The role of international reserves on real exchange rate: a panel data analysis

Q4 Economics, Econometrics and Finance

Economia Aplicada Pub Date : 2022-06-01 DOI:10.11606/1980-5330/ea180445

F. V. Vieira, Cleomar Gomes Silva

引用次数: 0

Abstract

This article analyzes whether the accumulation of international reserves affects real exchange rates for a set of 57 economies. Panel ARDL estimations, for annual data from 1994 to 2017, show that higher (lower) levels of international reserves cause appreciation (depreciation) of exchange rate and reduce (increase) its volatility, in the long run. As for the error-correction related to deviations from the long run, short run adjustments in exchange rate volatility occur at a much faster rate than corrections in the exchange rate level. The Balassa-Samuelson effect, inflation and inflation differential also play significant roles, whereas monetary independence is partially important.

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国际储备对实际汇率的作用：面板数据分析

本文分析了57个经济体的国际储备积累是否会影响实际汇率。根据1994年至2017年的年度数据，ARDL小组的估计显示，从长远来看，国际储备水平的上升（下降）会导致汇率升值（贬值），并减少（增加）其波动性。至于与长期偏离有关的误差修正，汇率波动的短期调整速度比汇率水平的修正速度快得多。巴拉萨·萨缪尔森效应、通货膨胀和通货膨胀差异也发挥了重要作用，而货币独立性部分重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economia Aplicada Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.30

自引率

0.00%

发文量

审稿时长

100 weeks

期刊介绍： The journal Economia Aplicada (Brazilian Journal of Applied Economics) is a quarterly publication of the Dept. of Economics of the Faculty of Economics, Business and Accounting of the University of São Paulo at Ribeirão Preto (FEA-RP/USP). It was first published in 1997 by the Dept. of Economics of FEA-USP and by FIPE, with the primary concern of filling an editorial gap in Brazil. The Journal"s interest is to publish solely scientific papers on applied economics. Nowadays it has the same goal. Its focus is to publish papers with economic analysis applied to specific problems of interest either to public or private sector, especially with quantitative results bringing theory and reality closer.