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Understanding Reserve Volatility in Emerging Markets: A Look at the Last Thirty Years

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  • Ricarda Demarmels

    ()
    (Swiss National Bank and University of St. Gallen)

  • Andreas M. Fischer

    ()
    (Swiss National Bank)

Abstract

In this paper, we examine external, monetary, and structural determinants of cross-country variation in reserve volatility for 30 emerging market economies from 1973 to 2000. We find that reserve holdings and openess to be the most important determinants of reserve volatility. These results are robust for a range of control variables, including monetary variables, the degree of financial development, and the level of indebtness. We view these results as establishing interesting stylized facts that may be helpful in evaluating reserve ubncertainty as a crises indicator.

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Bibliographic Info

Paper provided by Swiss National Bank, Study Center Gerzensee in its series Working Papers with number 02.02.

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Length: 47 pages
Date of creation: Jul 2002
Date of revision:
Handle: RePEc:szg:worpap:0202

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  9. Jean-Fran├žois Perrault, 2002. "Private Capital Flows to Emerging-Market Economies," Bank of Canada Review, Bank of Canada, vol. 2002(Spring), pages 33-43.
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  17. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
  18. Carmen M. Reinhart, 2002. "Default, Currency Crises and Sovereign Credit Ratings," NBER Working Papers 8738, National Bureau of Economic Research, Inc.
  19. Christopher J. Neely, 2000. "Are changes in foreign exchange reserves well correlated with official intervention?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 17-32.
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  21. Mauro, Paolo, 1995. "Corruption and Growth," The Quarterly Journal of Economics, MIT Press, vol. 110(3), pages 681-712, August.
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