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Economic Thought and Practice, Vol. 28 No. 1, 2019.

Preliminary communication

DETERMINANTS OF FOREIGN EXCHANGE RESERVES IN CROATIA: A QUANTILE REGRESSION APPROACH

Mile Bošnjak orcid id orcid.org/0000-0002-7663-198X ; Sveučilište u Zagrebu, Ekonomski fakultet, Katedra za međunarodnu ekonomiju
Gordana Kordić orcid id orcid.org/0000-0002-1914-2784 ; Sveučilište u Zagrebu, Ekonomski fakultet, Katedra za financije
Ivan Budimir orcid id orcid.org/0000-0001-9579-7929 ; Hrvatska narodna banka, Zagreb,Odjel za analizu ekonomskih efekata i stupnjeva rizičnosti ulaganja

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Abstract

The paper explores quantile regression approach to examine determinants of foreign exchange reserves in Croatia at different levels. The research is based on quarterly time series data on foreign exchange reserves, GDP level and EUR/HRK exchange rate level. Time span ranges from 2000Q1 to 2018Q3. The results revealed the GDP (at constant prices) and nominal exchange rate against euro (daily, end of quarter) as significant determinants of foreign exchange reserves in Croatia. Furthermore, at the higher levels of foreign exchange reserves its elasticity to changes in its determinants is higher. Consequently, at the lower levels of foreign exchange reserves the elasticities are found to be lower. Having reached 7th decile of foreign exchange reserves the elasticity to exchange rates vanishes.

Keywords

foreign exchange reserves; Croatia; quantile regression approach; exchange rate; GDP

Hrčak ID:

221029

URI

https://hrcak.srce.hr/221029

Publication date:

13.6.2019.

Article data in other languages: croatian

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