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Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting

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  • Ferhan Salman
  • Aslihan Salih

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  • Ferhan Salman & Aslihan Salih, 1999. "Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting," Working Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Handle: RePEc:tcb:wpaper:9901
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    References listed on IDEAS

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(1-2), pages 47-66, August.
    3. Michael McKenzie, 1997. "ARCH modelling of Australian bilateral exchange rate data," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 147-164.
    4. Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February.
    5. Xu, Xinzhong & Taylor, Stephen J., 1995. "Conditional volatility and the informational efficiency of the PHLX currency options market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 803-821, August.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Ben-Bassat, Avraham & Gottlieb, Daniel, 1992. "Optimal international reserves and sovereign risk," Journal of International Economics, Elsevier, vol. 33(3-4), pages 345-362, November.
    8. Ferhan Salman, 1999. "Risk-return-volume relationship in an emerging stock market," Discussion Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    9. Chou, Ray Yeutien, 1988. "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 279-294, October-D.
    10. Sukru Binay & Ferhan Salman, 1998. "The Global Crisis and The Turkish Economy," Working Papers 9801, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    11. Levy, Victor, 1983. "Demand for international reserves and exchange-rate intervention policy in an adjustable-peg economy," Journal of Monetary Economics, Elsevier, vol. 11(1), pages 89-101.
    12. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
    13. Torben G. Andersen & Tim Bollerslev, 1998. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," Journal of Finance, American Finance Association, vol. 53(1), pages 219-265, February.
    14. Ercan Balaban, 1995. "Day of the week effects: new evidence from an emerging stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 2(5), pages 139-143.
    15. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. David Fernando LOPEZ ANGARITA, 2006. "Nivel óptimo de Reservas Internacionales y crisis cambiaria en Colombia," Archivos de Economía 003273, Departamento Nacional de Planeación.
    2. Rossi, Marco, 2008. "Pricing IMF liquidity provision: The value of the IMF liquidity commitment," Emerging Markets Review, Elsevier, vol. 9(1), pages 70-77, March.
    3. Saadet Kasman & Duygu Ayhan, 2006. "Macroeconomic Volatility under Alternative Exchange Rate Regimes in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(2), pages 37-58.
    4. Hee-Ryang Ra, 2008. "Financial Market Volatility and International Reserve Holding Behaviour: A Case Study for Korea, Indonesia, the Philippines, and Thailand," Global Economic Review, Taylor & Francis Journals, vol. 37(3), pages 311-332.
    5. Kasman, Adnan & Ayhan, Duygu, 2008. "Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration," Economic Modelling, Elsevier, vol. 25(1), pages 83-92, January.
    6. Antonio Francisco Silva Jr. & Érica Domingos da Silva, 2004. "Optimal International Reserves Holdings In Emerging Markets Economies: The Brazilian Case," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] 078, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

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