The determinants of International Reserves in the Emerging countries: a non linear approach

Abstract : In this article, we adopt a nonlinear 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 Regression (PSTR) model that loosens two restricting hypotheses, homogeneity and time-stability. We find evidence for the presence of a nonlinear behaviour 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 five candidates tested in total. Our specification accounts for the acceleration of foreign exchange reserves accumulation that the linear specifications fail to explain.
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Applied Economics, Taylor & Francis (Routledge), 2011, Vol. 43 (n° 28), pp 4179-4192. 〈10.1080/00036846.2010.489886〉
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Soumis le : mardi 14 mai 2013 - 14:41:09
Dernière modification le : mardi 14 mai 2013 - 14:41:09

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Anne-Laure Delatte, Julien Fouquau. The determinants of International Reserves in the Emerging countries: a non linear approach. Applied Economics, Taylor & Francis (Routledge), 2011, Vol. 43 (n° 28), pp 4179-4192. 〈10.1080/00036846.2010.489886〉. 〈hal-00822326〉

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