Foreign Exchange Intervention: A Dataset of Public Data and Proxies

Gustavo Adler, Kyun Suk Chang, Rui Mano and Yuting Shao

No 2021/047, IMF Working Papers from International Monetary Fund

Abstract: A better understanding of foreign exchange intervention (FXI) is often hindered by the lack of data. This paper provides a new dataset of FXI covering a large number of countries since 2000 at monthly and quarterly frequencies. It includes published official data for about 40 countries as well as carefully constructed estimates for 122 countries. Estimates account for a wide range of central bank operations, including both spot and derivative transactions. These estimates improve upon traditional proxies based on changes in reserves, by adjusting for valuation changes, income flows, and changes in other foreign-currency balance sheet positions (both vis-à-vis residents and non-residents)—the first estimates to do the latter to our knowledge—thus providing a more accurate measure of operations that change the central bank’s foreign currency position. The dataset also provides a classification of FXI operations into sterilized or not sterilized, a key dimension for economic analysis. Finally, the paper discusses the merits of the new estimates relative to traditional proxies, and presents stylized facts. The dataset is updated regularly. Data available through the link above.

Keywords: Spot and derivatives FX markets.; WP; FXI proxy; foreign currency; FXI datum; FXI data; FXI operations; Foreign Exchange Intervention; Spot and derivatives FX markets; Reserve currencies; Reserve positions; Currencies; International reserves; Global; Eastern Europe; Africa; balance sheet position; derivatives FX markets; derivative transaction; dataset of FXI; Foreign currency liquidity (search for similar items in EconPapers)
Pages: 55
Date: 2021-02-19
New Economics Papers: this item is included in nep-mon
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