Sudden Stops and Optimal Self-Insurance / Jun Kim.

Format:

Book

Government document

Author/Creator:

Kim, Jun.

Contributor:

International Monetary Fund. Research Department.

Series:

IMF Working Papers; Working Paper ; No. 2008/144

IMF Working Papers

Language:

English

Subjects (All):

Bank reserves--Developing countries--Econometric models.

Bank reserves.

Financial crises--Developing countries--Econometric models.

Financial crises.

Physical Description:

1 online resource (36 p.)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2008.

Language Note:

English

Summary:

This paper presents a simple model of optimal reserves that can be easily calibrated to compute optimal reserves as well as the implied probability of a sudden stop for given reserves. The model builds upon the global games framework of Morris and Shin to establish a unique relationship between the probability of a sudden stop and the level of reserves. The calibration results for 15 selected emerging market countries in Latin America, Asia and other regions over the sample period of 1993-2006 suggest that the risk of sudden stops may have declined to a low level in recent years in all countries in the sample. The results also suggest that Asia and Russia may have been significantly over insured since early 2000s with estimated excess reserves of US$ 1 trillion in total at end-2006.

Contents:

Contents; I. Introduction; II. The Model; III. Model Calibration; IV. Concluding Remarks; Text Tables; 1. Actual and Calibrated Optimal Reserves for Selected EM Countries: 1993-2006; 2. Implied Probability of a Sudden Stop for Selected EM Countries: 1994-2007; 3. IMF Arrangements for Selected EM Countries: 1993-2006; Text Figures; 1. Actual and Calibrated Optimal Reserves for Selected EM Countries: 1993-; A. Latin America; B. Asia, Russia and Turkey; 2. Implied Probability of a Sudden Stop for Selected EM Countries: 1994-; A. Latin America; B. Asia, Russia and Turkey

3. Actual θ and Default Threshold θ* for Selected EM Countries: 1993-A. Latin America; B. Asia, Russia and Turkey; 4. Sources of Reserve Accumulation for Selected EM Countries: 1993-; A. Latin America; B. Asia, Russia and Turkey; Appendix: Creditor Coordination Problem; References

Notes:

"June 2008."

Includes bibliographical references (p. 34).

Description based on print version record.

ISBN:

9786612840951

9781462380015

1462380018

9781452781372

1452781370

9781451870022

1451870027

9781282840959

1282840959

OCLC:

568151216