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Understanding Reserve Volatility in Emerging Markets: A Look at the Long-Run

  • Demarmels, Ricarda
  • Fischer, Andreas M

In 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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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3908.

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Date of creation: Apr 2003
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Handle: RePEc:cpr:ceprdp:3908
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  1. Reinhart, Carmen, 2002. "Default, currency crises, and sovereign credit ratings," MPRA Paper 13917, University Library of Munich, Germany.
  2. Glick, R. & Hutchison, M., 1999. "Banking and Currency Crises: How Common are Twins?," Papers pb99-07, Economisch Institut voor het Midden en Kleinbedrijf-.
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  16. Levy-Yeyati, Eduardo & Sturzenegger, Federico, 2005. "Classifying exchange rate regimes: Deeds vs. words," European Economic Review, Elsevier, vol. 49(6), pages 1603-1635, August.
  17. Mauro, Paolo, 1995. "Corruption and Growth," The Quarterly Journal of Economics, MIT Press, vol. 110(3), pages 681-712, August.
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  19. Martin Feldstein, 2002. "Economic and Financial Crises in Emerging Market Economies: Overview of Prevention and Management," NBER Working Papers 8837, National Bureau of Economic Research, Inc.
  20. Reinhart, Carmen, 2000. "The mirage of floating exchange rates," MPRA Paper 13736, University Library of Munich, Germany.
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