Optimum international reserves and sovereign risk: Evidence from India

K P, Prabheesh (2013) Optimum international reserves and sovereign risk: Evidence from India. Journal of Asian Economics, 28. pp. 76-86. ISSN 1049-0078

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Abstract

This paper empirically determines the optimal level of international reserves for India by explicitly incorporating the country's sovereign risk associated with the default on external debt. The optimum level of reserves is determined by minimizing the central bank's cost function, which consists of costs due to high reserve holdings and costs due to reserve depletion. The simulated optimum reserves for the period 1994-2010 indicate that actual reserves are higher than the optimum value across the sample period, except during 1997-1998

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IITH Creators:	IITH Creators ORCiD K P, Prabheesh UNSPECIFIED
Item Type:	Article
Uncontrolled Keywords:	ARCH; Cointegration; International reserves; Optimization; Sovereign risk
Subjects:	Social sciences > Business Finance
Divisions:	Department of Liberal Arts
Depositing User:	Team Library
Date Deposited:	22 Nov 2014 07:33
Last Modified:	28 Aug 2017 09:58
URI:	http://raiithold.iith.ac.in/id/eprint/909
Publisher URL:	https://doi.org/10.1016/j.asieco.2013.07.001
OA policy:	http://www.sherpa.ac.uk/romeo/issn/1049-0078/
Related URLs:	Google Scholar

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