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

Ibrahim Raheem and Kazeem Isah

No 63, Working Papers from 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.

Keywords: International reserves; Commodity prices; Predictive model; and Forecast evaluation (search for similar items in EconPapers)
JEL-codes: C53 F23 F37 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2019-03
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