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Optimal Currency Shares In International Reserves
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Book Synopsis Optimal Currency Shares in International Reserves by : Elias Papaioannou
Download or read book Optimal Currency Shares in International Reserves written by Elias Papaioannou and published by . This book was released on 2006 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign exchange reserve accumulation has risen dramatically in recent years. The introduction of the euro, greater liquidity in other major currencies, and the rising current account deficits and external debt of the United States have increased the pressure on central banks to diversify away from the US dollar. A major portfolio shift would significantly affect exchange rates and the status of the dollar as the dominant international currency. We develop a dynamic mean-variance optimization framework with portfolio rebalancing costs to estimate optimal portfolio weights among the main international currencies. Making various assumptions on expected currency returns and the variance-covariance structure, we assess how the euro has changed this allocation. We then perform simulations for the optimal currency allocations of four large emerging market countries (Brazil, Russia, India and China), adding constraints that reflect a central bank's desire to hold a sizable portion of its portfolio in the currencies of its peg, its foreign debt and its international trade. Our main results are: (i) The optimizer can match the large share of the US dollar in reserves, when the dollar is the reference (risk-free) currency. (ii) The optimum portfolios show a much lower weight for the euro than is observed. This suggests that the euro may already enjoy an enhanced role as an international reserve currency ("punching above its weight"). (iii) Growth in issuance of euro-denominated securities, a rise in euro zone trade with key emerging markets, and increased use of the euro as a currency peg, would all work towards raising the optimal euro shares, with the last factor being quantitatively the most important.
Book Synopsis International Reserve Currencies by : International Monetary Fund
Download or read book International Reserve Currencies written by International Monetary Fund and published by International Monetary Fund. This book was released on 1989-01-01 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the composition of central bank holdings of foreign reserves when the level of currency riskiness is endogenously determined by economic structure and policymaker preferences in reserve issuing countries. Examination of the behavior of official foreign reserves of the industrial and developing country groups in the period 1977-1984 offers support to the notion that central banks employ mean-variance criteria in selecting international reserves.
Book Synopsis The Optimal Currency Composition of Foreign Reserves by : Thórarinn G. Pétursson
Download or read book The Optimal Currency Composition of Foreign Reserves written by Thórarinn G. Pétursson and published by . This book was released on 1995 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Growing Role of the Euro in Emerging Market Finance by : Paul R. Masson
Download or read book The Growing Role of the Euro in Emerging Market Finance written by Paul R. Masson and published by World Bank Publications. This book was released on 2012 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: More than eight years after the introduction of the euro, impacts on developing countries have been relatively modest. Overall, the euro has become much more important in debt issuance than in official foreign exchange reserve holdings. The former has benefited from the creation of a large set of investors for which the euro is the home currency, while demand for euro reserves has been held back by the dominance of the dollar as a vehicle and intervention currency, and the greater liquidity of the market for US treasury securities. Fears of further dollar decline may fuel some shifts out of dollars into euros, however, with the potential for a period of financial instability.
Book Synopsis The Dollar as an Official Reserve Currency Under EMU by : Michael P. Leahy
Download or read book The Dollar as an Official Reserve Currency Under EMU written by Michael P. Leahy and published by . This book was released on 1994 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Currency Composition of Foreign Exchange Reserves by : Barry J. Eichengreen
Download or read book The Currency Composition of Foreign Exchange Reserves written by Barry J. Eichengreen and published by . This book was released on 2000 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stability Or Upheaval? by : Barry Eichengreen (Wirtschaftswissenschafter, USA)
Download or read book Stability Or Upheaval? written by Barry Eichengreen (Wirtschaftswissenschafter, USA) and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Management of Foreign Exchange Reserves by : Scott Roger
Download or read book The Management of Foreign Exchange Reserves written by Scott Roger and published by . This book was released on 1993 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Reserves and Foreign Currency Liquidity by : International Monetary Fund. Statistics Dept.
Download or read book International Reserves and Foreign Currency Liquidity written by International Monetary Fund. Statistics Dept. and published by International Monetary Fund. This book was released on 2015-01-07 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This update of the guidelines published in 2001 sets forth the underlying framework for the Reserves Data Template and provides operational advice for its use. The updated version also includes three new appendices aimed at assisting member countries in reporting the required data.
Author :Mr.George M. Von Furstenberg Publisher :International Monetary Fund ISBN 13 :0939934272 Total Pages :612 pages Book Rating :4.9/5 (399 download)
Book Synopsis International Money and Credit by : Mr.George M. Von Furstenberg
Download or read book International Money and Credit written by Mr.George M. Von Furstenberg and published by International Monetary Fund. This book was released on 1984-09-15 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edited by George M. von Furstenberg, this volume presents the rethinking of the functions and purposes served by international monetary arrangements at leading universities, banks, and official institutions.
