Foreign Exchange Intervention: A Dataset of Public Data and Proxies

67 Pages Posted: 26 May 2021 Last revised: 18 Nov 2021

See all articles by Gustavo Adler

Gustavo Adler

International Monetary Fund (IMF) - Research Department

Kyun Suk Chang

International Monetary Fund (IMF)

Rui C. Mano

International Monetary Fund

Yuting Shao

International Monetary Fund (IMF)

Abstract

Foreign exchange intervention (FXI) is a highly debated topic. Yet, comprehensive and comparable data on FXI is hard to find. This paper provides a new dataset of FXI covering a large number of countries over the period 2000-20 at monthly and quarterly frequencies. It includes publicly available data for about 40 countries and carefully constructed proxies for 122 countries. Proxies are focused on both spot and derivative transactions that alter the central bank’s foreign currency position and account for a wide range of central bank operations, including vis-à-vis residents, the first proxy to do so to our knowledge. The paper discusses the merits of the new proxy relative to coarser measures traditionally used like the change in reserves, and potential definitional differences with published data. The paper also presents stylized facts using our newly constructed FXI proxies.

Keywords: Spot and derivatives FX markets., WP, FXI proxy, foreign currency, FXI datum, FXI data, FXI operations, Foreign Exchange Intervention, Spot and derivatives FX markets, Reserve currencies, Reserve positions, Currencies, International reserves, Global, Eastern Europe, Africa

JEL Classification: F31, F33, E58, E42, E52

Suggested Citation

Adler, Gustavo and Chang, Kyun Suk and Mano, Rui C. and Shao, Yuting, Foreign Exchange Intervention: A Dataset of Public Data and Proxies. IMF Working Paper No. 2021/047, Available at SSRN: https://ssrn.com/abstract=3852775 or http://dx.doi.org/10.5089/9781513572154.001

Gustavo Adler (Contact Author)

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States

Kyun Suk Chang

International Monetary Fund (IMF) ( email )

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

Rui C. Mano

International Monetary Fund ( email )

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

HOME PAGE: http://sites.google.com/site/ruimano/

Yuting Shao

International Monetary Fund (IMF) ( email )

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

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