The Currency Composition of International Portfolio Assets
Caroline Mehigan and
Economic Papers from Trinity College Dublin, Economics Department
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 common membership 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)
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Persistent link: https://EconPapers.repec.org/RePEc:tcd:tcduee:tep1017
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