Understanding Reserve Volatility in Emerging Markets: A Look at the Last Thirty Years

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

No 02.02, Working Papers from Swiss National Bank, Study Center Gerzensee

Abstract: In this paper, we examine external, monetary, and structural determinants of cross-country variation in reserve volatility for 30 emerging market economies from 1973 to 2000. We find that reserve holdings and openess to be the most important determinants of reserve volatility. These results are robust for a range of control variables, including monetary variables, the degree of financial development, and the level of indebtness. We view these results as establishing interesting stylized facts that may be helpful in evaluating reserve ubncertainty as a crises indicator.

Pages: 47 pages
Date: 2002-07
New Economics Papers: this item is included in nep-cba, nep-fin and nep-rmg
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