Dynamic estimation and analysis of the currency-asset portfolio of global foreign exchange reserves: A novel approach

Xi Wang and Yongjun Ma

Finance Research Letters, 2025, vol. 76, issue C

Abstract: Prior research has neglected the asset composition of national foreign exchange reserves (FER). This paper makes a novel contribution by constructing a currency-asset structure matrix of FER, deriving a dynamic evolution equation, and employing a rolling average regression (RAR) method to obtain accurate estimates of the currency-asset portfolio. Subsequently, focusing on four currencies (USD, EUR, GBP, JPY) and three asset types (sovereign bonds, stocks, and agency bonds), this study estimates and briefly analyzes the dynamic changes in the currency-asset portfolio of FER for 97 countries from 2003 to 2022.

Keywords: Foreign exchange reserves; Currency-asset portfolio (structure); Rolling average regression; Dynamic analysis (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325002715

DOI: 10.1016/j.frl.2025.107007

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