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Demand For International Reserves in ASEAN-5 Economies

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Author Info
Eliza, Nor
M., Azali
Law, Siong-Hook
Lee, Chin

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Abstract

The ASEAN-5 economies were observed to increase their demand for international reserves after the 1997 Asian financial crisis. This was coincided with their consistent current account surplus during the same period. Thus, this study attempts to investigate the existence of long-run relationship between reserve demand and current account for the period of 1997-2005. The Autoregressive Distributed Lag (ARDL) bounds test approach as proposed by Pesaran, Shin, and Smith (2001) was employed, and the empirical results revealed that current account surplus leads to the rise in the demand for international reserves in Indonesia, Malaysia, and Singapore.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 11735.

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Date of creation: 2008
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Handle: RePEc:pra:mprapa:11735

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Related research
Keywords: Bound Test; ARDL Approach; International Reserves; ASEAN-5;

Find related papers by JEL classification:
F3 - International Economics - - International Finance
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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  1. repec:eab:tradew:350 is not listed on IDEAS
  2. Bardsen, Gunnar, 1989. "Estimation of Long Run Coefficients in Error Correction Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 51(3), pages 345-50, August.
  3. Ramachandran, M. & Srinivasan, Naveen, 2007. "Asymmetric exchange rate intervention and international reserve accumulation in India," Economics Letters, Elsevier, vol. 94(2), pages 259-265, February. [Downloadable!] (restricted)
  4. Prabheesh, K P & Malathy, D & Madhumathi, R, 2007. "Demand for Foreign Exchange Reserves in India: A Co-integration Approach," MPRA Paper 13969, University Library of Munich, Germany. [Downloadable!]
  5. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326. [Downloadable!]
  6. Joshua Aizenman & Yeonho Lee & Yeongseop Rhee, 2004. "International Reserves Management and Capital Mobility in a Volatile World: Policy Considerations and a Case Study of Korea," NBER Working Papers 10534, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Huang, Tai-Hsin & Shen, Chung-Hua, 1999. "Applying the seasonal error correction model to the demand for international reserves in Taiwan," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 107-131, January. [Downloadable!] (restricted)
  8. Laura Alfaro & Fabio Kanczuk, 2007. "Optimal reserve management and sovereign debt," Working Paper Series 2007-29, Federal Reserve Bank of San Francisco. [Downloadable!]
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  9. Frenkel, Jacob A & Jovanovic, Boyan, 1981. "Optimal International Reserves: A Stochastic Framework," Economic Journal, Royal Economic Society, vol. 91(362), pages 507-14, June. [Downloadable!] (restricted)
  10. Basant K. Kapur, 2005. "Capital Flows and Exchange Rate Volatility: Singapore's Experience," NBER Working Papers 11369, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Ramachandran, M., 2004. "The optimal level of international reserves: evidence for India," Economics Letters, Elsevier, vol. 83(3), pages 365-370, June. [Downloadable!] (restricted)
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