Book Synopsis Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data by : Ewe-Ghee Lim
Download or read book Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data written by Ewe-Ghee Lim and published by International Monetary Fund. This book was released on 2007 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests whether reserve portfolios respond to exchange rate changes with a portfolio rebalancing strategy, which requires the purchase of depreciating currencies and sale of appreciating ones. The paper finds empirical support for the strategy, in particular that dollar depreciation/appreciation results in rebalancing switches vis-a-vis the other major reserve currency, the euro; valuation changes in the minor currencies tend to result in switches among themselves. The finding implies that currency diversifications in response to exchange rate changes have thus far tended to be stabilizing for exchange markets; it also helps explain the relative stability of reserve currency shares.
Book Synopsis The Disturbances Approach to the Demand for International Reserves by : F. Steb Hipple
Download or read book The Disturbances Approach to the Demand for International Reserves written by F. Steb Hipple and published by . This book was released on 1974 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Optimal Level of International Reserves for Emerging Market Countries by : Romain Ranciere
Download or read book The Optimal Level of International Reserves for Emerging Market Countries written by Romain Ranciere and published by International Monetary Fund. This book was released on 2006-10 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a model of the optimal level of international reserves for a small open economy that is vulnerable to sudden stops in capital flows. Reserves allow the country to smooth domestic absorption in response to sudden stops, but yield a lower return than the interest rate on the country's long-term debt. We derive a formula for the optimal level of reserves, and show that plausible calibrations can explain reserves of the order of magnitude observed in many emerging market countries. However, the recent buildup of reserves in Asia seems in excess of what would be implied by an insurance motive against sudden stops.
Author :J. de Beaufort Wijnholds Publisher :Springer Science & Business Media ISBN 13 :1468469541 Total Pages :257 pages Book Rating :4.4/5 (684 download)
Book Synopsis The Need for International Reserves and Credit Facilities by : J. de Beaufort Wijnholds
Download or read book The Need for International Reserves and Credit Facilities written by J. de Beaufort Wijnholds and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: International monetary economics essentially deals with three problems, viz. the nature and stability of the international monetary system, the balance of payments adjustment process, and international liquidity (reserves and credit facilities). All three categories are interrelated. The exchange rate system has an important bearing on the manner in which the adjustment process functions, as well as on the need for international liquidity. The adjustment process is an important determinant of the need for international liquidity. The adequacy of international liquidity influences the working of the adjustment process. Ultimately, developments in international liquidity and in the adjustment process determine the nature and stability of the international monetary system; a sustained malfunctioning of the adjustment process - brought about by a serious imbalance in international liquidity or by other causes - will bring about a new international monetary system, either through collapse or reform of the old system. This study deals only with the problem of international liquidity. However, it touches on the two other main aspects of international monetary economics insofar as they have a bearing on international reserves and credit facilities. In the literature international liquidity is most often defined as including international reserves (gold, SDRs, foreign exchange and claims on the IMF) and international credit facilities (IMF drawing rights, EEC support arrangements and central bank multilateral and bilateral credit facilities). This definition will also be followed in this study.
Book Synopsis Holding International Reserves in an Era of High Capital Mobility by : Robert P. Flood
Download or read book Holding International Reserves in an Era of High Capital Mobility written by Robert P. Flood and published by International Monetary Fund. This book was released on 2002-04 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Why do countries hold so much international reserves? Global reserve holdings (excluding gold) were equivalent to 17 weeks of imports at the end of 1999. That is almost double what they were at the end of 1960 and about 20 percent higher than they were at the start of the 1990s. In this paper we study countries’ reserve holdings in light of both the increased financial volatility experienced in the last decade and diminished adherence to fixed exchange rates. We find that buffer-stock reserve models work about as well in the modern floating-rate period as they did during the Bretton Woods regime. During both periods, however, the models’ fundamentals explain only a small portion (10-15 percent) of reserves volatility.
Book Synopsis The Demand for International Reserves by : M. June Flanders
Download or read book The Demand for International Reserves written by M. June Flanders and published by . This book was released on 1971 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dominant Currency Paradigm: A New Model for Small Open Economies by : Camila Casas
Download or read book Dominant Currency Paradigm: A New Model for Small Open Economies written by Camila Casas and published by International Monetary Fund. This book was released on 2017-11-22 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most trade is invoiced in very few currencies. Despite this, the Mundell-Fleming benchmark and its variants focus on pricing in the producer’s currency or in local currency. We model instead a ‘dominant currency paradigm’ for small open economies characterized by three features: pricing in a dominant currency; pricing complementarities, and imported input use in production. Under this paradigm: (a) the terms-of-trade is stable; (b) dominant currency exchange rate pass-through into export and import prices is high regardless of destination or origin of goods; (c) exchange rate pass-through of non-dominant currencies is small; (d) expenditure switching occurs mostly via imports, driven by the dollar exchange rate while exports respond weakly, if at all; (e) strengthening of the dominant currency relative to non-dominant ones can negatively impact global trade; (f) optimal monetary policy targets deviations from the law of one price arising from dominant currency fluctuations, in addition to the inflation and output gap. Using data from Colombia we document strong support for the dominant currency paradigm.
