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| Tekijä: | Cifarelli, G. Paladino, G. |
| Otsikko: | Reserve overstocking in a highly integrated world. New evidence from Asia and Latin America |
| Lehti: | European Journal of Finance
2008 : APR/JUN, VOL. 14:3-4, p. 315-336 |
| Asiasana: | emerging markets Asia Latin America South America models |
| Vapaa asiasana: | reserves co-integration |
| Kieli: | eng |
| Tiivistelmä: | In order to explore reserves management in eight Asian and Latin American countries, monthly data are used. Idiosyncratic explanatory variables enter into co-integration (here as: c-o.) relationships based on a stochastic buffer stock model, where a reserve variability measure is obtained through conditional variance approaches. International factors influence the c-o. residuals tending to co-move within and across geographical areas. Principal components analysis is used to associate the common drivers with the U.S. fed fund effective interest rate and real-effective exchange rate. This 2-step approach elucidates some controversial aspects of reserves and exchange rate management. |
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