Financial Market Volatility and International Reserve Holding Behaviour: A Case Study for Korea, Indonesia, the Philippines, and Thailand

Hee-Ryang Ra

Global Economic Review, 2008, vol. 37, issue 3, 311-332

Abstract: The effects of financial market volatility on the international reserve holding behaviour of four Asian countries that experienced the financial crisis in 1997—Korea, Indonesia, the Philippines, and Thailand are investigated. The financial market volatility is modelled and the effect on reserve dynamics, reserve accumulation, and reserve volatility is estimated. Estimations are taken for two periods—pre- and post-crisis—and the structural break test is performed to examine the change in the effects on reserve holding behaviour. The empirical results, in general, support the evidence for the structural change in the effects on reserve holding behaviour after the crisis. This would be one of the evidences of the precautionary motive for reserve holdings after the crisis.

Keywords: Precautionary motive international reserve holdings; international reserve dynamics; international reserve accumulation; international reserve volatility; financial market volatility; GARCH model (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/12265080802273299 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:glecrv:v:37:y:2008:i:3:p:311-332

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RGER20

DOI: 10.1080/12265080802273299

Access Statistics for this article

Global Economic Review is currently edited by Kap-Young Jeong and Taeyoon Sung

More articles in Global Economic Review from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().