Currency Composition of Global Foreign Exchange Reserves: Stylized Facts from Multivariate Structural Time Series Modeling

Cem Payaslioğlu
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引用次数: 1

Abstract

The study is an empirical investigation dealing with the stylized fact about the currency composition of foreign exchange rezerves. IMF’s COFER database statistics featuring aggregated data for two groupings of countries, namely advanced economies (33 countries), and Emerging and developing economies (107 countries) are used in the computations.The methodology is based on multivariate structural time series (MSTS) applied to quarterly foreign exchange reserve series involving four main currencies namely, U.S. dollar, Euro, Pound Sterling and Japanese Yen for the 1999:1-2009:4 period. Rather than using the level of these series, their shares in total allocated reserves are calculated and hence used here. Empirical findings for advanced economies group indicate that a strong but negative correlation can be detected between the trend disturbances of UsD and Euro-Pound rezerve shares while a high positive correlation exists between the latter two. Consequently, this imposes a dependence structure in the form of a common trend between rezerve shares in these currencies. The common factor dependence structure changes noticeably for emerging economies group.
全球外汇储备的货币构成:来自多元结构时间序列模型的程式化事实
本研究是针对外汇储备货币构成的定型化事实进行的实证研究。计算中使用的是IMF的COFER数据库统计数据,其中包含两组国家的汇总数据,即发达经济体(33个国家)和新兴和发展中经济体(107个国家)。该方法基于多元结构时间序列(MSTS),应用于涉及美元、欧元、英镑和日元等四种主要货币的季度外汇储备序列,时间跨度为1999年1月至2009年4月。不使用这些序列的水平,而是计算它们在总分配储备中的份额,因此在这里使用。发达经济体集团的实证结果表明,美元和欧元-英镑储备份额的趋势扰动之间存在强烈的负相关关系,而后者之间存在高度的正相关关系。因此,这强加了一种依赖结构,其形式是这些货币的储备份额之间的共同趋势。新兴经济体集团的共同要素依赖结构发生了显著变化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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