The Currency Composition of International Portfolio Assets

Vahagn Galstyan, Caroline Mehigan () and Rogelio Mercado
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Caroline Mehigan: Organisation for Economic Co-Operation and Development

Working Papers from South East Asian Central Banks (SEACEN) Research and Training Centre

Abstract: In this paper, we empirically assess the importance of gravity-type variables and measures of macroeconomic and financial volatilities in explaining portfolio holdings denominated across the main global currencies: US dollar (USD), euro (EUR), Pound sterling (GBP), Japanese yen (JPY) and Swiss franc (CHF). Our findings underscore the importance of trade ties and membership of the euro area. We also find that international positions co-move with the level of macroeconomic and financial uncertainty. Importantly, we identify heterogeneous patterns at a currency level.

Keywords: Currency Composition; International Portfolio Assets; Trade; Volatility (search for similar items in EconPapers)
JEL-codes: F31 F36 F41 G15 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2019-01
New Economics Papers: this item is included in nep-ifn, nep-opm and nep-rmg
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https://www.seacen.org/publications/RePEc/702001-100449-PDF.pdf (application/pdf)

Related works:
Journal Article: The currency composition of international portfolio assets (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:sea:wpaper:wp36

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