چکیده:
In this paper, based on error correction model by using panel data, an empirical
analysis of demand for international reserves for 16 Islamic countries is
investigated.
Besides addressing conventional issues, the model explicitly incorporates the
impact of expected export revenues and the impact of the exchange rate system on
reserve demand.
The results reveal that, short run money market disequilibrium has not any
significant effect on demand for international reserves in Islamic countries. In
addition, in these countries expected export revenues have positive long run
effect while exchange rate flexibility has negative effect on demand for reserve
Furthermore, by using the mean-variance approach this paper presents a model for
selecting an optimal reserves portfolio for the Islamic countries. The model
focuses on the relationship between the composition of reserves and the impact
of return and risk of holding each foreign currency.
Results reveal that the currency composition of reserves have been influenced by
risk and return associated with holding reserves assets denominated in different
currencies such that, the share of each currency in composition of foreign
reserves have a negative relationship with the risk of each currency in reserves
asset.
خلاصه ماشینی:
"In addition, in these countries expected export revenues have positive long run effect while exchange rate flexibility has negative effect on demand for reserve Furthermore, by using the mean-variance approach this paper presents a model for selecting an optimal reserves portfolio for the Islamic countries.
Key words: International Reserves, Islamic Countries, Optional Composition, Error Correction Model, Money Market, Export Revenues, Exchange Rate Flexibility, Return and Risk.
1- Demand Function for International Reserves of Islamic Countries 1-1- The Theoretical Model The received posits a long run relationship in linear logarithmic form involving the following variable: R*, the desired level of reserves; Z, the ratio of imports to domestic income y; and s, a measure of variability of reserves.
Where “users” is international reserves for each country, GDP is gross domestic product, "mmy" is the ratio of imports to domestic income, BBP is measure the variability of balance of payment, SEXP is expected export revenues and M refers to actual stock of money held by each country.
This paper employs a version of error correction model (ECM) to investigate the demand for international reserves and mean-variance approach to determine the currency composition of foreign exchange reserves.
The results reveal that for Islamic countries: 1) Short run money market disequilibrium does not have any significant effect on demand for international reserves.
The results reveal that for Islamic countries: 1) Short run money market disequilibrium does not have any significant effect on demand for international reserves."