The Currency Composition of International Portfolio Assets

Trinity Economics Papers No. 1017

Posted: 10 Apr 2017 Last revised: 11 Jul 2018

See all articles by Vahagn Galstyan

Vahagn Galstyan

Trinity College (Dublin) - Department of Economics

Caroline Mehigan

Organization for Economic Co-Operation and Development (OECD)

Rogelio Mercado

The SEACEN Centre

Date Written: March 1, 2017

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 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

Galstyan, Vahagn and Mehigan, Caroline and Mercado, Rogelio, The Currency Composition of International Portfolio Assets (March 1, 2017). Trinity Economics Papers No. 1017. Available at SSRN: https://ssrn.com/abstract=2948335

Vahagn Galstyan

Trinity College (Dublin) - Department of Economics ( email )

Arts Building
Room 3014
Dublin
Ireland

Caroline Mehigan

Organization for Economic Co-Operation and Development (OECD) ( email )

2 rue Andre Pascal
Paris Cedex 16, 75775
France

Rogelio Mercado (Contact Author)

The SEACEN Centre ( email )

Level 5, Sasana Kijang, Bank Negara Malaysia
2 Jalan Dato’ Onn
Kuala Lumpur, 50480
Malaysia

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