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Discussion Paper Details

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

Author(s): Ricarda Demarmels and Andreas M Fischer

Publication Date: April 2003

Keyword(s): emerging markets, openness and reserve volatility

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Demarmels, R and Fischer, A. 2003. 'Understanding Reserve Volatility in Emerging Markets: A Look at the Long-Run'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=3908