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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 1973-2000. Reserve holdings and openness 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 interesting stylized facts that may be helpful in evaluating reserve volatility as a crisis indicator.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3908.

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Date of creation: Apr 2003
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Handle: RePEc:cpr:ceprdp:3908

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Keywords: emerging markets; openness; reserve volatility;

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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 0509001, EconWPA.

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