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


  • Ricarda Demarmels

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

  • Andreas Fischer

    () (Swiss National Bank and CEPR)


In this paper, we examine long-run determinants of cross-country variation in reserve volatility for 30 emerging market economies from 1973 to 2000. Reserve holdings and openess 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 stylized facts that may be helpful in evaluating reserve volatility as a crisis indicator.

Suggested Citation

  • Ricarda Demarmels & Andreas Fischer, 2003. "Understanding Reserve Volatility in Emerging Markets: A Look at the Long-Run," Working Papers 03.03, Swiss National Bank, Study Center Gerzensee.
  • Handle: RePEc:szg:worpap:0303

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    References listed on IDEAS

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    Cited by:

    1. Enrique Alberola & Luis Molina & Daniel Navia, 2005. "Say You Fix, Enjoy And Relax The Deleterious Effect Of Peg Announcements On Fiscal Discipline," International Finance 0509001, EconWPA.
    2. Catherine S. F. Ho & M. Ariff, 2008. "The Role of Non-Parity Fundamentals in Exchange Rate Determination: Australia and the Asia Pacific Region," CARF F-Series CARF-F-125, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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