The Currency Composition of International Portfolio Assets

Vahagn Galstyan, Caroline Mehigan and Rogelio Mercado

Economic Papers from Trinity College Dublin, Economics Department

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 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)
Pages: 22 pages
Date: 2017-03
New Economics Papers: this item is included in nep-ifn and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://www.tcd.ie/Economics/TEP/2017/TEP1017.pdf

Related works:
Journal Article: The currency composition of international portfolio assets (2020)
Working Paper: The Currency Composition of International Portfolio Assets (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:tcd:tcduee:tep1017

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