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Understanding reserve volatility in emerging markets: a look at the long-run

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  • Demarmels, Ricarda
  • Fischer, Andreas M.

Abstract

In 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 Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 4 (2003)
Issue (Month): 2 (June)
Pages: 145-164

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Handle: RePEc:eee:ememar:v:4:y:2003:i:2:p:145-164

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Web page: http://www.elsevier.com/locate/inca/620356

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Cited by:
  1. Enrique Alberola & Luis Molina & Daniel Navia, 2005. "Say You Fix, Enjoy And Relax The Deleterious Effect Of Peg Announcements On Fiscal Discipline," International Finance, EconWPA 0509001, EconWPA.
  2. Catherine S. F. Ho & M. Ariff, 2008. "The Role of Non-Parity Fundamentals in Exchange Rate Determination: Australia and the Asia Pacific Region," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-125, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

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