Study of the Relationship between Foreign Exchange Reserves and Financial Fragility——Based on Empirical Test of BRICS

Abstract

Abstract:

Foreign exchange reserves impact domestic financial sector through the conduction mechanism. Research into the relationship of foreign exchange reserves variation and financial stability is important to the financial security of a country. This paper chooses BRICS as typical representatives of emerging market countries, uses Johansen co-integration test and Bayesian VAR model to verify the impact of changes in foreign exchange reserves on financial vulnerability from empirical aspect. Research shows that increase of foreign exchange reserves variation will enhance financial fragility index in both the long and the short term and help the country cope with short-term eco-nomic fluctuations. So, increasing foreign exchange reserves will contribute to domestic financial sector stability and defense economic crisis.

Key words: BRICS, foreign exchange reserves, financial fragility

Yu Mei, Zhang Kun, Wang Shouyang, Gao Jie. Study of the Relationship between Foreign Exchange Reserves and Financial Fragility——Based on Empirical Test of BRICS[J]. , 2020, 32(1): 3-12.

References

[1] Mohanty M., Turner P. Foreign Exchange Reserve Accumulation in Emerging Markets:What are the Domestic Implications?[J]. BIS Quarterly Review, 2006,(9):39-52
[2] Li J., Ouyang A. Y. Currency Crises:Can High Reserves Offset Vulnerable Fundamentals?[J]. Applied Economics, 2009,43(16):2055-2069
[3] Jeffrey F. A., Saravelos G. Can Leading Indicators Assess Country Vulnerability?Evidence from the 2008-09 Global Financial Cri-sis[R]. HKS Faculty Research Working Paper Series, 2011
[4] Obstfeld G. M. Stories of the Twentieth Century for the Twenty-first[R]. In National Bureau of Economic Research Working Paper Series, 2011
[5] 贺力平.东亚经济体外汇储备与国际金融危机[J].当代亚太, 2008,(6):95-105
[6] 黄金老.论金融脆弱性[J].金融研究, 2001,249(3):41-49
[7] Kibritcioglu A. Excessive Risk-Taking, Banking Sector Fragility, and Banking Crises[R]. Office of Research Working Paper, 2002
[8] 滑冬玲.发达国家、发展中国家和转轨国家金融脆弱性成因对比:基于制度视角的分析[J].管理评论, 2004,26(8):90-105
[9] 刘叶,贺培.金砖国家金融脆弱性的跨国比较研究[J].经济经纬, 2016,33(4):62-67
[10] Ghosh A. R., Ostry J. D., Qureshi M. Exchange Rate Management and Crisis Susceptibility:A Reassessment[R]. IMF Working Paper WP14/11, 2014
[11] Pitterle I., Haufler F., Hong P. Assessing Emerging Markets' Vulnerability to Financial Crisis[J]. Journal of Policy Modeling, 2015,37(3):484-500
[12] 万晓莉.中国1987-2006年金融体系脆弱性的判断与测度[J].金融研究, 2008,(6):80-93
[13] Kathryn M. E., Fatum R., Vacek P. Do Sales of Foreign Exchange Reserves Lead to Currency Appreciation?[J]. Journal of Money, Credit and Banking, 2013,45(5):868-890
[14] 刘传哲,何凌云.我国流动性过剩的原因及其作用机理分析[J].管理评论, 2008,20(1):3-8
[15] 池启水.外汇储备增加对基础货币投放的影响——基于协整方法与VAR模型的实证检验[J].数理统计与管理, 2008, 27(4):686-694
[16] Arshad M. Long-run and Short-run Dynamics of Foreign Exchange Reserves and Domestic Credit in Pakistan[J]. International Journal of Applied Econometrics and Quantitative Studies, 2008,5(1):61-78
[17] 陆前进,卢庆杰,李治国.银行信贷、外汇储备和中国的实际汇率——基于中国2000-2011年数据的实证研究[J].金融研究, 2013,(11):18-40
[18] 许少强,张记伟.外汇市场压力下中国货币政策效果的实证分析[J].国际金融研究, 2009,(9):64-72
[19] Andrew F., Pierre S. Prolonged Reserves Accumulation, Credit Booms, Asset Prices and Monetary Policy in Asia[J]. Emerging Markets Finance and Trade, 2016,52(2):364-381
[20] 陶士贵,眭佩佩.外汇储备对股票市场价格的影响——基于流动性视角的分析[J].华东经济管理, 2012,26(2):90-94
[21] Edwardsand S., Rigoban R. Capital Controls on Inflows, Exchange Rate Volatility and External Vulnerability[J]. Journal of In-ternational Economics, 2009,78(2):256-267