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来源类型Working Paper
规范类型报告
DOI10.3386/w18219
来源IDWorking Paper 18219
Optimal Holdings of International Reserves: Self-Insurance against Sudden Stop
Guillermo A. Calvo; Alejandro Izquierdo; Rudy Loo-Kung
发表日期2012-07-13
出版年2012
语种英语
摘要This paper addresses the issue of the optimal stock of international reserves in terms of a statistical model in which reserves affect both the probability of a Sudden Stop-as well as associated output costs-by reducing the balance-sheet effects of liability dollarization. Optimal reserves are derived under the assumption that central bankers conservatively choose reserves by balancing the expected cost of a Sudden Stop against the opportunity cost of holding reserves. Results are obtained without using calibration to match observed reserves levels, providing no a priori reason for our concept of optimal reserves to be in line with observed holdings. Remarkably, however, observed reserves on the eve of the global financial crisis were-on average-not distant from optimal reserves as derived in this model, indicating that reserve over-accumulation in Emerging Markets was not obvious. However, heterogeneity prevailed across regions: from a precautionary standpoint, Latin America was closest to model-based optimal levels, while reserves in Eastern Europe lay below optimal levels, and those in Asia lay above. Nonetheless, there are other motives for reserve accumulation: we find that differences between observed reserves and precautionary-motive optimal reserves are partly explained by the perceived presence of a lender of last resort, or characteristics such as being a large oil producer. However, to a first approximation, there is no clear evidence supporting the so-called neo-mercantilist motive for reserve accumulation.
主题Macroeconomics ; Money and Interest Rates ; Monetary Policy ; International Economics ; Trade ; International Finance ; International Macroeconomics
URLhttps://www.nber.org/papers/w18219
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/575895
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Guillermo A. Calvo,Alejandro Izquierdo,Rudy Loo-Kung. Optimal Holdings of International Reserves: Self-Insurance against Sudden Stop. 2012.
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