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Journals / Central Bank Review / 2010 / Cilt: 10 - Sayı: 2

Foreign exchange reserve demand: An information value approach

Kurmaş AKDOĞAN
Pages
33–44
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Our results suggest that interest rate differentials with the US contain potentially useful information for foreign exchange reserve accumulation for Argentina and Turkey.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:We perform a statistical analysis to examine the international reserve accumulation of four selected emerging market countries: Argentina, Brazil, Korea and Turkey.
📊
Key Findings & Data:Our results suggest that interest rate differentials with the US contain potentially useful information for foreign exchange reserve accumulation for Argentina and Turkey.
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Conclusion & Impact:Similarly, consumption differential with the US and net exports contain information for foreign exchange reserve movements in Korea.
🔬Design:Research Article
📍Scope:Comprehensive Sample
⚙️Variables:Türkiye · Turkey

Abstract

We perform a statistical analysis to examine the international reserve accumulation of four selected emerging market countries: Argentina, Brazil, Korea and Turkey. We perform Granger causality tests to investigate the information value of key macroeconomic variables on foreign exchange reserves. We use a simple unrestricted vector autoregression analysis to capture a reduced form analysis of the demand for international reserves. Our results suggest that interest rate differentials with the US contain potentially useful information for foreign exchange reserve accumulation for Argentina and Turkey. Similarly, consumption differential with the US and net exports contain information for foreign exchange reserve movements in Korea.

Özet

Çalışmada Arjantin, Brezilya, Kore ve Türkiye gibi dört yükselen ekonominin uluslararası rezerv biriktirme davranışları istatiksel bir analiz çerçevesinde incelenmektedir. Seçilmiş makroekonomik değişkenlerin uluslarararası rezervleri açıklama gücü Granger nedensellik testleri ile sınanmaktadır. Kısıtlanmamış vektör özgecikme analizi yardımıyla ulusrararası rezerv talebinin indirgenmiş form analizine bakılmaktadır. Bulgularımız, rezerv artışlarının Arjantin ve Türkiye'de ülke faizlerinin ABD faizleri ile olan farkı ile; Kore de ise ülke tüketiminin ABD tüketimi ile farkı ve net ihracat değişkenleri ile ilişkili olduğunu göstermektedir. Para politikasının mali piyasalara başta mali sektör endeksini olmak üzere hisse senedi fiyatlarını düşürmektedir.

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Cite This Article

AKDOĞAN, K. (2010). Foreign exchange reserve demand: An information value approach. Central Bank Review, Cilt: 10 - Sayı: 2, 33–44. https://ajindex.com/articles/150242

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