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

  • Ricarda Demarmels

    ()

    (Swiss National Bank and University of St. Gallen)

  • Andreas M. Fischer

    ()

    (Swiss National Bank)

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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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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  18. Reinhart, Carmen, 2002. "Default, currency crises, and sovereign credit ratings," MPRA Paper 13917, University Library of Munich, Germany.
  19. Carlo Cottarelli & Curzio Giannini, 1997. "Credibility Without Rules," IMF Occasional Papers 154, International Monetary Fund.
  20. Cukierman, Alex & Webb, Steven B & Neyapti, Bilin, 1992. "Measuring the Independence of Central Banks and Its Effect on Policy Outcomes," World Bank Economic Review, World Bank Group, vol. 6(3), pages 353-98, September.
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