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The Jolly Ride of International Reserves and Commodity Prices: Evidence from Predictive Models

Author

Listed:
  • Ibrahim D. Raheem

    (School of Economics, University of Kent, Canterbury, UK)

  • Kazeem Isah

    (b Department of Economics, Kogi State University, Anyigba, Nigeria Centre for Econometric and Allied Research, University of Ibadan)

Abstract

This study offers new insight into the dynamics of international reserves (IR). We argue that commodity prices play importance role in the accumulation of IR. We test this hypothesis by specifying a predictive model, in which commodity prices serve as predictors of IR. We essentially examine the extent to which the former predicts the later. Building a dataset for the BRICS nations, we found that a number of interesting results were obtained: first, commodity prices resoundingly predict the level of IR. Second, accounting for asymmetry helps improve the level of predictability.

Suggested Citation

  • Ibrahim D. Raheem & Kazeem Isah, 2019. "The Jolly Ride of International Reserves and Commodity Prices: Evidence from Predictive Models," Working Papers 063, Centre for Econometric and Allied Research, University of Ibadan.
  • Handle: RePEc:cui:wpaper:0063
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    International reserves; Commodity prices; Predictive model; and Forecast evaluation;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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