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

30 Pages Posted: 17 Jul 2003

See all articles by Ricarda Demarmels

Ricarda Demarmels

University of St. Gallen - SEPS: Economics and Political Sciences; Swiss National Bank

Andreas M. Fischer

Swiss National Bank; Centre for Economic Policy Research (CEPR)

Date Written: April 2003

Abstract

In this Paper, we examine long-run determinants of cross-country variation in reserve volatility for 30 emerging market economies from 1973-2000. Reserve holdings and openness 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 interesting stylized facts that may be helpful in evaluating reserve volatility as a crisis indicator.

Keywords: Reserve volatility, emerging markets, openness

JEL Classification: F31, F33

Suggested Citation

Demarmels, Ricarda and Fischer, Andreas M., Understanding Reserve Volatility in Emerging Markets: A Look at the Long-Run (April 2003). Available at SSRN: https://ssrn.com/abstract=424640

Ricarda Demarmels

University of St. Gallen - SEPS: Economics and Political Sciences ( email )

Rosenbergstrasse 51
St. Gallen, St. Gallen CH-9000
Switzerland

Swiss National Bank

Borsenstrasse 15
CH-8022 Zurich
Switzerland

Andreas M. Fischer (Contact Author)

Swiss National Bank ( email )

Borsenstrasse 15
CH-8022 Zurich
Switzerland
+41 1 631 3294 (Phone)
+41 1 631 3901 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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