Foreign Exchange Reserve Demand: An Information Value Approach
Central Bank Review, 2010, vol. 10, issue 2, 33-44
We perform a statistical analysis to examine the international reserve accumulation of four selected emerging market countries : Argentina, Brazil, Korea and Turkey. We perform Granger causality tests to investigate the information value of key macroeconomic variables on foreign exchange reserves. We use a simple unrestricted vector autoregression analysis to capture a reduced form analysis of the demand for international reserves. Our results suggest that interest rate differentials with the US contain potentially useful information for foreign exchange reserve accumulation for Argentina and Turkey. Similarly, consumption differential with the US and net exports contain information for foreign exchange reserve movements in Korea.
Keywords: Foreign exchange reserves; Vector Autoregression (search for similar items in EconPapers)
JEL-codes: F32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:10:y:2010:i:2:p:33-44
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