| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18628 |
| 来源ID | Working Paper 18628 |
| International Reserves and Rollover Risk | |
| Javier Bianchi; Juan Carlos Hatchondo; Leonardo Martinez | |
| 发表日期 | 2012-12-21 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We study the optimal accumulation of international reserves in a quantitative model of sovereign default with long-term debt and a risk-free asset. Keeping higher levels of reserves provides a hedge against rollover risk, but this is costly because using reserves to pay down debt allows the government to reduce sovereign spreads. Our model, parameterized to mimic salient features of a typical emerging economy, can account for significant holdings of international reserves, and the larger accumulation of both debt and reserves in periods of low spreads and high income. We also show that income windfalls, improved policy frameworks, and an increase in the importance of rollover risk imply increases in the optimal holdings of reserves that are consistent with the upward trend in reserves in emerging economies. It is essential for our results that debt maturity exceeds one period. |
| 主题 | International Economics ; International Macroeconomics |
| URL | https://www.nber.org/papers/w18628 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576303 |
| 推荐引用方式 GB/T 7714 | Javier Bianchi,Juan Carlos Hatchondo,Leonardo Martinez. International Reserves and Rollover Risk. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18628.pdf（1362KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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