Federal Reserve Bank of Richmond
| Title: | Federal Reserve Bank of Richmond |
|---|---|
| Authors: | Javier Bianchi; Juan Carlos Hatchondo; Leonardo Martinez; Jel Codes F; Alberto Martin; Enrique Mendoza; Dirk Niepelt; Jorge Roldos; Tom Sargent; Sergio Schmukler |
| Contributors: | The Pennsylvania State University CiteSeerX Archives |
| Source: | http://www.dallasfed.org/assets/documents/institute/wpapers/2013/0151.pdf. |
| Publication Year: | 2013 |
| Collection: | CiteSeerX |
| Description: | This paper provides a theoretical framework for quantitatively investigating the optimal accumulation of international reserves as a hedge against rollover risk. We study a dynamic model of endogenous default in which the government faces a tradeoff between the insurance benefits of reserves and the cost of keeping larger gross debt positions. A calibrated version of our model is able to rationalize large holdings of international reserves, as well as the procyclicality of reserves and gross debt positions. Model simulations are also consistent with spread dynamics and other key macroeconomic variables in emerging economies. The benefits of insurance arrangements and the effects of restricting the use of |
| Document Type: | text |
| File Description: | application/pdf |
| Language: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.364.1437; http://www.dallasfed.org/assets/documents/institute/wpapers/2013/0151.pdf |
| Availability: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.364.1437; http://www.dallasfed.org/assets/documents/institute/wpapers/2013/0151.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: | edsbas.D37691F0 |
| Database: | BASE |