Delatte, Anne-Laure and Fouquau, Julien (2009): The Determinants of International Reserves in the Emerging Countries: a Non-Linear Approach.
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In this paper we adopt a non linear approach to examine the dynamics of the international reserves holdings by the emerging economies. To do so, we estimate the demand for international reserves with a panel smooth transition model, that loosens two restricting hypotheses, homogeneity and time-stability. We find evidence for the presence of a non linear behavior in the demand for international reserves, a result that is new to the literature. The coefficients are found to change smoothly, as a function of two threshold variables- out of seven candidates tested in total. Our specification accounts for the acceleration of foreign exchange reserves accumulation that the linear specifications fail to explain.
|Item Type:||MPRA Paper|
|Original Title:||The Determinants of International Reserves in the Emerging Countries: a Non-Linear Approach|
|Keywords:||International Reserves, Precautionary Demand, Mercantilist, Global Imbalances, Panel Smooth Threshold Regression Models.|
|Subjects:||E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C23 - Models with Panel Data; Longitudinal Data; Spatial Time Series
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||AL Delatte|
|Date Deposited:||17. Jul 2009 00:20|
|Last Modified:||13. Feb 2013 00:14|
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