Currency composition of official international reserves:
Juan H. Foxley
Financial risk consultant for Central banks and Official institutions
April 19, 2023
December 12, 2021
How Reserve Currencies Have Evolved Over 120 Years
December 04, 2020
Central banks resumed buying gold
Etiquetas:
central banks,
gold,
international reserves
May 02, 2020
Central Bank Reserve Management Practices
December 31, 2019
Determinants of Currency Composition of Reserves: a Portfolio Theory Approach
The way central banks manage their foreign reserve assets has evolved over the past decades. One
major trend is managing reserves in two or more tranches—liquidity tranche and investment
tranche—especially for those with adequate reserves. Incorporating reserve tranching, we have
developed in this paper a central bank’s reserve portfolio choice model to analyze the determinants of
the currency composition of reserves. In particular, we adopt the classical mean-variance framework
for the investment tranche and the asset-liability framework for the liquidity tranche. Building on
these frameworks, the roles of currency compositions in imports invoicing and short-term external
debt, and risk and returns of reserve currencies can be quantified by our structural model—a key
contribution of our paper given the absence of structural models in the literature. Finally, we estimate
the potential paths of the share of RMB in reserves under different scenarios to shed light on its status
as an international currency.
Etiquetas:
central banks,
currency diversification,
currency risk,
decisiones de portafolio,
international reserves,
portfolio diversification,
reservas internacionales
June 12, 2019
Reserve Management Practices of Central Banks
Most central banks measure reserve adequacy in one way or another. They most frequently use the import coverage method followed by short-term external debt ratio, broad money ratio, and the IMF’s Assessing Reserve Adequacy (ARA) metric.
Etiquetas:
adequacy,
asset management,
central banks,
international reserves,
reservas internacionales
March 14, 2019
Determinants of Currency Composition of Reserves
The way central banks manage their foreign reserve assets has evolved over the past decades. One major trend is managing reserves in two or more tranches—liquidity tranche and investment tranche—especially for those with adequate reserves. Incorporating reserve tranching, this paper develops a central bank’s reserve portfolio choice model to analyze the determinants of the currency composition of reserves.
Etiquetas:
asset management,
currency diversification,
currency risk,
decisiones de portafolio,
international reserves,
portfolio allocation
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