IDEAS home Printed from https://ideas.repec.org/p/sgo/wpaper/1904.html
   My bibliography  Save this paper

Out-of-Sample Analysis of International Reserves for Emerging Economies with a Dynamic Panel Model

Author

Listed:
  • Kuk Mo Jung

    () (Department of Economics, Sogang University, Seoul)

  • Ju Hyun Pyun

    () (Korea University Business School,)

Abstract

Using data on 70 emerging countries for 1990-2011, we re-examine the validity of both traditional and recently proposed determinants of international reserves. The dynamic panel model considers panel unit root, endogeneity, and country heterogeneity and reveals that not only traditional determinants but also new financial variables—M2/GDP and foreign capital inflows through over-the-counter markets— have significant effects on reserves hoarding. More importantly, out-of-sample forecasts show that the dynamic model yields the best goodness-of-fit, and its predicted values successfully account for the recent patterns in reserve accumulations.

Suggested Citation

  • Kuk Mo Jung & Ju Hyun Pyun, 2019. "Out-of-Sample Analysis of International Reserves for Emerging Economies with a Dynamic Panel Model," Working Papers 1904, Research Institute for Market Economy, Sogang University.
  • Handle: RePEc:sgo:wpaper:1904
    as

    Download full text from publisher

    File URL: ftp://163.239.156.99/wpaper/JKM_RIME_2019_04.pdf
    File Function: First version, 2019
    Download Restriction: no

    References listed on IDEAS

    as
    1. repec:eee:dyncon:v:90:y:2018:i:c:p:284-309 is not listed on IDEAS
    2. Olivier Jeanne & Romain Rancière, 2011. "The Optimal Level of International Reserves For Emerging Market Countries: A New Formula and Some Applications," Economic Journal, Royal Economic Society, vol. 121(555), pages 905-930, September.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    foreign exchange reserves; dynamic panel estimation; out-of-sample analysis; emerging economies; over-the-counter markets;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F31 - International Economics - - International Finance - - - Foreign Exchange

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sgo:wpaper:1904. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jung Hur). General contact details of provider: http://edirc.repec.org/data/risogkr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.