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

Ricarda Demarmels () and Andreas Fischer ()
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Ricarda Demarmels: University of St. Gallen and Swiss National Bank

No 03.03, Working Papers from Swiss National Bank, Study Center Gerzensee

Abstract: 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.

Pages: 28 pages
Date: 2003-03
New Economics Papers: this item is included in nep-cba, nep-fin and nep-mac
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Understanding reserve volatility in emerging markets: a look at the long-run (2003)
Working Paper: Understanding Reserve Volatility in Emerging Markets: A Look at the Long-Run (2003)
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