Cross-Border Currency Exposures. New Evidence Based on an Enhanced and Updated Dataset

44 Pages Posted: 1 Apr 2020

See all articles by Agustín S. Bénétrix

Agustín S. Bénétrix

Trinity College (Dublin)

Deepali Gautam

International Monetary Fund (IMF)

Luciana Juvenal

International Monetary Fund (IMF)

Martin Schmitz

European Central Bank (ECB)

Date Written: December 2019

Abstract

This paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017. It improves available data based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods. The paper illustrates current and new uses of these data, with particular focus on the evolution of currency exposures of cross-border positions.

Keywords: Foreign currency exposure, External sector, Exchange rate policy, Financial crises, Economic integration, WP, domestic currency, post-crisis, investment position, emerge economy, actual data

JEL Classification: F20, F31, F41, E01, E52, O24, G21, F1

Suggested Citation

Bénétrix, Agustín and Gautam, Deepali and Juvenal, Luciana and Schmitz, Martin, Cross-Border Currency Exposures. New Evidence Based on an Enhanced and Updated Dataset (December 2019). IMF Working Paper No. 19/299. Available at SSRN: https://ssrn.com/abstract=3524318

Agustín Bénétrix

Trinity College (Dublin) ( email )

2-3 College Green
Dublin, Leinster
Ireland

Deepali Gautam

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Luciana Juvenal

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Martin Schmitz (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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