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 1973-2000. 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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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3908.
Date of creation: Apr 2003
Date of revision:
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Other versions of this item:
- Demarmels, Ricarda & Fischer, Andreas M., 2003. "Understanding reserve volatility in emerging markets: a look at the long-run," Emerging Markets Review, Elsevier, vol. 4(2), pages 145-164, June.
- 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.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-13 (All new papers)
- NEP-FIN-2004-06-13 (Finance)
- NEP-MAC-2003-07-17 (Macroeconomics)
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