Template-Type: ReDIF-Paper 1.0
Author-Name: Hiro Ito
Author-X-Name-First: Hiro
Author-X-Name-Last: Ito
Author-Name: Robert N McCauley
Author-X-Name-First: Robert N
Author-X-Name-Last: McCauley
Title: The currency composition of foreign exchange reserves
Abstract: This paper analyses the factors that govern the choice of the currency composition of official foreign exchange reserves. First, we introduce a new panel dataset on the key currencies in foreign exchange reserves of about 60 economies in the 1999-2017 period. Second, we show that the currency composition of reserves relates strongly to the co-movement of the domestic currency with key currencies and the currency invoicing of trade. These factors represent attributes of the dollar or the euro rather than of the United States or the euro area. They exert about equal effects on the currency composition of foreign exchange reserves. We demonstrate that these findings are robust to a host of other possible factors.
Length: 38 pages
Creation-Date: 2019-12
File-URL: https://www.bis.org/publ/work828.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work828.htm
File-Format: text/html
Number: 828
Classification-JEL: E44, E58, F14, F31
Keywords: foreign exchange reserves, international currency, key currency, currency zones, invoicing of trade, currency of international debt, foreign exchange reserve management
Handle: RePEc:bis:biswps:828