The Currency Composition of International Portfolio Assets
Trinity Economics Papers No. 1017
Posted: 10 Apr 2017 Last revised: 11 Jul 2018
Date Written: March 1, 2017
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.
Keywords: Currency Composition, International Portfolio Assets, Trade, Volatility
JEL Classification: F31, F36, F41, G15
Suggested Citation: Suggested Citation