全球智库信息集成服务系统(G2TT): DP16969 Output Concerns and Precautionary Savings in Emerging Markets' Debt and Reserve Accumulation

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP16969
	DP16969 Output Concerns and Precautionary Savings in Emerging Markets' Debt and Reserve Accumulation
	Refet Gürkaynak; Sang Seok Lee; Ju Hyun Pyun
发表日期	2022-01-30
出版年	2022
语种	英语
摘要	We study the joint behavior of external debt, international reserves, and the real interest rate based on a dynamic regime-switching small open economy model that incorporates the salient features of economic crises in emerging markets. Unlike reduced form analyses where contributions from different channels are difficult to delineate, our model allows separately assessing both possible motives behind reserve accumulation: mercantilistic behavior (output externalities) and precautionary savings. Using data from 24 emerging countries for 50 years, we estimate the model and show that both motives matter, but to differing degrees, in many of our sample countries, with international reserves serving as an instrument to sustain higher levels of output and insure against disruptions from crises. The model is quantitatively successful at matching various aspects of the data that exhibit substantial variation across these countries. Importantly, when present sudden stop risk and output externalities both have differing impact on debt and reserve management of different countries because of offsetting income and substitution effects.
主题	International Macroeconomics and Finance ; Monetary Economics and Fluctuations
关键词	International reserves External debt Real interest rate Emerging markets Sudden stops Precautionary savings Regime-switching small open economy model Mercantilism Output externalities
URL	https://cepr.org/publications/dp16969
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/545913
推荐引用方式 GB/T 7714	Refet Gürkaynak,Sang Seok Lee,Ju Hyun Pyun. DP16969 Output Concerns and Precautionary Savings in Emerging Markets' Debt and Reserve Accumulation. 2022.