Optimal reserve management and sovereign debt:
Most models currently used to determine optimal foreign reserve holdings take the level of international debt as given. However, given the sovereign's willingness-to-pay incentive problems, reserve accumulation may reduce sustainable debt levels. In addition, assuming constant debt levels does...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13216 |
| Online-Zugang: | kostenfrei |
| Zusammenfassung: | Most models currently used to determine optimal foreign reserve holdings take the level of international debt as given. However, given the sovereign's willingness-to-pay incentive problems, reserve accumulation may reduce sustainable debt levels. In addition, assuming constant debt levels does not allow addressing one of the puzzles behind using reserves as a means to avoid the negative effects of crisis: why do not sovereign countries reduce their sovereign debt instead? To study the joint decision of holding sovereign debt and reserves, we construct a stochastic dynamic equilibrium model calibrated to a sample of emerging markets. We obtain that the reserve accumulation does not play a quantitative important role in this model. In fact, we find the optimal policy is not to hold reserves at all. This finding is robust to considering interest rate shocks, sudden stops, contingent reserves and reserve dependent output costs. |
| Beschreibung: | Literaturverz. S. 21 - 23 |
| Beschreibung: | 30 S. graph. Darst. 22 cm |
Internformat
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13216 | |
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| 520 | 8 | |a Most models currently used to determine optimal foreign reserve holdings take the level of international debt as given. However, given the sovereign's willingness-to-pay incentive problems, reserve accumulation may reduce sustainable debt levels. In addition, assuming constant debt levels does not allow addressing one of the puzzles behind using reserves as a means to avoid the negative effects of crisis: why do not sovereign countries reduce their sovereign debt instead? To study the joint decision of holding sovereign debt and reserves, we construct a stochastic dynamic equilibrium model calibrated to a sample of emerging markets. We obtain that the reserve accumulation does not play a quantitative important role in this model. In fact, we find the optimal policy is not to hold reserves at all. This finding is robust to considering interest rate shocks, sudden stops, contingent reserves and reserve dependent output costs. | |
| 700 | 1 | |a Kanczuk, Fabio |d 1969- |e Verfasser |0 (DE-588)133425711 |4 aut | |
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Datensatz im Suchindex
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| id | DE-604.BV023593124 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:31Z |
| indexdate | 2024-07-09T21:25:14Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016908454 |
| oclc_num | 255498573 |
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| physical | 30 S. graph. Darst. 22 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Alfaro, Laura Verfasser (DE-588)131449060 aut Optimal reserve management and sovereign debt Laura Alfaro ; Fabio Kanczuk Cambridge, Mass. National Bureau of Economic Research 2007 30 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13216 Literaturverz. S. 21 - 23 Most models currently used to determine optimal foreign reserve holdings take the level of international debt as given. However, given the sovereign's willingness-to-pay incentive problems, reserve accumulation may reduce sustainable debt levels. In addition, assuming constant debt levels does not allow addressing one of the puzzles behind using reserves as a means to avoid the negative effects of crisis: why do not sovereign countries reduce their sovereign debt instead? To study the joint decision of holding sovereign debt and reserves, we construct a stochastic dynamic equilibrium model calibrated to a sample of emerging markets. We obtain that the reserve accumulation does not play a quantitative important role in this model. In fact, we find the optimal policy is not to hold reserves at all. This finding is robust to considering interest rate shocks, sudden stops, contingent reserves and reserve dependent output costs. Kanczuk, Fabio 1969- Verfasser (DE-588)133425711 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13216 (DE-604)BV002801238 13216 http://papers.nber.org/papers/w13218.pdf kostenfrei Volltext |
| spellingShingle | Alfaro, Laura Kanczuk, Fabio 1969- Optimal reserve management and sovereign debt |
| title | Optimal reserve management and sovereign debt |
| title_auth | Optimal reserve management and sovereign debt |
| title_exact_search | Optimal reserve management and sovereign debt |
| title_exact_search_txtP | Optimal reserve management and sovereign debt |
| title_full | Optimal reserve management and sovereign debt Laura Alfaro ; Fabio Kanczuk |
| title_fullStr | Optimal reserve management and sovereign debt Laura Alfaro ; Fabio Kanczuk |
| title_full_unstemmed | Optimal reserve management and sovereign debt Laura Alfaro ; Fabio Kanczuk |
| title_short | Optimal reserve management and sovereign debt |
| title_sort | optimal reserve management and sovereign debt |
| url | http://papers.nber.org/papers/w13218.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT alfarolaura optimalreservemanagementandsovereigndebt AT kanczukfabio optimalreservemanagementandsovereigndebt |