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- W4205927717 abstract "Abstract In the context of a managed float regime, we adopt the portfolio balance view to show the effects of the net foreign assets of an economy and its gross international reserves level on interest rate differentials. We argue that the interest rate differential can be explained by three components, where the components are the expected depreciation of the domestic currency, a default risk premium, and a portfolio balance premium. Our theoretical analysis suggests that the interest differential is a convex function of the level of gross international reserves. In particular, the differential and gross reserves are inversely related at low levels of reserves, but positively at higher levels. We evaluate our framework for the case of Lebanon. We find that the differential is inversely related to both net foreign assets and gross international reserves. These findings are then confirmed with data from Indonesia and Mexico." @default.
- W4205927717 created "2022-01-26" @default.
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- W4205927717 date "2021-12-31" @default.
- W4205927717 modified "2023-09-26" @default.
- W4205927717 title "Emerging Markets Interest Rates, International Reserves and Net Foreign Assets" @default.
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- W4205927717 doi "https://doi.org/10.1515/jgd-2020-0079" @default.
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