Demand for International Reserves: A Quantile Regression Approach
AbstractI estimate the determinants of the demand for international reserves using quantile regressions. Employing a dataset of 96 developing nations over the period of 1980-1996, I find considerable differences at different points of the conditional distribution of reserves. The ordinary least squares estimates of elasticities that were found to be insignificant in previous studies become statistically significant at various quantiles of the reserve holding distribution. In particular, I find that the coefficients of interest rate differential and volatility of export receipts are significant and have the signs predicted by the traditional reserve models, but only for those nations that hold the highest amount of reserves. In contrast, the flexibility of the exchange rate does not seem to be an important factor for the nations that are located at the tails of the distribution.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 11680.
Date of creation: 2008
Date of revision:
International reserves; Quantile regression; Demand for reserves; Reserve policy;
Find related papers by JEL classification:
- F30 - International Economics - - International Finance - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-25 (All new papers)
- NEP-CUL-2008-11-25 (Cultural Economics)
- NEP-IFN-2008-11-25 (International Finance)
- NEP-MON-2008-11-25 (Monetary Economics)
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