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Exchange Rate Volatility and Reserves Transparency

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  • John Cady
  • Jesus Gonzalez-Garcia
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    Abstract

    The effects of the adoption of the IMF's International Reserves and Foreign Currency Liquidity Data Template on exchange rate volatility are investigated for 48 countries using panel data models and quarterly data from 1991 to 2005. In a model featuring significant relationships between nominal exchange rate volatility and fundamental macroeconomic variables, we find that the adoption of the reserves data dissemination standard is associated with a 20 percent decrease in volatility. Furthermore, adoption of the standard is also associated with changes in the relationships between exchange rate volatility and both indebtedness and reserve adequacy indicators. IMF Staff Papers (2007) 54, 741–754. doi:10.1057/palgrave.imfsp.9450025

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    Bibliographic Info

    Article provided by Palgrave Macmillan in its journal IMF Staff Papers.

    Volume (Year): 54 (2007)
    Issue (Month): 4 (November)
    Pages: 741-754

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    Handle: RePEc:pal:imfstp:v:54:y:2007:i:4:p:741-754

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    Web page: http://www.palgrave-journals.com/

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    Cited by:
    1. Yuko Hashimoto & Konstantin Wacker, 2012. "The Role of Risk and Information for International Capital Flows: New Evidence from the SDDS," IMF Working Papers 12/242, International Monetary Fund.
    2. Virtue Ekhosuehi & Sunday Ogbonmwan, 2014. "Determination of the optimal exchange rate via control of the domestic interest rate in Nigeria," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 23-36.

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