Out-of-Sample Analysis of International Reserves for Emerging Economies with a Dynamic Panel Model

Jung, Kuk Mo; Pyun, Ju Hyun

doi:10.2139/ssrn.3108516

Cited by 2 publications

(9 citation statements)

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“…On the other hand, those works that have studied the reasons why countries accumulate international reserves and the implications derived from this fact (Seghezza, Morelli and Pittaluga, 2017;Pina, 2015;Delatte and Fouquau, 2012;Vujanovic, 2011;Bastourre, Carrera and Ibarlucia, 2009;Aizenman and Lee, 2007;Mohanty and Turner, 2006). Finally, those empirical studies that have developed prediction models of international reserves (Jung and Pyun, 2018;Espinosa, 2016;Gupta, Hammoudeh, Kim and Simo-Kengne, 2014;Li and Yang, 2012).…”

Section: Literature Reviewmentioning

confidence: 99%

“…In the recent literature, some models of prediction of international reserves stand out (Jung and Pyun, 2018;Espinosa, 2016;Gupta, Hammoudeh, Kim and Simo-Kengne, 2014). These models have shown that knowing the factors that explain the behaviour of international reserves is of great interest to predict the future functioning of the economy.…”

Section: Introductionmentioning

confidence: 99%

“…However, there is no unanimity of criteria regarding the predictor variables and, in addition, although the explanatory capacity of these models is significant, they still have certain limitations related to their levels of precision and their exclusive focus on groups of emerging countries. For this reason, the literature demands a new reserve prediction model in which theories with a greater power of validation on the warning factors are needed, where the opening of the financial markets is not the only factor that directly determines the accumulation of reserves (Jung and Pyun, 2018).…”

Section: Introductionmentioning

confidence: 99%

“…This model distinguishes itself for the capacity to predict in all countries, also achieving levels of accuracy of more than 93%. This model has been constructed from a sample of 102 countries, including both emerging and developed, and applying the Bayesian Model Averaging-Naive Bayes classifier (BMA-NB), which shows excellent precision results compared to other methods applied in the previous literature (Jung and Pyun, 2018;Espinosa, 2016;Gupta, Hammoudeh, Kim and Simo-Kengne, 2014).…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Forecasting Foreign Exchange Reserves Using Bayesian Model Averaging-Naïve Bayes

Salas

Alaminos

Fernández-Gámez

et al. 2020

Singapore Econ. Rev.

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Foreign exchange reserves are used by governments to balance international payments and make stable the exchange rate. Numerous works have developed models to predict foreign exchange reserves; however, the existing models have limitations and the literature demands more research on the subject given that the accuracy of the models is still poor, and they have only been used for emerging countries. This paper presents a new prediction model of foreign exchange reserves for both emerging countries and developed countries, applying a method of Bayesian model averaging-Naïve Bayes, which shows better precision results than the individual classifier. Our model has a great potential impact on the adequacy of macroeconomic policy against the risks derived from balance of payment crises providing tools that help to achieve financial stability on a global level.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Forecasting Foreign Exchange Reserves Using Bayesian Model Averaging-Naïve Bayes

Salas

Alaminos

Fernández-Gámez

et al. 2020

Singapore Econ. Rev.

View full text Add to dashboard Cite

show abstract

“…8 No. 2, 2022 In order to identify appropriate determinants of international reserves that is not susceptible to shock in the system ( Jung & Pyun, 2020), a number of empirical studies have been conducted on various determinable factors influencing international reserves accumulation. However, there are still inconsistencies in their findings and some authors believed that existing literature strictly focused on macroeconomic variables while some strand of the literature argued against the procedure of static method of analysis data.…”

Section: Introductionmentioning

confidence: 99%

Educational Factors as Determinant of International Reserves Accumulation in Organisation of Petroleum Exporting Countries

Bada

Adetiloye²,

Olokoyo

2022

BJES

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Despite huge petroleum revenues with high development needs, the growth of international reserves in OPEC countries has been negligible. This study examined the impact of educational factors using different levels of literacy in stimulating the macroeconomic determinants of international reserves in OPEC member countries using data from 2008 to 2018 from World Bank Development Indicators for 15 member countries. The study used a dynamic panel model, and the data were analyzed using System of Generalized Method of Moments (SGMM). The results show that educational levels such as adult literacy, youth literacy, tertiary and secondary enrollment mitigate the negative impact of the exchange rate and stimulate the impact of crude oil prices, while tertiary enrollment stimulates the impact of foreign direct investment and reduces the negative impact of economic crises. Overall, youth literacy was most significant for these economies, while economic crises were significantly positive at all levels as a major determinant of international reserve accumulation. Therefore, it was concluded that education contributes to the economy's accumulation of more reserves. In particular, the study recommended that national governments provide adequate funding for the education sector to improve the quality of education at the junior and high school levels in order to provide adequate knowledge and skills to enhance foreign investment.

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Out-of-Sample Analysis of International Reserves for Emerging Economies with a Dynamic Panel Model

Cited by 2 publications

References 0 publications

Forecasting Foreign Exchange Reserves Using Bayesian Model Averaging-Naïve Bayes

Forecasting Foreign Exchange Reserves Using Bayesian Model Averaging-Naïve Bayes

Educational Factors as Determinant of International Reserves Accumulation in Organisation of Petroleum Exporting Countries

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