The High Demand for International Reserves in the Far East: What's Going on?
The High Demand for International Reserves in the Far East: What's Going on?
复制标题
远东地区对国际储备的高需求：这是怎么回事？
DOI：
10.2139/ssrn.346641
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发表时间：
2002
影响因子：
1.2
通讯作者：
N. Marion
中科院分区：
文献类型：
--
作者：
J. Aizenman;N. Marion
本文探讨了远东国家对国际储备的相对较高需求和其他一些发展中国家相对较低的需求的计量经济学和理论解释。通过使用大约 125 个发展中国家的样本，我们发现 1980 年至 1996 年期间的储备持有量似乎是一些关键因素的可预测结果，例如国际交易的规模、波动性、汇率安排和政治考虑。该估计方程还可以很好地预测 1997 年金融危机之前亚洲的储备持有量。危机发生后，这一估计方程大大低估了几个主要远东国家的储备持有量，正如卢卡斯批判中所预期的那样。这种低估与解释发展中国家国际储备需求的模型是一致的。具体来说，我们表明主权风险和支付财政负债的昂贵税收导致对国际储备的相对较大需求。危机过后，必须应对较高的主权风险和较高的财政负债（有资金和无资金）的国家将选择增加储备需求。这些模型还帮助我们理解为什么一些发展中国家在危机发生后没有持有大量预防性储备余额。贴现率高、政治不稳定或政治腐败的国家发现，持有小得多的预防性余额是最佳选择。我们还表明，包含损失厌恶的模型预测对国际储备的需求相对较大。因此，如果危机增加了冲击和/或损失厌恶的波动性，那么对国际储备的需求将大大增加。因此，我们得出的结论是，国际储备持有量的“令人费解”的模式可以通过本文描述的扩展模型得到合理解释。
This paper explores econometric and theoretical interpretations for the relatively high demand for international reserves by countries in the Far East and the relatively low demand by some other developing countries. Using a sample of about 125 developing countries, we show that reserve holdings over the 1980-1996 period seem to be the predictable outcome of a few key factors, such as the size of international transactions, their volatility, the exchange-rate arrangement, and political considerations. The estimating equation also does a good job of predicting reserve holdings in Asia before the 1997 financial crisis. After the crisis, the estimating equation significantly under-predicts the reserve holdings of several key Far East countries, as one might expect from the Lucas Critique. This under-prediction is consistent with models explaining the demand for international reserves by developing countries. Specifically, we show that sovereign risk and costly tax collection to cover fiscal liabilities lead to a relatively large demand for international reserves. In the aftermath of a crisis, countries that have to deal with higher perceived sovereign risk and higher fiscal liabilities (both funded and unfunded) will opt to increase their demand for reserves. The models also help us understand why some developing countries do not hold large precautionary reserve balances in the aftermath of crises. Countries with high discount rates, political instability or political corruption find it optimal to hold much smaller precautionary balances. We also show that models that incorporate loss aversion predict a relatively large demand for international reserves. Hence, if a crisis increases the volatility of shocks and/or loss aversion, it will greatly increase in the demand for international reserves. Consequently, we conclude that the ‘puzzling’ pattern in international reserve holdings is reasonably explained by the extended models described in this paper.
影响因子：
13.7
作者：
TVERSKY, A;KAHNEMAN, D
通讯作者：
KAHNEMAN, D