Working Paper: CEPR ID: DP3908
Authors: Ricarda Demarmels; Andreas M. Fischer
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: emerging markets; openness; reserve volatility
JEL Codes: F31; F33
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| level of reserves (Q30) | reserve volatility (Q35) |
| openness (O36) | reserve volatility (Q35) |
| monetary and financial development variables (E50) | reserve volatility (Q35) |
| long-run factors (J29) | reserve volatility (Q35) |