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Author Hakim, Abdul
Source Directory of Open Access Journals (DOAJ)
Content type Text
Publisher Prasetiya Mulya Publishing
File Format HTM / HTML
Date Created 2017-03-17
Copyright Year ©2013
Language English
Subject Domain (in LCC) HF5001-6182 ♦ HG1-9999
Subject Keyword Foreign exchange reserve ♦ Business ♦ Social Sciences ♦ Reserves-to-import ratio ♦ Commerce ♦ Finance ♦ Value-at-Risk ♦ GJR
Abstract Accumulating foreign exchange reserves, despite their cost and their impacts on other macroeconomics variables, provides some benefits. This paper models such foreign exchange reserves. To measure the adequacy of foreign exchange reserves for import, it uses total reserves-to-import ratio (TRM). The chosen independent variables are gross domestic product growth, exchange rates, opportunity cost, and a dummy variable separating the pre and post 1997 Asian financial crisis. To estimate the risky TRM value, this paper uses conditional Value-at-Risk (VaR), with the help of Glosten-Jagannathan-Runkle (GJR) model to estimate the conditional volatility. The results suggest that all independent variables significantly influence TRM. They also suggest that the short and long run volatilities are evident, with the additional evidence of asymmetric effects of negative and positive past shocks. The VaR, which are calculated assuming both normal and t distributions, provide similar results, namely violations in 2005 and 2008.
ISSN 20896271
Age Range 18 to 22 years ♦ above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study
Learning Resource Type Article
Publisher Date 2013-04-01
e-ISSN 20896271
Journal International Research Journal of Business Studies
Volume Number 6
Issue Number 1
Page Count 10
Starting Page 63
Ending Page 72


Source: Directory of Open Access Journals (DOAJ)