Understanding reserve volatility in emerging markets: a look at the long-run
AbstractIn this paper, we examine long-run determinants of cross-country variation in reserve volatility for 30 emerging market economies from 1973 to 2000. Reserve holdings and openess are found to be the most important explanatory variables of reserve volatility. The empirical results are robust for a range of control variables, including monetary variables, the degree of financial development, and the level of indebtedness. We view these results as establishing stylized facts that may be helpful in evaluating reserve volatility as a crisis indicator.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 4 (2003)
Issue (Month): 2 (June)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620356
Other versions of this item:
- Ricarda Demarmels & Andreas Fischer, 2003. "Understanding Reserve Volatility in Emerging Markets: A Look at the Long-Run," Working Papers 03.03, Swiss National Bank, Study Center Gerzensee.
- Demarmels, Ricarda & Fischer, Andreas M, 2003. "Understanding Reserve Volatility in Emerging Markets: A Look at the Long-Run," CEPR Discussion Papers 3908, C.E.P.R. Discussion Papers.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
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