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The IMF's Reserves Template and Nominal Exchange Rate Volatility

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  • Jesus Gonzalez-Garcia
  • John Cady
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    Abstract

    The effects of the adoption of the IMF''s International Reserves and Foreign Currency Liquidity Data Template on nominal exchange rate volatility are investigated for 48 countries. Estimation of panel data models indicates that nominal exchange rate volatility decreases following dissemination of reserves template data while the effects of indebtedness and reserve adequacy on volatility exhibit statistically significant changes.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=20116
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 06/274.

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    Length: 22
    Date of creation: 01 Dec 2006
    Date of revision:
    Handle: RePEc:imf:imfwpa:06/274

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    Keywords: Foreign exchange reserves; Liquidity; Special Data Dissemination Standard; Economic models; exchange rate; exchange rate volatility; nominal exchange rate; standard error; dummy variable; exchange rate regime; dummy variables; current account balance; exchange rates; fixed exchange rate; statistic; fixed exchange rate regime; intermediate exchange rate regime; intermediate exchange rate; equation; exchange rate regimes; foreign exchange; correlation; standard errors; statistics; standard deviation; nominal exchange rates; instrumental variables; covariance; fixed exchange rates; linear trend; probability; log nominal exchange rate; estimation of equation; statistical significance; constant term; bilateral exchange rates; exchange reserves; logarithm; linear time; real exchange rates; experimental data; linear time trend; effective exchange rate; data analysis; time series; determinant of exchange rate; outlier; exchange rate variability; real exchange rate; classification of exchange rate; exchange rate data; real exchange rate volatility; bilateral exchange rate; exchange rate variations; standard deviations; fixed exchange rate regimes; financial statistics; currency units;

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Devereux, M.B. & Lane, P.R., 2002. "Understanding Bilateral Exchange Rate Volatility," CEG Working Papers, Trinity College Dublin, Department of Economics 20025, Trinity College Dublin, Department of Economics.
    2. John Cady, 2005. "Does SDDS Subscription Reduce Borrowing Costs for Emerging Market Economies?," IMF Staff Papers, Palgrave Macmillan, vol. 52(3), pages 6.
    3. Richard Blundell & Monica Costa Dias, 2000. "Evaluation methods for non-experimental data," Fiscal Studies, Institute for Fiscal Studies, Institute for Fiscal Studies, vol. 21(4), pages 427-468, January.
    4. Uma Ramakrishnan & Juan Zalduendo, 2006. "The Role of IMF Support in Crisis Prevention," IMF Working Papers 06/75, International Monetary Fund.
    5. Yongseok Shin & Rachel Glennerster, 2003. "Is Transparency Good for You, and Can the IMF Help?," IMF Working Papers 03/132, International Monetary Fund.
    6. Levy-Yeyati, Eduardo & Sturzenegger, Federico, 2005. "Classifying exchange rate regimes: Deeds vs. words," European Economic Review, Elsevier, Elsevier, vol. 49(6), pages 1603-1635, August.
    7. M. Nowak & Ketil Hviding & Luca Antonio Ricci, 2004. "Can Higher Reserves Help Reduce Exchange Rate Volatility?," IMF Working Papers 04/189, International Monetary Fund.
    8. Bank for International Settlements, 1998. "Enhancing transparency regarding the authorities' foreign currency liquidity position," CGFS Papers, Bank for International Settlements, number 09.
    9. Flood, Robert P & Rose, Andrew K, 1998. "Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1944, C.E.P.R. Discussion Papers.
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