervention cost in a model without market reactions.
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