Date of Award
2-2023
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business
Dissertation Supervisor
Dr. Lucjan T. Orlowski
Committee Member
Dr. Michael Herley
Committee Member
Dr. Khawaja Mamun
Abstract
Over the past decade, the rise of Geopolitical Risk (GPR) has had a significant effect on macro financial variables, prompting central banks to accumulate reserves as a "war chest" to protect their economies from the detrimental effects of such shocks. This study examines the asymmetries in the long run, short run, and locational asymmetric effects on foreign reserves in the BRICS countries, using both the Nonlinear ARDL (NARDL) and Quantile ARDL (QARDL) models over the period 2000Q1–2021Q4. The results of the NARDL model suggest that GPR has long-run asymmetric effects for BRICS, while in the short run, all countries display insignificant asymmetries. The QARDL model reveals a quantile-dependent asymmetric relationship both in the long run and short run in the BRICS countries. In the long run, GPR has a significant impact on reserves at the higher quantile for Brazil, lower quantiles for China and South Africa, and had an insignificant impact in Russia and India. In the short run, GPR impacts are located at the lower quantiles in South Africa. The control variables of Real Effective Exchange Rate, M2 Money, Foreign Direct Investment, and Domestic Credit to Private Sector have asymmetric effects on reserves at extreme quantiles both in the long run and short run. Central bankers are advised to consider geopolitical risk when accumulating foreign exchange reserves for precautionary reasons.
JEL Classification
C54, E58, H63
Recommended Citation
Asomaning, K. O. (2023). Asymmetric effects in geopolitical risk and foreign reserves accumulation among BRICS countries. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT. Retrieved from https://digitalcommons.sacredheart.edu/wcob_theses/31/
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Included in
Economic Theory Commons, Finance Commons, International Economics Commons, Macroeconomics Commons
Comments
Submitted as partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance Sacred Heart University, Jack Welch College of Business and Technology, Sacred Heart University.
Dissertation Number DBA01/2023.