Prolonged reserves accumulation, credit booms, asset prices and monetary policy in asia

• Autores: Andrew J. Filardo, Pierre L. Siklos
• Localización: Emerging Markets Finance & Trade, ISSN-e 1558-0938, Vol. 52, Nº. 2, 2016, págs. 364-381
• Idioma: inglés
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• Resumen

  • This article examines past evidence of prolonged periods of foreign exchange reserves accumulation in the Asia-Pacific region. Several proxies for this unobserved variable are considered, including a newly proposed one based on a factor model. We focus on identifying periods of prolonged interventions and identify its key macro-financial determinants. Two broad conclusions emerge from the stylized facts and the econometric evidence. First, the best protection against costly reserves accumulation is a more flexible exchange rate. Second, the necessity to accumulate reserves as a bulwark against goods price inflation is misplaced. Instead, there is a strong link between asset price movements and the likelihood of accumulating foreign exchange reserves that are costly. Policy implications are also drawn