The currency composition of international portfolio assets

被引：2

作者：

Galstyan, Vahagn ^{[1
]}

Mehigan, Caroline ^{[1
]}

Mercado, Rogelio, Jr. ^{[2
]}

机构：

[1] Cent Bank Ireland, Dublin, Ireland

[2] SEACEN Ctr, Kuala Lumpur, Malaysia

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2020年 / 103卷

关键词：

Currency composition; International portfolio assets; Trade; Volatility; MATTERS;

D O I：

10.1016/j.jimonfin.2019.102132

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2019 Elsevier Ltd. All rights reserved.

引用

页数：9

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