scholarly journals International Reserves and Rollover Risk

2016 ◽  
Author(s):  
Javier Bianchi ◽  
Juan Carlos Hatchondo ◽  
Leonard Martinez
Keyword(s):  
International Reserves ◽  
Rollover Risk

scholarly journals International Reserves and Rollover Risk

2012 ◽  
Author(s):  
Javier Bianchi ◽  
Juan Carlos Hatchondo ◽  
Leonardo Martinez
Keyword(s):  
International Reserves ◽  
Rollover Risk

scholarly journals International Reserves and Rollover Risk

2013 ◽  
Vol 13 (33) ◽  
pp. i ◽  
Author(s):  
Javier Bianchi ◽  
Juan Carlos Hatchondo ◽  
Leonardo Martinez ◽  
◽  
◽  
...  
Keyword(s):  
International Reserves ◽  
Rollover Risk

scholarly journals International Reserves and Rollover Risk

2012 ◽  
Author(s):  
Javier Bianchi ◽  
Juan Carlos Hatchondo ◽  
Leonardo Martinez
Keyword(s):  
International Reserves ◽  
Rollover Risk

scholarly journals International Reserves and Rollover Risk

2013 ◽  
Vol 2013 (151) ◽  
Author(s):  
Javier Bianchi ◽  
◽  
Juan Carlos Hatchondo ◽  
Leonardo Martinez ◽  
◽  
...  
Keyword(s):  
International Reserves ◽  
Rollover Risk

scholarly journals International Reserves and Rollover Risk

2013 ◽  
Author(s):  
Javier Bianchi ◽  
Juan Carlos Hatchondo ◽  
Leonardo Martinez
Keyword(s):  
International Reserves ◽  
Rollover Risk

scholarly journals International Reserves and Rollover Risk

2018 ◽  
Vol 108 (9) ◽  
pp. 2629-2670 ◽  
Author(s):  
Javier Bianchi ◽  
Juan Carlos Hatchondo ◽  
Leonardo Martinez
Keyword(s):  
Emerging Economies ◽  
Quantitative Model ◽  
Sovereign Default ◽  
International Reserves ◽  
Upward Trend ◽  
Sovereign Spreads ◽  
Rollover Risk ◽  
Policy Frameworks ◽  
The Government

We study the optimal accumulation of international reserves in a quantitative model of sovereign default with long-term debt and a risk-free asset. Keeping higher levels of reserves provides a hedge against rollover risk, but this is costly because using reserves to pay down debt allows the government to reduce sovereign spreads. Our model, parameterized to mimic salient features of a typical emerging economy, can account for significant holdings of international reserves, and the larger accumulation of both debt and reserves in periods of low spreads and high income. We also show that income windfalls, improved policy frameworks, and an increase in the importance of rollover risk imply increases in the optimal holdings of reserves that are consistent with the upward trend in reserves in emerging economies. It is essential for our results that debt maturity exceeds one period. (JEL E21, E43, F32, F34, H63)

Sign in / Sign up

Export Citation Format

Share Document