The Dataset of the Currency Composition of Foreign Exchange
Reserves Portland
State University Boston
University and University of Oxford To be introduced in the
summer of 2021! |
Dataset
in Excel format (under construction) Dataset in STATA format (under
construction) |
Ito
and McCauley (2020) introduce a new dataset on the currency composition of
foreign exchange reserves. The aggregated data of the currency composition of
international reserves is available only for the entire world, the group of
advanced economies, and that of emerging economies from the International
Monetary Fund’s (IMF) currency composition of official foreign exchange
reserves (COFER). However, such data are not publicly available for
individual countries. They overcome the data constraint by collecting the data
from central banks’ annual reports, financial statements, and other
publicly available information sources and construct the dataset of the
currency composition of international reserves for 75 economies in the
1999-2020 period. This dataset allows us to observe the development of reserve
management over time for individual economies. It also includes the data for
the United States and the euro-area countries. Their dataset provides a sample size between those of extant
small-sample studies ((McCauley and Chan (2014), Ito et al. (2015), Gopinath
and Stein (2018b) and Lu and Wang (2019)) and the dated but near-exhaustive
IMF studies (Heller and Knight (1978), Dooley et al. (1989) and Eichengreen and Mathieson (2000)). The data coverage is also greater and more recent compared to Iancu, et al. (2020). Aizenman, Ito, and Pasricha (2021) and Chinn, Ito, and
McCauley (2021) use the dataset. |
References: Aizenman, J., H. Ito, and G. Kaur Pasricha (2021):
“Central Bank Swap Arrangements in the COVID-19 Crisis. NBER Working Paper
No. 28585. Chinn, M., H. Ito, and R.N. McCauley (2021): “How
Does Currency Choice for Trade Invoicing and FX Reserves Respond To Exchange Rate Shocks and Uncertainties?”, mimeo. Dooley, M (1987): An analysis of the management of
the currency composition of reserve assets and external liabilities of
developing countries. In R Aliber, ed, The
reconstruction of international monetary arrangements, Basingstoke,
Hampshire: Macmillan, pp 262-280. Eichengreen, B and D Mathieson (2000): “The currency composition of foreign
exchange reserves: retrospect and prospect”, IMF Working Papers, no
00/131, July. Gopinath, G and J Stein (2018): Trade invoicing,
bank funding, and central bank reserve holdings” American Economic Review,
vol 108, May, pp 542-546. Heller, H and M Knight (1978): “Reserve currency
preferences of central banks”, Princeton Essays in International Finance,
no 131, December. Iancu, A., G. Anderson, S. Ando, E. Boswell, A. Gamba,
S. Hakobyan, L. Lusinyan, N. Meads, Y. Wu (2020):
“Reserve currencies in an evolving international monetary system”, IMF
Departmental Paper 2020/002, 17 November. Ito, H, R McCauley and T Chan (2015): “Emerging
market currency composition of reserves, denomination of trade and currency
movements”, Emerging Markets Review, December, pp 16-19. Lu, Y and Y Wang (2019): “Determinants of Currency
Composition of Reserves: a Portfolio Theory Approach
with an Application to RMB”, IMF Working Paper WP/19/52, March. McCauley, R and T Chan (2014): “Currency movements
drive reserve composition”, BIS Quarterly Review, December, pp 23-36. Update on 7/10/2021 |